We study the properties of rational expectation equilibria (REE) in dynamic asset pricing models with heterogeneously informed agents. We show that under mild conditions the state space of such models in REE can be infinite dimensional. This result indicates that the domain of analytically...

This paper studies the interplay between information aggregation and p-hacking in the context of predicting stock returns. The standard information aggregation techniques exacerbate p-hacking by increasing the probability of the type I error. We propose an aggregation technique, which is a...