(see next page for abstract) ∗Acknowledgements: this research forms part of the European Commission TMR network project on "Financial Market Efficiency and Economic Efficiency," grant contract no. FMRXCT96-0054. I thank Julian Franks and a referee for detailed comments on the previous draft, and Margaret Bray and Thierry Foucault for discussions on an earlier version of this paper.

After a quarter century of unbroken development in the theory of allocation under uncertainty, it has become an obvious fact that randomness in endowments, preferences or technology will generally work its way to the prices and allocations which prevail in equilibrium. Is it true, as intuition may suggest in haste, that random prices necessarily reflect some intrinsic uncertainty in the structu...