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 …

. Uncertainty, in contrast, increases the response. We rationalize our findings in a model of imperfect information. In the model …

This paper proposes a new double-question survey method that elicits information about how individuals …

We review methodological questions relevant for the design of information provision experiments. We first provide a … literature review of major areas in which information provision experiments are applied. We then outline key measurement … challenges and design recommendations that may be of help for practitioners planning to conduct an information experiment. We …

exposure to macroeconomic risk, consistent with sticky information models in which people are inattentive, but understand how …