We address the joint hypothesis problem in cross-sectional asset pricing by using measured analyst expectations of earnings growth. We construct a firm-level measure of Expectations Based Returns (EBRs) that uses analyst forecast errors and revisions and shuts down any cross-sectional differences in required returns. We obtain three results. First, variation in EBRs accounts for a large chunk of cross-sectional return spreads in value, investment, size, and momentum factors. Second, time variation in these spreads is predictable from that in EBRs, holding constant scaled price variables (as proxies for time varying required returns). Third, firm characteristics often seen as capturing risk premia predict disappointment of expectations and low EBRs. Overall, return spreads typically attributed to exotic risk factors are explained by predictable movements in non-rational expectations of firms’ earnings growth.