We show that stock market participants are optimists, while exit coincides with a deterioration in beliefs. Accordingly, belief-cycles drive participation-cycles in our model: Inexperienced cohorts enter with high leverage during episodes of market exuberance and low risk premia and exit during market downturns. In equilibrium, experienced cohorts typically remain participants throughout as the market clearing risk premium tends to gravitate towards their beliefs. These interactions generate procyclical participation, feedback between participation and experience-based learning, and welfare losses. Feeding the model with realized shocks reproduces fluctuations in participation, entry, and exit rates from multiple countries.