We investigate the origins of voters' beliefs about the value of their single vote. We construe such beliefs as a function of psychological predispositions and exposure to information about the competitiveness of the electoral race. We test this theoretical model using data from the 2008 Canadian federal election and a new survey question tapping voters' beliefs about whether their vote can make a difference. Our results show that sense of efficacy has a strong effect, efficacious voters being more prone to optimism. Competitiveness of the race also matters, but only among attentive voters.