We study markets in which traders acquire private information before submitting their schedules. We characterize conditions under which traders over-invest (respectively, under-invest) in information and trade excessively (respectively, insufficiently) on their private signals. These inefficiencies arise from a novel interaction between learning and pecuniary externalities. We show that, generically, no policy based solely on equilibrium

prices and individual trade volumes can simultaneously implement efficiency in information acquisition and trading. This impossibility result becomes a possibility when information acquisition is verifiable or when taxes can be conditioned on aggregate trading volume. Finally, we show that the optimal tax–subsidy scheme is progressive and attenuates traders’ response to private information when pecuniary externalities dominate learning externalities, but regressive and amplifies the response otherwise.