Investors' beliefs drive stock trading and sustainable returns. A new method estimates these beliefs using market data on S&P 500 stocks. Informed traders act on their beliefs, while market makers make guesses based on total order flows. The study shows that market makers' uncertainty in beliefs is more crucial for stock returns than informed traders'. This suggests that market trends are influenced by a larger group making decisions based on various data sources. Understanding these diverse beliefs could help improve sustainable returns, but emotions still play a significant role in stock trading.