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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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  • Ackert, Lucy F. & Church, Bryan K. & Shehata, Mohamed, 1997. "Market behavior in the presence of costly, imperfect information: Experimental evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 33(1), pages 61-74, May.
  • Handle: RePEc:eee:jeborg:v:33:y:1997:i:1:p:61-74
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    1. Anderson, Matthew J. & Sunder, Shyam, 1995. "Professional Traders as Intuitive Bayesians," Organizational Behavior and Human Decision Processes, Elsevier, vol. 64(2), pages 185-202, November.
    2. 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.
    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. 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.
    6. 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.
    7. Forsythe, Robert & Lundholm, Russell, 1990. "Information Aggregation in an Experimental Market," Econometrica, Econometric Society, vol. 58(2), pages 309-347, March.
    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.
    9. Grossman, Sanford J & Stiglitz, Joseph E, 1976. "Information and Competitive Price Systems," American Economic Review, American Economic Association, vol. 66(2), pages 246-253, May.
    10. 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.
    11. 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.
    12. 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.
    13. 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 241-266, April.
    14. 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.
    15. 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.
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    Cited by:

    1. 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.
    2. 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.
    3. Halim, Edward & Riyanto, Yohanes Eko & Roy, Nilanjan, 2017. "Costly Information Acquisition, Social Networks and Asset Prices: Experimental Evidence," MPRA Paper 80658, University Library of Munich, Germany.
    4. 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.
    5. Ackert, Lucy F. & Church, Bryan K., 1998. "Information dissemination and the distribution of wealth: Evidence from experimental asset markets," Journal of Economic Behavior & Organization, Elsevier, vol. 37(3), pages 357-371, November.
    6. Markstädter, Andreas & Keser, Claudia, 2014. "Informational Asymmetries in Laboratory Asset Markets with State Dependent Fundamentals," Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100359, Verein für Socialpolitik / German Economic Association.
    7. Page, Lionel & Siemroth, Christoph, 2017. "An experimental analysis of information acquisition in prediction markets," Games and Economic Behavior, Elsevier, vol. 101(C), pages 354-378.
    8. Ackert, Lucy F. & Church, Bryan K. & Zhang, Ping, 2008. "What affects the market's ability to adjust for optimistic forecast bias? Evidence from experimental asset markets," Journal of Economic Behavior & Organization, Elsevier, vol. 66(2), pages 358-372, May.
    9. Claudia Keser & Andreas Markstädter, 2014. "Informational Asymmetries in Laboratory Asset Markets with State-Dependent Fundamentals," CIRANO Working Papers 2014s-30, CIRANO.
    10. Keser, Claudia & Markstädter, Andreas, 2014. "Informational asymmetries in laboratory asset markets with state-dependent fundamentals," Center for European, Governance and Economic Development Research Discussion Papers 207 [rev.], University of Goettingen, Department of Economics.
    11. 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, July.
    12. 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," FRB Atlanta Working Paper 2002-25, Federal Reserve Bank of Atlanta.
    13. 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.
    14. Lucy F. Ackert & Bryan K. Church & Ping Zhang, 1999. "The effect of forecast bias on market behavior: evidence from experimental asset markets," FRB Atlanta Working Paper 99-4, Federal Reserve Bank of Atlanta.
    15. Keser, Claudia & Markstädter, 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.

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