This paper considers an asset market where investors have private information not only about asset payoffs, but also about their own exposure to an aggregate risk factor. In equilibrium, rational investors disagree about asset payoffs: those with higher exposure to the risk factor are more optimistic about claims on the risk factor, which leads to less risk sharing than under symmetric information. Moreover, uncertainty about exposure amplifies the effect of aggregate exposure on asset prices, and can thereby help explain the excess volatility of prices and the predictability of excess returns. Joint with Juan Carlos Hatchondo and Martin Schneider.