Conditions which imply the existence of strict rational expectations equilibria for most static pure exchange economies where prices convey information about the state of the world are analyzed. Information is aggregated and transmitted by prices because agents have different initial information and maximize the conditional expectation of state-dependent utility functions. Major results state that if, with probability one, agents' characteristics do not vary too much as the state of the world varies, then, generically, there exist equilibrium price functions which reveal all initial information. More precisely, if the support of the image measure is contained in a compact C1 manifold (satisfying some technical conditions) which is of sufficiently low dimension relative to the number of commodities, then existence of completely revealing equilibria is generic. Any economy satisfying these assumptions can be approximated by a sequence of economies which also obey these assumptions and have completely revealing equilibrium price functions. Slight perturbations do not destroy the existence property.

A framework for distinguishing between the quantity of information and its quality or type is presented in which information is an indivisible differentiated commodity for which satiation occurs at one unit. Uncountably many types of information are possible which can be costlessly combined by agents. Similarity of information is expressed by a metric which reflects substitution possibilities among different information structures. In the model, traders desire information only because it helps them to maximize state dependent utilities under uncertainty. Then the individual demand for information is well defined, but possibly nonconvex valued because of the indivisibilities.

A model of a large economy in which prices transmit information (about the "state of the world" which is an argument in consumers' utility functions) from more informed to less informed agents is analysed. The basic hypothesis is that the forecast functions of imperfectly informed agents are suitably dispersed. For any such distribution of forecasts, market clearing prices exist. Moreover, there is always an equilibrium in which each agent's expectations are approximately rational.

Beth Allen, Distinguishing Beliefs and Preferences in Equilibrium Prices: Discussion, The Journal of Finance, Vol. 35, No. 2, Papers and Proceedings Thirty-Eighth Annual Meeting American Finance Association, Atlanta, Georgia, December 28-30, 1979 (May, 1980), pp. 344-346