  The existence of the pricing kernel is shown to imply the existence of an
ambient information process that generates market filtration. This information
process consists of a signal component concerning the value of the random
variable X that can be interpreted as the timing of future cash demand, and an
independent noise component. The conditional expectation of the signal, in
particular, determines the market risk premium vector. An addition to the
signal of any term that is independent of X, which generates a drift in the
noise, is shown to change the drifts of price processes in the physical
measure, without affecting the current asset price levels. Such a drift in the
noise term can induce anomalous price dynamics, and can be seen to explain the
mechanism of observed phenomena of equity premium and financial bubbles.
