This paper studies how acquisition of non-fundamental information (learning about noise) affects financial markets. We develop a rational expectations model with investors who are endowed with fundamental and non-fundamental information of heterogeneous quality and who optimally allocate...

We consider five characteristics-based asset pricing models and study whether the non-market components of their stochastic discount factors (SDFs) are associated with macroeconomic shocks. Our analysis involves a comprehensive set of 127 macroeconomic variables and uses machine learning...