| Summary: | We introduce a model of competitive equilibrium in a market for a divisible good in which both buyer and seller may possess concealable hard information about the state of the market. When an agent knows the state he or she can verifiably disclose it, but an absence of evidence cannot be proved. Agents endogenously determine which states to disclose and conceal (if informed), and the market price at which they trade reflects that. Under general conditions we establish the existence of an equilibrium consisting of disclosure rules, consistent beliefs, contingent market prices, supply and demand decisions. In an extended example we fully characterize these objects. As an agent becomes better able to discover concealable evidence he or she discloses a larger set of states. The other side of the market becomes more suspicious that unfavourable evidence is being concealed; the resulting pressure on the market price alters the optimal disclosure rule on both sides, and trade can be reduced even when prices do not change.
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