We consider the market for a risky asset with heterogeneous valuations. Private information that agents have about their own valuation is reflected in the equilibrium price. We study the learning externalities that arise in this setting, and in particular their implications for price...

In a market with a safe rate and a risky asset that pays a continuous dividend stream depending on a latent state of the economy, several agents make consumption and investment decisions based on public information — prices and dividends — and private signals. We obtain the equilibrium in...