This paper assesses the importance of the role ofprices as aggregators of private information in theS&P 500 future market. We estimate primitiveparameters of the Hellwig (1980) noisy rationalexpectations model, when both prices and terminalvalues are observable. The variance-covarianceparameters governing futuers prices and terminalvalues can be inverted to obtain estimate of theprimitive parmeters, including the precision ofprivate infromation and the variance ofliquidity-motivated trades. We also estimatecoefficients in the linear price conjecture, weightsthat agents place on different sources ofinformation, and the informativeness of prices. Wefind that the variance of the error term in agents'private signals is several orders of magnitudelarger than the variance of liquidity-motivatedtrades. But, in a large market, prices are still soinformative that the market as a whole appears toweight them more than prior beliefs.
