Despite its importance for the analysis of life cycle behavior and, in particular, retirement planning, stock ownership by private households is poorly understood. Among other approaches to investigate this puzzle, recent research has started to elicit private households' expectations of stock market returns. This paper reports findings from a study that collected data over a 2-year period both on households' stock market expectations (subjective probabilities of gains or losses) and on whether they own stocks. We document substantial heterogeneity in financial market expectations. Expectations are correlated with stock ownership. Over the 2 years of our data stock market prices increased and expectations of future stock market price changes also increased, lending support to the view that expectations are influenced by recent stock gains or losses. Copyright © 2011 John Wiley & Sons, Ltd.