Is it Heterogeneous Investor Beliefs or Private Information that Affects Prices and Trading Volume? Sugato Chakravarty Purdue University 812 West State Street/Matthews Hall West Lafayette, IN 47906-1262 USA Phone: +1 (765) 494-6427 Email: sugato@purdue.edu & Rina Ray (contact author) Norwegian School of Economics and Business Administration Helleveien 30 NO – 5045 Bergen Norway Phone: + 47 (55) 95 95 03 Email: rina.ray@nhh.no July 2010 Key words: heterogeneous beliefs, institutional investors, high net worth individuals, private information, retail investors. JEL Classification: G12, G14, G15 We would like to thank Kathleen Hanley, Matti Keloharju, David Mauer, Kjell Nyborg, Mark Rubinstein and Xiaoyun Yu for their comments and suggestions. We are grateful to Prime Database for IPO data and Yongjin Ma for providing research assistance. The authors received financial support and additional data under a research initiative by the National Stock Exchange of India (NSE). All remaining errors are our own.