The rational expectations paradigm restricts the subjective beliefs of investors to align with the objective distribution. We relax this constraint and analyze how investors optimally choose their subjective beliefs about the information contained in their private signals and in prices. We show that investors systematically choose to deviate from rational expectations. In any symmetric equilibrium, investors optimally exhibit overconfidence in their private information but dismiss the information in prices. However, when aggregate risk aversion is sufficiently low, symmetric equilibria do not exist. Instead, there arises an asymmetric equilibrium in which investors endogenously separate into (i) fundamental investors, who also ignore the information in prices, and (ii) ``technical'' traders, who overweight the information in prices. Relative to the corresponding rational expectations equilibrium, these equilibria feature higher (i) return volatility, (ii) price informativeness, (iii) trading volume, and (iv) return predictability. Finally, such deviations by informed investors improve the welfare of liquidity traders under the objective distribution.