The U.S. stock market return during the first month of a quarter positively predicts the second month’s return, which in turn negatively predicts the first month’s return of the next quarter. This pattern arises because investors fail to fully recognize that earnings announced in the second month of a quarter are inherently similar to those announced in the first month, leading them to overreact to predictably repetitive earnings news. A model formalizing this form of correlation neglect yields additional predictions for survey data and for both the time-series and cross-section of returns, all of which are borne out in the data. These results provide evidence of correlation neglect even among sophisticated, financially incentivized decision-makers, underscoring its importance as a behavioral phenomenon.