Social interaction contributes to stochastic volatility and momentum in financial markets. By developing a simple evolutionary model of asset pricing and population game, we incorporate social interaction among investors with information uncertainty and show that social interaction leads to the...

This paper analyzes the impact of dispersion and correlation in investors' beliefs on the cross-section of volatilities and correlations in stock returns. Theoretically, we show that, in a baseline model with logarithmic agents and constant beliefs, there is a positive relationship between...