Information Mirages in Experimental Asset Markets
AbstractOne explanation for the apparent volatility of asset prices is that people overreact to trades that are uninformative, creating self-generated information "mirages." The authors test whether mirages occur in experimental asset markets. There are insiders in only half the periods, so traders cannot be sure if the trades of others reveal information. The authors observed four clear mirages in forty-seven periods without insiders. Mirages always occurred early in an experimental session; in later periods, traders learn whether there are insiders by observing nonprice information, such as the speed of trading, and mirages occurred only temporarily. Copyright 1991 by University of Chicago Press.
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Bibliographic InfoArticle provided by University of Chicago Press in its journal Journal of Business.
Volume (Year): 64 (1991)
Issue (Month): 4 (October)
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