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We study noisy aggregation of dispersed information in financial markets without imposing parametric restrictions on preferences, information, and return distributions. We provide a general characterization of asset returns by means of a risk‐neutral probability measure that features excess weight on tail risks. Moreover, we link excess weight on tail risks to observable moments such as forecast dispersion and accuracy, and argue that it provides a unified explanation for several prominent cross‐sectional return anomalies. Simple calibrations suggest the model can account for a significant fraction of empirical returns to skewness, returns to disagreement, and interaction effects between the two.