Information asymmetry between privately informed investors, interacting with public information transparency, significantly affects trading and learning behaviors, price formation, information revelation, and market efficiency. Private information asymmetry-induced strategic trading behaviors...

We formulate a stylized model that admits volatility ambiguity to the Lucas framework. The model specifies an economically motivated ambiguity penalty function that makes volatility ambiguity quantifiable with χ2-statistics, and allows for analytical solutions. The addition of volatility...