Measuring the amount and value of the representative agent's private information
I construct a measure of the average amount of private information possessed by investors, i.e., the private information of the representative agent. The measure can be estimated using aggregate data only. The key inputs are the outputs of predictability regressions. I use the measure to assess how much private information is impounded into prices. Separately, I derive the value of the representative agent's information, i.e., the difference in the expected return experienced by the representative agent and an uninformed investor.
New paper. Not yet available.