Attainment of rational expectations equilibria in asset markets calls for the price system to disseminate traders' private information to others. It is known that markets populated by asymmetrically-informed profit-motivated human traders can converge to rational expectations equilibria. This...

Empirical evidence suggests that information leakage in capital markets is common. We present a trading model to study the incentives of an informed trader (e.g., a well informed insider) to voluntarily leak information about an asset's value to one or more independent traders. Our model shows...

Dynamic models of competitive informed trading usually have multiple equilibria. Typically, the literature proceeds by studying one equilibrium which is chosen without any further justification. In the setup of Hirshleifer, Subrahmanyam, and Titman (1994) we document how the two equilibria the...

We study when equilibrium prices can aggregate information in an auction market with a large population of traders. Our main result identifies a property of information---the betweenness property---that is both necessary and sufficient for information aggregation. The characterization provides...

We study equilibrium determination in an environment where two kinds of agents have different information sets: The fully informed agents know the structure of the model and observe histories of all exogenous and endogenous variables. The less informed agents observe only a strict subset of the...