We survey clients of a German online bank to study retail investors' beliefs about the autocorrelation of annual returns of the aggregate stock market, and the role of these beliefs in financial decisions. A majority of our respondents believe in mean reversion of aggregate returns, and these...

We survey retail investors at an online bank to study beliefs about the autocorrelation of aggregate stock returns, and how these beliefs shape investment decisions measured in administrative account data. Individuals' beliefs exhibit substantial heterogeneity and predict trading responses to...

We survey retail investors at an online bank to study beliefs about the autocorrelation of aggregate stock returns, and how these beliefs shape investment decisions measured in administrative account data. Individuals’ beliefs exhibit substantial heterogeneity and predict trading responses to...

We show that the pricing of idiosyncratic volatility (IV) is due to unaccounted systematic risk, which affects a large number of asset pricing anomalies. A single common IV component explains one third of variation in IV. Mispricing arises when sorting stocks by the part of IV predicted by...

Do equity investors care about pay dispersion and income inequality? We address this question by examining equity markets' reaction and investors' portfolio rebalancing in response to the first-time disclosure by U.S. public companies of the ratio of CEO to median worker pay in 2018. We find...

We successfully replicate the main results of Ang, Hodrick, Xing, and Zhang (2006): Aggregate-volatility risk and idiosyncratic volatility (IV) are each priced in the cross-section of stock returns from 1963 to 2000. We also examine the pricing of volatility outside the original time period and...

A stock's market exposure, beta, is not the same when measured across different return frequencies. Sorting stocks on the difference between low and high frequency betas (dBeta) yields large systematic mispricings relative to the CAPM at high frequencies, but significantly smaller mispricings at...