Why are men more risk tolerant than women? Why do they invest more often and more aggresively than women? I test whether social identity contributes to explain this heterogeneity. Identity prescribes normative behaviors to individuals. I manipulate male and female identity in a controlled environment. In a set of four experiments, men whose identity is primed or threatened become more risk tolerant, and they invest more often and more money than non-primed men and women. The effect of identity manipulations is largest for money-burning investment opportunities. I relate male identity to overconfidence, which is induced into subjects by priming their sense of power over other individuals. Men induced with overconfidence also become more risk tolerant and invest more often and more money than others. In a fifth experiment, I find that priming identity and overconfidence positively affects men’s subjective beliefs of experiencing good investment outcomes. ∗Haas School of Business, University of California at Berkeley, USA. e-mail: francesco firstname.lastname@example.org. For their precious help and guidance, I thank Stefano DellaVigna, Ulrike Malmendier, Gustavo Manso and Terrance Odean. For very helpful comments I thank Xavier Gabaix, Samuli Knupfer, Rachel Kranton, Ross Levine, Don Moore, Adair Morse, Muriel Niederle, Christine Parlour, Matthew Rabin and seminar participants at UC Berkeley. Financial support from the White Foundation is gratefully acknowledged. All errors are my own.