Asking headhunters for comp numbers?

When a headhunter reaches out to you about a position, is it appropriate to ask them what it pays, pretty early in the conversation? I’ve historically never asked proactively - will usually just wait to see when the offer is made, but I’ve heard of people asking about $$ as one of their first questions to recruiters. Just wondering if this is something I should do as well, since there was one interview process I went through that was quite rigorous but ended up offering peanuts. 

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