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The aim of this paper is to identify the contribution of information theory to the explanation of financial market behavior. We review the entropy theory of information and its main theoretical and practical implications in terms of its ability to measure uncertainty and describe densities in financial markets. A fundamental result of this theory is that it is not a theory of equilibrium, unlike that established by Grossman-Stiglitz (1980). Indeed, it does not assume that a company possesses a certain fundamental value that will be discovered by investors. Instead, the process of investors learning about a company’s value, accompanied by the process of understanding the technology and competitors, allows investors to determine the company’s value. The entropy framework defines the following characteristics: an explicit price discovery process, information asymmetry, communication via informative asset prices, varied investor beliefs, and costly information acquisition.