The global financial crisis once again indicated the limitations of representative agent asset pricing models based on economic fundamentals. We estimate a heterogeneous agents model with boundedly rational agents in which the fundamental value of the stock prices is publicly available, but beliefs about the persistence of deviations from the fundamental differ. Some agents (called fundamentalists) believe in mean-reversion of stock prices, while others (chartists) expect a continuing trend in deviations. The past performance of the strategies determines the switching of agents between beliefs, using an evolutionary switching mechanism. We extend a previous analysis of Boswijk et al. (2007) based on yearly data until 2003, and re-estimate the model using quarterly US stock price data until 2011Q4. We compare both in-sample and out-of-sample predictions of our non-linear switching model with standard linear benchmark models. The model suggests that after 1995, investors had much more incentives to follow the crowd, amplifying the dot-com bubble by mass chartism, its fast decline after 2000, and more recently the financial crisis, when the price momentarily returned close to the fundamental in 2009. (Joint with Cars Hommes)