Rational Expectations and the Aggregation of Diverse Information in Laboratory Security Markets
The study explores the information aggregation properties of experimental markets. A fully-revealing rational expectations equilibrium exists in the competitive model of each of the markets studied. For markets with a single compound security in which traders have identical preferences, the rational expectations equilibrium mod el works well. However, if traders are allowed to have different preferences in the single security case, the observed information aggregation is minimal and rational expectations are not attained. If the single security is transformed to a complete set of Arrow-Debreu , state-contingent claims, the rational expectations model works well even when preferences differ. Copyright 1988 by The Econometric Society.
(This abstract was borrowed from another version of this item.)
|Date of creation:|
|Date of revision:|
|Publication status:||Published in Econometrica 56(5) (September 1988): 1085-1118.|
|Contact details of provider:|| Postal: |
Phone: 626 395-4065
Fax: 626 405-9841
Web page: http://www.hss.caltech.edu/ss
|Order Information:|| Postal: Working Paper Assistant, Division of the Humanities and Social Sciences, 228-77, Caltech, Pasadena CA 91125|
When requesting a correction, please mention this item's handle: RePEc:clt:sswopa:463. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Victoria Mason)
If references are entirely missing, you can add them using this form.