In economics expectations play an important role. In making decisions agents form expectations about future values of variables. Therefore, in any dynamic economic model, agents beliefs about the future have to be modeled. Do people form expectations using a simple rule of thumb or do they use a continually updated forecasting rule? Can people learn a rational expectations equilibrium? This paper describes experiments where we investigate how people form expectations in a simple dynamic asset pricing model, without any knowledge of the underlying market equilibrium equations.