We consider signaling and learning dynamics in a Cournot oligopoly where firms have private information about their production costs and only observe the market price, which is subject to unobservable demand shocks. An equilibrium is Markov if it depends on the history of play only through the firms’ beliefs about costs and calendar time. We characterize symmetric linear Markov equilibria as solutions to a boundary value problem. In every such equilibrium, given a long enough horizon, play converges to the static complete information outcome for the realized costs, but each firm only learns its competitors’ average cost. The weights assigned to private and public information under the equilibrium strategies are non-monotone over time. We explain this by decomposing incentives into signaling and learning, and discuss implications for prices, quantities, and profits.