We study information acquisition as a motive for trade in the market for municipal bonds, a primary financing source for local governments. The market is decentralized and regional dealers intermediate trades among retail investors. Dealers’ pricing behavior suggests that they learn about demand by trading. We propose and estimate a dynamic model of OTC trading that accounts for dealers’ learning and reveals that they are willing to pay 12% of the intermediation spread for the information acquired through trade. Dealers’ learning incentives benefit investors and issuers, as they strengthen trading in an illiquid market, and interact with policies on post-trade disclosure.