This paper assesses the importance of the role of
prices as aggregators of private information in the
S&P 500 future market. We estimate primitive
parameters of the Hellwig (1980) noisy rational
expectations model, when both prices and terminal
values are observable. The variance-covariance
parameters governing futuers prices and terminal
values can be inverted to obtain estimate of the
primitive parmeters, including the precision of
private infromation and the variance of
liquidity-motivated trades. We also estimate
coefficients in the linear price conjecture, weights
that agents place on different sources of
information, and the informativeness of prices. We
find that the variance of the error term in agents'
private signals is several orders of magnitude
larger than the variance of liquidity-motivated
trades. But, in a large market, prices are still so
informative that the market as a whole appears to
weight them more than prior beliefs.