Trading under uncertainty about other market participants

I present an asymmetric information model of financial markets in which there is uncertainty and learning not only about fundamentals but also the proportion informed-to-noise traders market. Extreme news leads to increase both types uncertainty, while it decreases price informativeness. Uncertainty market composition constitutes a type liquidity risk associated with high expected returns. The resulting price–volume relationship U-shaped positively sloped. In dynamic extension show that this mechanism generates momentum as well history-dependent volatility