Despite of its importance for the economy, stock ownership by households is poorly understood. Recent research has uncovered that expectations of stock market returns by individuals strongly correlate with stock ownership. This paper reports new …ndings from a survey which contains novel data on stock-market return expectations, individual information sets and stock ownership, for a representative sample by age and wealth ('Mode de vie des Français', TNS 2007). Individual information sets measure in probabilistic terms the beliefs that individuals hold about equity returns over the …ve years prior to the time of the survey (March 2007). We …nd that (i) expected returns and information sets are very heterogeneous, hump-shaped in age, higher for males and increasing in wealth; (ii) stock ownership increases with the subjective conditional expectation of a positive return; and (iii) that information is costly acquired, sourced from social interactions, professionals, specialised media access, or own past experience, and is consistent with rational inattention amongst optimists and income constrained respondents.