  This work presents an asset pricing model that under rational expectation
equilibrium perspective shows how, depending on risk aversion and noise
volatility, a risky-asset has one equilibrium price that differs in term of
efficiency: an informational efficient one (similar to Campbell and Kyle
(1993)), and another one where price diverges from its informational efficient
level. The former Pareto dominates (is dominated by) the latter in presence of
low (high) market risk perception. The estimates of the model using S&P 500
Index support the theoretical findings, and the estimated inefficient
equilibrium price captures the higher risk premium and higher volatility
observed during the Dot.com bubble 1995--2000.
