Can prices convey information about the fundamental value of an asset? This paper considers this problem in relation to the dynamic properties of the fundamental (whether it is constant or time-varying) and the structure of information available to agents. Risk-averse traders receive two potential signals each period: one exogenous and private and the other, prices, endogenous and public. Prices aggregate private information but include aggregate noise. Information can accumulate over time both through endogenous and exogenous signals. With a constant fundamental, the precision of both private and public cumulative information increases over time but agents put progressively more weight on the endogenous signals, asymptotically disregarding private ones. If the fundamental is time-varying, the use of past private signals complicates the role of prices as a source of information, since it introduces endogenous serial correlation in the price signal and cross-correlation between it and innovations in the fundamental. A modified version of the Kalman filter can still be used to extract information from prices and results show that the precision of the endogenous signals converges to a constant, with both private and public information used at all times.

价格能否传达有关资产基本价值的信息？本文考虑了与基本要素的动态特性（恒定的或随时间变化的）以及代理可用的信息结构有关的问题。规避风险的交易者每个时期都会收到两个潜在信号：一个是外生的和私人的，另一个是价格的内生的和公开的。价格汇总了私人信息，但汇总了噪音。信息可以通过内源性和外源性信号随时间累积。在基本不变的情况下，私人和公共累积信息的精度会随着时间的推移而提高，但是代理会逐渐加大对内源信号的权重，渐近地忽略了私人信号。如果基本原则是时变的，过去的私人信号的使用使价格作为信息源的作用变得复杂，因为它在价格信号中引入了内生的序列相关性，并在价格信号和基础创新之间引入了互相关性。卡尔曼滤波器的改进版本仍可用于从价格中提取信息，结果表明，内源信号的精度收敛于一个常数，并且始终使用私有和公共信息。