Abstract This paper studies the revelation of private information by equilibrium prices when conditional probabilities are endogenous. The analysis is confined to one-period, one-good exchange economies with incomplete asset markets. It is shown that for a generic set of economies parameterized by endowment vectors both the set of fully revealing and set of non-revealing (partially revealing) rational expectations equilibria (REE) are smooth manifolds of strictly positive dimension. However, the dimension of the manifold of fully revealing REB is strictly larger than the dimension of the manifold of non-revealing (partially revealing) REE. Moreover, the same result holds for the set of consumption allocations associated with the set of fully revealing REE and non-revealing (partially revealing) REE. Hence, even if conditional probabilities are endogenous, informational efficiency is still the rule.