This paper analyzes a model of investment and return in an economy characterized by information asymmetry between an investor and a manager. The realized value of the uncertain state of nature is the manager's private information. The paper first considers an economy where the manager cannot...

Investor disagreement about public information precision can be pervasive and persistent. This paper shows that when investors agree to disagree about an observed public signal's precision, as they disagree more, informational price efficiency increases. By contrast, when investors disagree...