. The leading example is a financial market, where the rich acquire more financial information than the poor. Contrary to …

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

Empirical evidence shows that the perception of information is strongly concentrated in those environments in which a … information is assessed in terms of its contribution to productivity …

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 Keynesian" region …

We propose a theory that jointly accounts for an asset illiquidity and for the asset price potential over-reliance on … 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 …