The ever-growing data rate requirements of next-generation mobile networks mandate a highly efficient exploitation of the spectral and energy resources. In this respect, a key technology which can allow high quality-of-service provisioning with reasonable energy expenditures is given by the deployment of Coordinated Multi-point (CoMP) transmissions for small cells. While the benefits of CoMP have been explored in the literature, little has been done to study how a network can adaptively decide on whether or not to adopt CoMP. To this end, in this paper, we propose a cooperative framework for small cell networks, in which groups of small cells dynamically decide when to perform CoMP transmission while optimizing the tradeoff between rate improvement and energy consumption. We formulate the problem as a dynamic coalitional game with the small base stations as players, and we provide a distributed algorithm that allows the small cells to self-organize into CoMP-based coalitions. The resulting network partition represents the -core of the game, which is a key solution concept for dynamic coalition games. Simulation results show that the proposed dynamic coalition formation algorithm leads to a significant gain of up to 41% sum rate to transmit power ratio in the small cell tier.