We investigate the dynamics of prices, information and expectations in a competitive, noisy, dynamic asset pricing … only if traders over- (under-) rely on public information with respect to optimal statistical weights. Both phenomena, in … uncertainty, over-reliance on public information obtains if noise trade displays low persistence. This defines a Keynesianʺ region …

public information. We argue that, when trading frequencies differ across traders, asset prices reflect investors' Higher … Order Expectations (HOEs) about the two factors that influence the aggregate demand: fundamentals information and liquidity …-rely on public information, the market displays high illiquidity, and low volume of informational trading; conversely, when …

equilibrium is characterized; the equilibrium is privately revealing and the incentives to acquire information are preserved …. Price-cost margins and bid shading are affected by the parameters of the information structure: supply functions are steeper … common value case they tend to the collusive level. Private information coupled with strategic behavior induces additional …

We study a general static noisy rational expectations model, where investors have private information about asset … information, in relation to the usual public learning channel. When the private learning channel is strong (weak) in relation to … results enable a precise characterization of whether information acquisition decisions are strategic substitutes or …

and private values in the absence of exogenous noise. It is shown how private information yields more market power than … the levels seen with full information. Results obtained here are broadly consistent with evidence from asset auctions, may …

This paper presents a market with asymmetric information where a privately revealing equilibrium obtains in a … competitive framework and where incentives to acquire information are preserved. The equilibrium is efficient, and the paradoxes … amount of induced mispricing. -- adverse selection ; information acquisition ; double auction ; multi-unit auctions ; rate of …

information but declines with its transaction costs. In line with empirical evidence, we find that an increase in transaction … costs and/or a decrease in the precision of a bidding group.s information induces a strategic response from the other group …, which thereafter attenuates its response to both private information and prices. A "stronger" bidding group -which has more …