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Information Dissemination on Asset Markets with Endogenous and Exogenous Information: An Experimental Approacha

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  • Dennis Dittrich

  • Boris Maciejovsky

Abstract

In this paper we study information revelation on asset markets with endogenous and exogenous information. Our results indicate that superior information can only be exploited in the beginning of trading. Information disseminates on the market and informational advantages are counter-balanced over time. This result holds true for both, exogenous and precise endogenous information. Vague endogenous information, however, has no impact on individual payo . Furthermore, we find that excessive trading decreases individual earnings.

Suggested Citation

  • Dennis Dittrich & Boris Maciejovsky, "undated". "Information Dissemination on Asset Markets with Endogenous and Exogenous Information: An Experimental Approacha," Papers on Strategic Interaction 2002-03, Max Planck Institute of Economics, Strategic Interaction Group.
    • Handle: RePEc:esi:discus:2002-03
    Note: The authors acknowledge financial support by the University of Vienna under the project title “600 Jahre Universit¨at Wien”. Thanks are due to Tarek El-Sehity, Eva Hofmann, and Herbert Schwarzenberger, who helped to run the experiment at the University of Vienna. Valuable comments by Werner G¨uth, Hans Haumer, Christian Helmenstein, Erich Kirchler, and Erik Theissen are gratefully acknowledged.
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    References listed on IDEAS

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    7. Kirchler, Erich & Maciejovsky, Boris, 2002. "Simultaneous Over- and Underconfidence: Evidence from Experimental Asset Markets," Journal of Risk and Uncertainty, Springer, vol. 25(1), pages 65-85, July.
    8. Scholes, Myron S, 1972. "The Market for Securities: Substitution versus Price Pressure and the Effects of Information on Share Prices," The Journal of Business, University of Chicago Press, vol. 45(2), pages 179-211, April.
    9. 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.
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    12. Brad M. Barber & Terrance Odean, 2000. "Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors," Journal of Finance, American Finance Association, vol. 55(2), pages 773-806, April.
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    Cited by:

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    2. Morone, Andrea & Nuzzo, Simone, 2015. "Market Efficiency, Trading Institutions and Information Mirages: evidence from an experimental asset market," MPRA Paper 67448, University Library of Munich, Germany.
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    4. Merl, Robert, 2022. "Literature review of experimental asset markets with insiders," Journal of Behavioral and Experimental Finance, Elsevier, vol. 33(C).

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    Keywords

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    JEL classification:

    • C90 - Mathematical and Quantitative Methods - - Design of Experiments - - - General
    • D40 - Microeconomics - - Market Structure, Pricing, and Design - - - General
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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