There is nothing more exciting for a nascent business than the perceived presence of a big market for its products and services, and the allure is easy to understand. In the minds of entrepreneurs in these markets, big markets offer the promise of easily scalable revenues, which if coupled with profitability, can translate into large profits and high valuations. This paper examines how the “big market promise” affects business formation and financing and focuses on the role that overconfidence on the part of entrepreneurs and their financiers (venture capitalists and public equity) plays in creating a collective over pricing of companies in alleged big markets.