Systematic deviations from ostensibly rational beliefs appear in many economic, financial, and business contexts. This paper introduces a steady-state competitive equilibrium model (Hopenhayn (1992), Melitz (2003)) where firms maximize expected profit and hold beliefs that are calibrated with market aggregates. Firms agree that the aggregates accurately describe the distribution of productivities of others, but believe their own productivity is drawn from a better distribution. Each firm believes its own project is special, that `this time is different.' In the steady-state, all firms and outside observers agree that market participants are, on average, over-optimistic and that there is over-entry. The equilibrium response to this collective `bias' is a combination of lower prices, higher failure rates, and tighter credit. Corporate financing arrangements are determined in equilibrium, and display a combination of credit-rationing and funding at rates that firms view as too high.