We rely on recently developed general equilibrium asset pricing models, from which we derive some predictions about how heterogeneity of beliefs affects return and volatility dynamics. The first contribution of our paper is the derivation of a simple decomposition of the conditional stock...

We examine price discovery and liquidity provision in the secondary market for bitcoin-an asset with a high level of speculative trading. Based on BTC-e's full limit order book over the 2013-2014 period, we find that order informativeness increases with order aggressiveness within the first 10...