In conventional rational asset-pricing models with common priors—even those that allow for asymmetries in information across traders (Grossman and Stiglitz, 1980; Kyle, 1985)—the volume of trade is approximately pinned down by the unanticipated liquidity and portfolio rebalancing needs of investors. However, these motives would seem to be far too small to account for the tens of trillions of dollars of trade observed in the real world. This dissonance has led even the most ardent defenders of the traditional pricing models to acknowledge that the bulk of volume must come from something else—for example, differences.