We survey retail investors at an online bank to study how beliefs about the autocorrelation of aggregate stock returns shape investment decisions measured in administrative account data. Individuals' beliefs exhibit substantial heterogeneity and predict trading responses to market movements. We inform half of our respondents that, historically, the autocorrelation of returns was close to zero, which persistently changes their beliefs. Among those who initially believe in mean reversion, treated respondents buy significantly less equity during the Covid-19 crash months later. Our results provide causal evidence on the drivers of disagreement and trade in asset markets.
forthcoming in The Review of Financial Studies
