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Do market prices reveal the decision models of sophisticated investors?: Evidence from the laboratory

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  • Chewning, Eugene Jr.
  • Coller, Maribeth
  • Tuttle, Brad

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  • Chewning, Eugene Jr. & Coller, Maribeth & Tuttle, Brad, 2004. "Do market prices reveal the decision models of sophisticated investors?: Evidence from the laboratory," Accounting, Organizations and Society, Elsevier, vol. 29(8), pages 739-758, November.
    • Handle: RePEc:eee:aosoci:v:29:y:2004:i:8:p:739-758
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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 663-698, August.
    2. Ananda Ganguly & John Kagel & Donald Moser, 2000. "Do Asset Market Prices Reflect Traders' Judgment Biases?," Journal of Risk and Uncertainty, Springer, vol. 20(3), pages 219-245, May.
    3. 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.
    4. Sunder, Shyam, 1992. "Market for Information: Experimental Evidence," Econometrica, Econometric Society, vol. 60(3), pages 667-695, May.
    5. Lee, Charles M C & Mucklow, Belinda & Ready, Mark J, 1993. "Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis," The Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 345-374.
    6. Meyers, Stephen L, 1973. "A Re-Examination of Market and Industry Factors in Stock Price Behavior," Journal of Finance, American Finance Association, vol. 28(3), pages 695-705, June.
    7. Ashton, Rh, 1981. "A Descriptive Study Of Information Evaluation," Journal of Accounting Research, Wiley Blackwell, vol. 19(1), pages 42-61.
    8. Grossman, Sanford J & Stiglitz, Joseph E, 1980. "On the Impossibility of Informationally Efficient Markets," American Economic Review, American Economic Association, vol. 70(3), pages 393-408, June.
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    10. O'Brien, John & Srivastava, Sanjay, 1991. "Dynamic Stock Markets with Multiple Assets: An Experimental Analysis," Journal of Finance, American Finance Association, vol. 46(5), pages 1811-1838, December.
    11. Camerer, Colin F, 1987. "Do Biases in Probability Judgment Matter in Markets? Experimental Evidence," American Economic Review, American Economic Association, vol. 77(5), pages 981-997, December.
    12. Jennings, Robert H & Starks, Laura T & Fellingham, John C, 1981. "An Equilibrium Model of Asset Trading with Sequential Information Arrival," Journal of Finance, American Finance Association, vol. 36(1), pages 143-161, March.
    13. Fama, Eugene F, 1991. "Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-1617, December.
    14. Shanteau, James, 1992. "Competence in experts: The role of task characteristics," Organizational Behavior and Human Decision Processes, Elsevier, vol. 53(2), pages 252-266, November.
    15. Sunder, S., 1992. "Experimental Asset Markets: A Survey," GSIA Working Papers 1992-19, Carnegie Mellon University, Tepper School of Business.
    16. Coller, M & Yohn, TL, 1997. "Management forecasts and information asymmetry: An examination of bid-ask spreads," Journal of Accounting Research, Wiley Blackwell, vol. 35(2), pages 181-191.
    17. Libby, Robert & Bloomfield, Robert & Nelson, Mark W., 2002. "Experimental research in financial accounting," Accounting, Organizations and Society, Elsevier, vol. 27(8), pages 775-810, November.
    18. Marchant, G, 1990. "Determinants Of Auditor Expertise - Discussion," Journal of Accounting Research, Wiley Blackwell, vol. 28, pages 21-28.
    19. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    20. Forsythe, Robert & Palfrey, Thomas R & Plott, Charles R, 1982. "Asset Valuation in an Experimental Market," Econometrica, Econometric Society, vol. 50(3), pages 537-567, May.
    21. Diamond, Douglas W. & Verrecchia, Robert E., 1981. "Information aggregation in a noisy rational expectations economy," Journal of Financial Economics, Elsevier, vol. 9(3), pages 221-235, September.
    22. Tuttle, Brad & Coller, Maribeth & Burton, F. Greg, 1997. "An examination of market efficiency: Information order effects in a laboratory market," Accounting, Organizations and Society, Elsevier, vol. 22(1), pages 89-103, January.
    23. 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.
    24. Copeland, Thomas E, 1976. "A Model of Asset Trading under the Assumption of Sequential Information Arrival," Journal of Finance, American Finance Association, vol. 31(4), pages 1149-1168, September.
    25. Blume, Marshall E, 1971. "On the Assessment of Risk," Journal of Finance, American Finance Association, vol. 26(1), pages 1-10, March.
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    Cited by:

    1. G. Geoffrey Booth & Juha‐Pekka Kallunki & Petri Sahlström & Jaakko Tyynelä, 2011. "Foreign vs domestic investors and the post‐announcement drift," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 7(3), pages 220-237, June.
    2. Ackert, Lucy F. & Church, Bryan K. & Zhang, Ping, 2018. "Informed traders’ performance and the information environment: Evidence from experimental asset markets," Accounting, Organizations and Society, Elsevier, vol. 70(C), pages 1-15.
    3. Beaver, William & McNichols, Maureen & Price, Richard, 2016. "The costs and benefits of long-short investing: A perspective on the market efficiency literature," Journal of Accounting Literature, Elsevier, vol. 37(C), pages 1-18.
    4. Burton, F. Greg & Coller, Maribeth & Tuttle, Brad, 2006. "Market responses to qualitative information from a group polarization perspective," Accounting, Organizations and Society, Elsevier, vol. 31(2), pages 107-127, February.

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