We survey a large representative sample of retail investors to elicit their memories of stock market investment and return expectations. We then merge the survey data with administrative data of transactions to test a model in which investors form expectations by selectively recalling past experiences similar to the present cue. Our analysis not only uncovers newstylized facts about investor memory, but also provides support for similarity-based recall as a key mechanism of belief formation in ffnancial markets. Market ffuctuations affect investors’ recall: positive market returns cue investors to retrieve episodes of rising markets and recall own performances more positively. Recalled experiences explain a sizable fraction of cross-investor variation in beliefs and dominate actual experiences in explanatory power. We also show that recalled experiences can drive out the explanatory power of recent returns for expected future returns, ruling in a memory-based foundation for return extrapolation.