Belief skewness---the asymmetry in investors' cash-flow growth rate expectations---has a negative impact on the stock mean return, controlling for the average bias in beliefs and belief dispersion. When investors are sufficiently optimistic on average, however, the relationship reverses. Belief skewness also has a positive impact on the stock price and a negative impact on the stock volatility. To show this, we first develop a continuous-time general equilibrium model with heterogeneous investors having skewed beliefs. We then use analyst forecast data to construct belief skewness proxies and verify the model implications for the aggregate market returns empirically.