Correlated Beliefs, Returns, and Stock Market Volatility

Joel M. David, Ina Simonovska

NBER Working Paper No. 21480
Issued in August 2015

---- Acknowledgments ----

We thank Kamil Yilmaz for an insightful discussion, seminar participants at UC Davis and NBER ISoM for their comments and suggestions, and Venky Venkateswaran for useful conversations. We thank Luca Macedoni for his research assistance. Ina Simonovska acknowledges financial support from the Hellman Fellowship Program and the Institute of Social Sciences at UC Davis. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

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