A rational-expectations equilibrium with positive demand for financial information does exist under fully revealing … average portfolio demand information in equilibrium if they can adjust portfolio size. More information diminishes the … endowments strongly differ from the average portfolio are worse off. Under fully revealing price, information market equilibria …

We propose a nonparametric method to study which characteristics provide incremental information for the cross section … incremental information for expected returns, and nonlinearities are important. We study the properties of our method in an …

asset commonality in the spirit of CoVaR as defined by Adrian and Brunnermeier (2016). Based on granular information, we …

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 …