This thesis consists of three self-contained chapters that conduct theoretic analysis of the impact of heterogeneous beliefs and public information on asset pricing. The aim is to provide better understanding of the role of public information in general equilibriums with heterogeneous beliefs, in both discrete-time and continuous-time frameworks. Although self- contained, these three chapters are interrelated. Chapter 1 explores the impact of learning mechanism in an incomplete market, in which investors trade only in a zero-coupon bond and a stock. It also investigates an effective complete market which introduces an ideal derivative to facilitate Pareto efficient side-betting, and this gets rid of the need of dynamic trading based on signals. Chapter 2 is a derivative-oriented extension of Chapter 1. It demonstrates that the difference in confidence of investors leads to the fact that investors trade and speculate actively in option markets with Gamma trading strategies. As an extreme case of Chapter 1 and Chapter 2, Chapter 3 investigates the role of continuous trading with heterogeneous beliefs and the information contingent on aggregate consumption. It shows that a continuous trading Radner equilibrium with heterogeneous beliefs can implement the same Arrow-Debreu consumption allocations in Chapter 1.