This paper studies information aggregation in dynamic markets with partially informed strategic traders. A natural condition on traded securities and information structure, “separability,” is introduced. If a security is separable, information about its value always gets aggregated, for any prior distribution over the states of the world. If the security is non-separable, then there exists a prior such that information does not get aggregated. Special cases satisfying separability include Arrow-Debreu securities, whose value is equal to one in one state of the world and to zero in all others, and “additive” securities, whose value is equal to the sum of traders’ signals.
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