This paper studies a continuous{time intertemporal consumption and portfolio choice prob- lem when a long{horizon investor does not exactly observe the expected returns of the risky asset. The representative investor who has recursive preferences uses prior belief to estimate the current regime and continuously updates her posterior beliefs with regard to future vari- ation in expected returns. We contribute to solutions to the explicit log-utility case, and to the approximate unit-risk-aversion case. We show explicitly that her belief behavior de- pends on the parameters of investment opportunities and investor preferences. In addition, the magnitude of the elasticity of intertemporal substitution of consumption determines the relative importance of the substitution and income eects of belief change on consumption.