We present a frictionless model which bridges two seemingly unrelated empirical anomalies: (1) the negative relationship between dispersion in financial analysts’ forecasts and expected returns (Diether et al., 2002) and (2) the negative relationship between idiosyncratic skewness and expected returns (Boyer et al., 2010; Conrad et al., 2013; Amaya et al., 2013; Boyer and Vorkink, 2014). The results follow because (1) empirically, most stocks have positive expected skewness, (2) positive skewness implies that investors’ demand schedules are convex in the relevant price range, and hence, (3) trades due to disagreement do not “cancel out"; asset prices are inflated even without short-selling constraints. Our theory further predicts that skewness and disagreement have an interactive pricing impact. We find support for this prediction in the cross section of stock returns.