We investigate the dynamic of prices, information and expectations in a competitive, noisy, dynamic asset pricing equilibrium model. We look at the bias of prices as estimators of fundamental value in relation to traders' average expectations and note that prices are more (less) biased than...

I study the effects of the heterogeneity of traders' horizons in a 2-period NREE model where all traders are risk averse. Owing to risk premia, short termism generates multiple equilibria. In particular two distinct patterns arise. Along the quot;low trading intensity equilibrium,quot; short...

We consider a two-period market with persistent liquidity trading and risk averse privately informed investors who have a one period horizon. With persistence, prices reflect average expectations about fundamentals and liquidity trading. Informed investors engage in “retrospective” learning...

We show that, consistent with empirical evidence, access to order flow information allows traders to supply liquidity via contrarian marketable orders. An informational friction resulting from lack of market transparency can, however, make liquidity demand upward sloping, inducing strategic...