In this study, we combine cognitive theory on self-efficacy and optimism with institutional theory, related to legitimacy in the value creation context. We consider the value creation related to market creation concept. It is argued that optimism and self-efficacy’s affect on value creation is related to institutional framework in terms of legitimacy. In other words, we use the institutional theory as an antecedent for cognition. Which means, high levels of self-efficacy and optimism about a certain value creation activity is more significant in the institutional environments where these activities are legitimate (Klyver and Thornton, 2010). That’s why we assume that, both cognitive theory and institutional theory has a lot in terms of conceptual tools to explain the entrepreneurship phenomena.