This paper introduces a new channel to understand macro-announcement returns by focusing on investor disagreement. We first introduce a novel measure by inferring the variance of investor beliefs on future S&P 500 returns using daily index option order imbalances, which allows us to disentangle investor disagreement from expected return uncertainty. We show that announcements that more effectively resolve investor disagreement lead to higher announcement-day returns. We further decompose the overall disagreement into two components: pre-announcement uncertainty-induced disagreement and post-announcement differential interpretation. We find that the former positively predicts the immediate announcement returns, while the latter is significantly negatively correlated with post-announcement returns. Finally, we incorporate heterogeneous beliefs into a two-period asset pricing model. Our model suggests that disagreement plays a significant role in understanding announcement returns.