On the role of heterogeneous and imperfect information in a laboratory financial market
In this paper, we analyze the behavior of a group of heterogeneously informed investors in an laboratory asset market. Our experimental setting is inspired by Huber et al. (On the benefit of information in markets with heterogeneously informed traders: an experimental study, 2004). However, instead of their system of cumulative and exogenously given information structure, we introduce an information market where the traders can buy an imperfect prediction of the future value of the dividend with a maximum anticipation of four periods. The accuracy of the prediction decreases with the chosen time horizon, whereas its price remains constant. Our results confirm a non-strictly monotonic increasing value of the information. Copyright Springer-Verlag 2006
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Volume (Year): 14 (2006)
Issue (Month): 4 (December)
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- Sunder, Shyam, 1992.
"Market for Information: Experimental Evidence,"
Econometric Society, vol. 60(3), pages 667-695, May.
- Huber, Jurgen & Kirchler, Michael & Sutter, Matthias, 2008. "Is more information always better: Experimental financial markets with cumulative information," Journal of Economic Behavior & Organization, Elsevier, vol. 65(1), pages 86-104, January.
- Smith, Vernon L & Suchanek, Gerry L & Williams, Arlington W, 1988. "Bubbles, Crashes, and Endogenous Expectations in Experimental Spot Asset Markets," Econometrica, Econometric Society, vol. 56(5), pages 1119-1151, September.
- Sunder, S., 1992. "Experimental Asset Markets: A Survey," GSIA Working Papers 1992-19, Carnegie Mellon University, Tepper School of Business.
- Charles Noussair & Stephane Robin & Bernard Ruffieux, 2001. "Price Bubbles in Laboratory Asset Markets with Constant Fundamental Values," Experimental Economics, Springer;Economic Science Association, vol. 4(1), pages 87-105, June.
- John D. Hey & Andrea Morone, 2004. "Do Markets Drive Out Lemmings-or Vice Versa?," Economica, London School of Economics and Political Science, vol. 71(284), pages 637-659, November.
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