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The effects of public disclosures and information acquisition on price informativeness in a multi-attribute asset market

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  • Davis, Douglas
  • Korenok, Oleg
  • Lightle, John

Abstract

We report a laboratory experiment that evaluates the impact of public information disclosures on a real decision maker’s capacity to learn about the components of a multi-attribute asset in an environment with endogenous information acquisition. The environment, inspired by Goldstein and Yang (2019), features an asset of uncertain value that consists of two inseparable components. A real decision maker has much more precise information than the market about one component, but no better information than the market about the other. Following the release of the public signal, speculators make private information acquisition decisions for each component. The model predicts that to best learn about the value of the component for which they are relatively uninformed, the real decision maker should disclose information about that which they know more. Despite smaller than expected differences in prices across treatments, experimental results largely support this prediction.

Suggested Citation

  • Davis, Douglas & Korenok, Oleg & Lightle, John, 2025. "The effects of public disclosures and information acquisition on price informativeness in a multi-attribute asset market," Journal of Behavioral and Experimental Finance, Elsevier, vol. 47(C).
    • Handle: RePEc:eee:beexfi:v:47:y:2025:i:c:s2214635025000656
    DOI: 10.1016/j.jbef.2025.101084
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    JEL classification:

    • C92 - Mathematical and Quantitative Methods - - Design of Experiments - - - Laboratory, Group Behavior
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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