Survey-based excess stock return forecasts are procyclical, less volatile, and more persistent than countercyclical statistical forecasts. These patterns challenge rational representative-agent models. We show that they arise naturally in fully rational heterogeneous-belief models with speculative trade. Prices reflect the market view, a consumption and risk tolerance weighted belief of investors rather than the survey consensus views, which ignores gains from trade when aggregating beliefs. In a general framework, we derive sufficient conditions for the negative correlation between consensus and statistical equity premia. Three simple examples show how trade on differing beliefs about cash flows or valuations makes some investors contrarian and others trend-chasing. Because prices aggregate beliefs differently than surveys, the consensus premium is procyclical, extrapolates past returns, and is less volatile and more persistent than the statistical view of the equity premium in all three examples.