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Partial Revelation of Information in Experimental Asset Markets

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Author Info
 Copeland, Thomas E
Friedman, Daniel

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Abstract

The authors develop a model of market efficiency assuming private information is partially revealed to uninformed traders via the behavior of those who are informed. This partial revelation of information model is tested in fourteen computerized double auction laboratory markets. It explains the market value and allocation of purchased information, and asset allocations, better than either a fully revealing information model (FRE strong-form efficiency) or a nonrevealing expectations model; but it takes second place to FRE in explaining asset prices. The authors conjecture that refined versions of partial revelation of information may provide insight into "technical analysis" and minibubbles in securities markets. Copyright 1991 by American Finance Association.

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Publisher Info
Article provided by American Finance Association in its journal Journal of Finance.

Volume (Year): 46 (1991)
Issue (Month): 1 (March)
Pages: 265-95
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Handle: RePEc:bla:jfinan:v:46:y:1991:i:1:p:265-95

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  1. Gary Charness & Uri Gneezy, 2003. "Portfolio Choice and Risk Attitudes: An Experiment," University of California at Santa Barbara, Economics Working Paper Series 12-03, Department of Economics, UC Santa Barbara. [Downloadable!]
  2. Olivier Brandouy & Pascal Barneto & Lawrence Leger, 2003. "Asymmetric information, imitative behaviour and communication: price formation in an experimental asset market," European Journal of Finance, Taylor and Francis Journals, vol. 9(5), pages 393-419, October. [Downloadable!] (restricted)
  3. Earl A. Thompson & Jonathan Treussard & Charles R. Hickson, 2004. "Predicting Bubbles and Bubbles-Substitutes," UCLA Economics Working Papers 836, UCLA Department of Economics. [Downloadable!]
  4. David Bodoff & Hugo Levecq & Hongtao Zhang, 2006. "EDGAR on the internet: The welfare effects of wider information distribution in an experimental market for risky assets," Experimental Economics, Springer, vol. 9(4), pages 361-381, December. [Downloadable!] (restricted)
  5. Barner, Martin & Feri, Francesco & Plott, Charles, 2004. "On the Microstructure of Price Determination and Information Aggregation with Sequential and Asymmetric Information Arrival in an Experimental Asset Market," Working Papers 1204, California Institute of Technology, Division of the Humanities and Social Sciences. [Downloadable!]
  6. Noeth, Markus & Camerer, Colin F. & Plott, Charles R. & Webber, Martin, 1999. "Information Aggregation in Experimental Asset Markets: Traps and Misaligned Beliefs," Working Papers 1060, California Institute of Technology, Division of the Humanities and Social Sciences. [Downloadable!]
  7. Kraemer, Carlo & Nöth, Markus & Weber, Martin, 2000. "Information Aggregation with Costly Information and Random Ordering: Experimental Evidence," Sonderforschungsbereich 504 Publications 00-35, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim. [Downloadable!]
  8. Flood, M.D. & Koedijk, C.G. & Dijk, M.A. van & Leeuwen, I.W. van, 2002. "Dividing the Pie," Research Paper ERS-2002-101-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
  9. Lucy F. Ackert & Bryan K. Church & Ping Zhang, 1999. "The effect of forecast bias on market behavior: evidence from experimental asset markets," Working Paper 99-4, Federal Reserve Bank of Atlanta. [Downloadable!]
  10. Carl Plat, 2005. "A Double Auction Market with Signals of Varying Precision," Experimental 0508004, EconWPA. [Downloadable!]
  11. Jens Grossklags & Carsten Schmidt, 2002. "Artificial Software Agents on Thin Double Auction Markets - A Human Trader Experiment," Discussion Papers on Strategic Interaction 2002-45, Max Planck Institute of Economics, Strategic Interaction Group. [Downloadable!]
  12. Lucy F. Ackert & Bryan K. Church & Ping Zhang, 2002. "Asset prices and informed traders' abilities: evidence from experimental asset markets," Working Paper 2002-26, Federal Reserve Bank of Atlanta. [Downloadable!]
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