Motivated by the insight of Keynes (1936) on the importance of higher-order beliefs in financial markets, we examine the role of such beliefs in generating drift in asset prices. We show that in a dynamic setting, a higher-order difference of opinions is necessary for heterogeneous beliefs to...

We characterize the impact of anticipatory utility on players' subjective interpretation of information in a general coordination game. In any symmetric equilibrium, players choose to over-estimate the precision of their information. Players' perception of public information quality relative to...