I estimate a term structure model of Treasury yields where information about macroeconomic conditions is dispersed: traders form beliefs by combining prices with idiosyncratic signals about fundamentals. Econometrically, yields and inflation forecasts identify traders’ information. Despite access to common public signals, beliefs are heterogeneous. Dispersed beliefs added an average of 60 basis points to ten year yields, mostly attributable to disagreement about the Federal Reserve’s inflation target. Accounting dispersed information reduces the magnitude and volatility of risk premia relative to full information estimates. The estimates imply prices are moderately informative about fundamentals, and more informative about policy and others’ beliefs.