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Information Mirages in Experimental Asset Markets


  • Camerer, Colin
  • Weigelt, Keith


One 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.

Suggested Citation

  • Camerer, Colin & Weigelt, Keith, 1991. "Information Mirages in Experimental Asset Markets," The Journal of Business, University of Chicago Press, vol. 64(4), pages 463-493, October.
  • Handle: RePEc:ucp:jnlbus:v:64:y:1991:i:4:p:463-93

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    References listed on IDEAS

    1. Marco Pagano, 1989. "Endogenous Market Thinness and Stock Price Volatility," Review of Economic Studies, Oxford University Press, vol. 56(2), pages 269-287.
    2. Robert J. Shiller, 1984. "Stock Prices and Social Dynamics," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 15(2), pages 457-510.
    3. De Long, J Bradford & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, 1990. "Noise Trader Risk in Financial Markets," Journal of Political Economy, University of Chicago Press, vol. 98(4), pages 703-738, August.
    4. John Y. Campbell & Albert S. Kyle, 1993. "Smart Money, Noise Trading and Stock Price Behaviour," Review of Economic Studies, Oxford University Press, vol. 60(1), pages 1-34.
    5. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-1335, November.
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