Theoretical Economics 16 (2021), 161–196

We study when equilibrium prices can aggregate information in an auction market with a large population of traders. Our main result identifies a property of information---the betweenness property---that is both necessary and sufficient for information aggregation. The characterization provides novel predictions about equilibrium prices in complex, multidimensional environments.

Keywords: Auctions, betweenness, competitive markets, information aggregation, rational expectations equilibrium

JEL classification: C72, D44, D82, D83, G14