In a model of exchange with price-taking individuals, the existence of non-trivial underemployment equilibria with walrasian prices is proved for a generic set of economies. The likelihood of the occurrence of these equilibria is higher the farther the economy is from a Pareto optimal initial allocation, and the larger the economy is, when considering log-linear preferences. Moreover, these equilibria can be interpreted as the result of some self-fulfilling beliefs. We show how markets are vulnerable to psychological effects translating aggregate signals into bad expectations, which are nonetheless rational in the sense of being confirmed in equilibrium. The possibility of distortions in market allocations is essentially derived from: 1) myopic individual behavior preventing sufficient ex- perimentation; 2) the timing of "production" decisions; 3) the absence of certain financial contracts; 4) the fear of government restrictions on supply.