This paper introduces uncertainty regarding the proportion of informed traders in a rational expectation equilibrium model with asymmetric information. The proportion uncertainty dramatically changes the properties of the resulting equilibrium. First, it may generate multiple nonlinear rational...

We study the properties of rational expectation equilibria (REE) in dynamic asset pricing models with heterogeneously informed agents. We show that under mild conditions the state space of such models in REE can be infinite dimensional. This result indicates that the domain of analytically...

I analyze a monopolistic model of quality uncertainty but with the possibility of information acquisition on the consumer side. Information is costly and its amount is chosen by the consumer. The analysis of Bayesian equilibria shows the possibility of three equilibrium classes, only one of...