Recovery, the process of uniquely determining market’s belief, time and risk preferences from asset prices, requires a subjective state-space specification of the underlying economy that is not observed before the recovery is implemented. Different subjective input specifications lead to different recovery results that, albeit unique under the respective specifications, are almost surely inconsistent with each other. This consistency issue prevails universally in the original, generalized, and perturbative recovery approaches, and is not resolved by the sophistication of the input specification, perfect (error-free and infinite) price data, or the enforcement of required recovery assumptions. The direction of the recovery inconsistency, or the signed difference between the recovered and underlying quantities, is influenced by both the probability and marginal utility distributions of the underlying economic states such as the presence of a rare disaster state. The consistency requirement highlights a new and general challenge for the recovery paradigm.