Before revision:  We propose a theoretical foundation for such experience-based learning and derive its dynamic implications in a simple OLG model. Risk averse agents invest in a risky and a risk-free asset. They form beliefsabout the payoff of the risky asset based on the two key components of experience effects: (1) they overweight data observed during their lifetimes so far, and (2) they exhibit recency bias. In equilibrium, prices depend on past dividends, but only on those observed by the generations that are alive, and they are more sensitive to more recent dividends.
After revision:  We propose a theoretical foundation for such experience-based learning in an OLG model, where different cross-cohort experiences generate persistent heterogeneity in beliefs, portfolio choices, and trade. The model allows us to characterize a novel link between investor demographics and the dependence of prices on past dividends, but only on those observed by the generations that are alive, and they are more sensitive to more recent dividends.