We present and conduct a novel experiment on a multi-period beauty contest game. Leveraging the multi-period feature, we investigate how participants revise their forecasts in periods when new information—such as shocks or announcements—arrives and how they form their expectations in the absence of new information. We make two key contributions. First, we develop a new method based on forecast revisions to evaluate whether participants behave in a forward-looking manner. The experimental results show that participants do react to anticipated shocks: namely, the announcements of future shocks. Second, we identify a new strategic environment effect during periods without new information; only when the game exhibits strategic complementarity do participants use extrapolation and expect continuously rising prices. This finding suggests that expectation formation is endogenous to the economic environment; and policy design should thus take this endogeneity into account.
