This paper develops a dynamic model of asset price behavior based upon the arrival and diffusion of rumors in a securities market. The model is based upon a time-homogeneous pure birth process in which the number of informed and uninformed traders varies probabilistically over time as learning occurs. Traders become informed by observing the original source of information or through communication with an individual who has ‘heard’ the information already, both of which are probabilistic events. Price changes result from trades that occur when an individual hears and acts on the information. Rumors can contain true or false information. False rumors ultimately are corrected. Results from simulating the model yield log price changes similar to actual intraday common stock returns.