This paper presents an agent-based model of a stock market in which investors trade based on heterogeneous and changing beliefs. The model extends that from (Goodman, 2016), in which each agent trades based on the theory of dynamic investment in (Merton, 1969), with his own belief on the return of the stock. The baseline model implies that optimistic investors buy stocks from pessimistic investors. Then, the model is extended such that the beliefs of agents are time-varying: each agent adjusts his belief differently with the arrival of new information. The key findings from the simulation of the extended model are that (1) trade volume increases with higher heterogeneity of agents’ response to news arrivals and (2) return volatility decreases with more positive or more negative average level of response to news arrivals.