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Market behavior in the presence of costly, imperfect information: Experimental evidence

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  • Ackert, Lucy F.
  • Church, Bryan K.
  • Shehata, Mohamed

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Economic Behavior & Organization.

Volume (Year): 33 (1997)
Issue (Month): 1 (May)
Pages: 61-74

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Handle: RePEc:eee:jeborg:v:33:y:1997:i:1:p:61-74

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Web page: http://www.elsevier.com/locate/jebo

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References

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  1. Plott, Charles R & Sunder, Shyam, 1982. "Efficiency of Experimental Security Markets with Insider Information: An Application of Rational-Expectations Models," Journal of Political Economy, University of Chicago Press, vol. 90(4), pages 663-98, August.
  2. Sanford J Grossman & Joseph E Stiglitz, 1997. "On the Impossibility of Informationally Efficient Markets," Levine's Working Paper Archive 1908, David K. Levine.
  3. Camerer, Colin, 1992. "The rationality of prices and volume in experimental markets," Organizational Behavior and Human Decision Processes, Elsevier, vol. 51(2), pages 237-272, March.
  4. Plott, Charles R & Sunder, Shyam, 1988. "Rational Expectations and the Aggregation of Diverse Information in Laboratory Security Markets," Econometrica, Econometric Society, vol. 56(5), pages 1085-1118, September.
  5. Grossman, Sanford J & Stiglitz, Joseph E, 1976. "Information and Competitive Price Systems," American Economic Review, American Economic Association, vol. 66(2), pages 246-53, May.
  6. Copeland, Thomas E & Friedman, Daniel, 1992. "The Market Value of Information: Some Experimental Results," The Journal of Business, University of Chicago Press, vol. 65(2), pages 241-66, April.
  7. Ganguly, Ananda R. & Kagel, John H. & Moser, Donald V., 1994. "The effects of biases in probability judgments on market prices," Accounting, Organizations and Society, Elsevier, vol. 19(8), pages 675-700, November.
  8. Forsythe, Robert & Lundholm, Russell, 1990. "Information Aggregation in an Experimental Market," Econometrica, Econometric Society, vol. 58(2), pages 309-47, March.
  9. Jamal, K. & Sunder, S., 1995. "Biased Heuristic Traders and Attainment of Bayesian Equilibria in Double Auctions," GSIA Working Papers 1995-09, Carnegie Mellon University, Tepper School of Business.
  10. Sunder, Shyam, 1992. "Market for Information: Experimental Evidence," Econometrica, Econometric Society, vol. 60(3), pages 667-95, May.
  11. Chopra, Navin & Lakonishok, Josef & Ritter, Jay R., 1992. "Measuring abnormal performance : Do stocks overreact?," Journal of Financial Economics, Elsevier, vol. 31(2), pages 235-268, April.
  12. Camerer, Colin F, 1987. "Do Biases in Probability Judgment Matter in Markets? Experimental Evidence," American Economic Review, American Economic Association, vol. 77(5), pages 981-97, December.
  13. Bernard, Victor L. & Thomas, Jacob K., 1990. "Evidence that stock prices do not fully reflect the implications of current earnings for future earnings," Journal of Accounting and Economics, Elsevier, vol. 13(4), pages 305-340, December.
  14. De Bondt, Werner F M & Thaler, Richard, 1985. " Does the Stock Market Overreact?," Journal of Finance, American Finance Association, vol. 40(3), pages 793-805, July.
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Citations

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Cited by:
  1. Olivier Brandouy & Pascal Barneto & Lawrence Leger, 2003. "Asymmetric information, imitative behaviour and communication: price formation in an experimental asset market," The European Journal of Finance, Taylor & Francis Journals, vol. 9(5), pages 393-419.
  2. 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.
  3. Ackert, Lucy F. & Church, Bryan & Jayaraman, Narayanan, 2001. "An experimental study of circuit breakers: The effects of mandated market closures and temporary halts on market behavior," Journal of Financial Markets, Elsevier, vol. 4(2), pages 185-208, April.
  4. Keser, Claudia & Markst├Ądter, Andreas, 2014. "Informational asymmetries in laboratory asset markets with state-dependent fundamentals," Center for European, Governance and Economic Development Research Discussion Papers 207, University of Goettingen, Department of Economics.
  5. Ackert, Lucy F. & Church, Bryan K. & Zhang, Ping, 2004. "Asset prices and informed traders' abilities: Evidence from experimental asset markets," Accounting, Organizations and Society, Elsevier, vol. 29(7), pages 609-626, October.
  6. Lucy F. Ackert & Bryan K. Church & Narayanan Jayaraman, 2002. "Circuit breakers with uncertainty about the presence of informed agents: I know what you know . . . I think," Working Paper 2002-25, Federal Reserve Bank of Atlanta.
  7. Ackert, Lucy F. & Church, Bryan K. & Zhang, Ping, 2002. "Market behavior in the presence of divergent and imperfect private information: experimental evidence from Canada, China, and the United States," Journal of Economic Behavior & Organization, Elsevier, vol. 47(4), pages 435-450, April.
  8. Russell Calk & Paul Haensly & Mary Jo Billiot, 2007. "The Effect of Returns History on the Current Period Relation Between Returns and Unexpected Earnings," Accounting Research Journal, Emerald Group Publishing, vol. 20(1), pages 5-20, May.

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