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Citations for "Efficiency of Experimental Security Markets with Insider Information: An Application of Rational-Expectations Models"

by Plott, Charles R & Sunder, Shyam

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  1. Snowberg, Erik & Wolfers, Justin & Zitzewitz, Eric, 2013. "Prediction Markets for Economic Forecasting," Handbook of Economic Forecasting, Elsevier.
  2. Kirchler, Michael & Huber, Jurgen, 2007. "Fat tails and volatility clustering in experimental asset markets," Journal of Economic Dynamics and Control, Elsevier, vol. 31(6), pages 1844-1874, June.
  3. Martin Barner & Francesco Feri & Charles R. Plott, 2005. "On the microstructure of price determination and information aggregation with sequential and asymmetric information arrival in an experimental asset market," Annals of Finance, Springer, vol. 1(1), pages 73-107, 01.
  4. Esther B. Brio & Ilidio Lopes-e-Silva & Javier Perote, 2016. "Effects of opportunistic behaviors on security markets: an experimental approach to insider trading and earnings management," Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 33(3), pages 379-402, December.
  5. Sunder, Shyam, 2002. "Regulatory competition among accounting standards within and across international boundaries," Journal of Accounting and Public Policy, Elsevier, vol. 21(3), pages 219-234.
  6. James R. Marsden & Y. Alex Tung, 1999. "The Use of Information System Technology to Develop Tests on Insider Trading and Asymmetric Information," Management Science, INFORMS, vol. 45(8), pages 1025-1040, August.
  7. Hirota, Shinichi & Sunder, Shyam, 2007. "Price bubbles sans dividend anchors: Evidence from laboratory stock markets," Journal of Economic Dynamics and Control, Elsevier, vol. 31(6), pages 1875-1909, June.
  8. Gary Charness & Uri Gneezy, 2010. "Portfolio Choice And Risk Attitudes: An Experiment," Economic Inquiry, Western Economic Association International, vol. 48(1), pages 133-146, 01.
  9. Bottazzi, Giulio & Devetag, Giovanna & Pancotto, Francesca, 2011. "Does volatility matter? Expectations of price return and variability in an asset pricing experiment," Journal of Economic Behavior & Organization, Elsevier, vol. 77(2), pages 124-146, February.
  10. Nicholas Seybert & Robert Bloomfield, 2009. "Contagion of Wishful Thinking in Markets," Management Science, INFORMS, vol. 55(5), pages 738-751, May.
  11. GlennW. Harrison & JohnA. List, 2008. "Naturally Occurring Markets and Exogenous Laboratory Experiments: A Case Study of the Winner's Curse," Economic Journal, Royal Economic Society, vol. 118(528), pages 822-843, 04.
  12. Frédéric Gagey & Patrick Rey, 1986. "L'économie expérimentale comme outil pédagogique : élaboration d'un jeu d'initiation à la micro-économie," Revue Économique, Programme National Persée, vol. 37(1), pages 5-30.
  13. Luo, Guo Ying, 2003. "Evolution, efficiency and noise traders in a one-sided auction market," Journal of Financial Markets, Elsevier, vol. 6(2), pages 163-197, April.
  14. Thomas Stoeckl, 2013. "Price efficiency and trading behavior in limit order markets with competing insiders," Working Papers 2013-11, Faculty of Economics and Statistics, University of Innsbruck.
  15. Paul J. Healy & Sera Linardi & J. Richard Lowery & John O. Ledyard, 2010. "Prediction Markets: Alternative Mechanisms for Complex Environments with Few Traders," Management Science, INFORMS, vol. 56(11), pages 1977-1996, November.
  16. Bloomfield, Robert & Libby, Robert & Nelson, Mark W., 1999. "Confidence and the welfare of less-informed investors," Accounting, Organizations and Society, Elsevier, vol. 24(8), pages 623-647, November.
  17. Peter Wakker & Veronika Köbberling & Christiane Schwieren, 2007. "Prospect-theory’s Diminishing Sensitivity Versus Economics’ Intrinsic Utility of Money: How the Introduction of the Euro can be Used to Disentangle the Two Empirically," Theory and Decision, Springer, vol. 63(3), pages 205-231, November.
  18. 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.
  19. Angrisani Marco & Guarino Antonio & Huck Steffen & Larson Nathan C, 2011. "No-Trade in the Laboratory," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 11(1), pages 1-58, April.
  20. Anthony Newell & Lionel Page, 2017. "Countercyclical risk aversion and self-reinforcing feedback loops in experimental asset markets," QuBE Working Papers 050, QUT Business School.
  21. Cary Deck & David Porter, 2013. "Prediction Markets In The Laboratory," Journal of Economic Surveys, Wiley Blackwell, vol. 27(3), pages 589-603, 07.
  22. Matthias Sutter & Jürgen Huber & Michael Kirchler, 2012. "Bubbles and Information: An Experiment," Management Science, INFORMS, vol. 58(2), pages 384-393, February.
  23. Marc Vorsatz & Helena Veiga, 2008. "The Effect of Short–Selling on the Aggregation of Information in an Experimental Asset Market," Working Papers 2008-26, FEDEA.
  24. J. P. Krahnen & C. Rieck & E. Theissen, 1999. "Insider trading and portfolio structure in experimental asset markets with a long-lived asset," The European Journal of Finance, Taylor & Francis Journals, vol. 5(1), pages 29-50.
  25. Takács, Károly, 2010. "Hálózati kísérletek
    [Network experiments]
    ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(11), pages 958-979.
  26. Marsden, James R. & Alex Tung, Y., 1997. "Asymmetric information A laboratory experimental analysis," European Journal of Operational Research, Elsevier, vol. 99(2), pages 256-266, June.
  27. Karim Jamal & Michael Maier & Shyam Sunder, 2017. "Simple Agents, Intelligent Markets," Computational Economics, Springer;Society for Computational Economics, vol. 49(4), pages 653-675, April.
  28. Huber, Juergen & Shubik, Martin & Sunder, Shyam, 2007. "Three Minimal Market Institutions: Theory and Experimental Evidence," Working Papers 27, Yale University, Department of Economics.
  29. Barreda Tarrazona, Iván J. & Grimalda, Gianluca & Morone, Andrea & Nuzzo, Simone & Teglio, Andrea, 2017. "Centralizing information improves market efficiency more than increasing information: Results from experimental asset markets," Kiel Working Papers 2072, Kiel Institute for the World Economy (IfW).
  30. Shinichi Hirota & Juergen Huber & Thomas Stock & Shyam Sunder, 2015. "Investment Horizons and Price Indeterminacy in Financial Markets," Cowles Foundation Discussion Papers 2001, Cowles Foundation for Research in Economics, Yale University.
  31. 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.
  32. Hidetoshi Yamaji & Masatoshi Gotoh & Yoshinori Yamakawa, 2016. "Additional Information Increases Uncertainty in the Securities Market: Using both Laboratory and fMRI Experiments," Computational Economics, Springer;Society for Computational Economics, vol. 48(3), pages 425-451, October.
  33. Halim, Edward & Riyanto, Yohanes Eko & Roy, Nilanjan, 2016. "Price Dynamics and Consumption Smoothing in Experimental Asset Markets," MPRA Paper 71631, University Library of Munich, Germany.
  34. Gregory Waymire & Sudipta Basu, 2011. "Economic crisis and accounting evolution," Accounting and Business Research, Taylor & Francis Journals, vol. 41(3), pages 207-232, August.
  35. van Bruggen, G.H. & Spann, M. & Lilien, G.L. & Skiera, B., 2006. "Institutional Forecasting: The Performance of Thin Virtual Stock Markets," ERIM Report Series Research in Management ERS-2006-028-MKT, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  36. repec:pit:wpaper:489 is not listed on IDEAS
  37. Huber, Jürgen & Kleinlercher, Daniel & Kirchler, Michael, 2012. "The impact of a financial transaction tax on stylized facts of price returns—Evidence from the lab," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1248-1266.
  38. John Griffin, 2015. "Risk Premia and Knightian Uncertainty in an Experimental Market Featuring a Long-Lived Asset," Fordham Economics Discussion Paper Series dp2015-01, Fordham University, Department of Economics.
  39. Oechssler, Jörg & Schmidt, Carsten & Schnedler, Wendelin, 2011. "On the ingredients for bubble formation: Informed traders and communication," Journal of Economic Dynamics and Control, Elsevier, vol. 35(11), pages 1831-1851.
  40. Hommes, Cars, 2011. "The heterogeneous expectations hypothesis: Some evidence from the lab," Journal of Economic Dynamics and Control, Elsevier, vol. 35(1), pages 1-24, January.
  41. Jason Shachat & Anand Srinivasan, 2011. "Informational Price Cascades and Non-aggregation of Asymmetric Information in Experimental Asset Markets," Working Papers 1102, Xiamen Unversity, The Wang Yanan Institute for Studies in Economics, Finance and Economics Experimental Laboratory, revised 14 Apr 2011.
  42. Razen, Michael & Huber, Jürgen & Kirchler, Michael, 2017. "Cash inflow and trading horizon in asset markets," European Economic Review, Elsevier, vol. 92(C), pages 359-384.
  43. Morone, Andrea & Nuzzo, Simone, 2016. "Asset Markets in the Lab: a literature review," MPRA Paper 70461, University Library of Munich, Germany.
  44. Pouget, Sebastien, 2007. "Financial market design and bounded rationality: An experiment," Journal of Financial Markets, Elsevier, vol. 10(3), pages 287-317, August.
  45. Olivier Brandouy & Angelo Corelli & Iryna Veryzhenko & Roger Waldeck, 2012. "A re-examination of the “zero is enough” hypothesis in the emergence of financial stylized facts," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 7(2), pages 223-248, October.
  46. Justin Wolfers & Eric Zitzewitz, 2004. "Prediction Markets," Journal of Economic Perspectives, American Economic Association, vol. 18(2), pages 107-126, Spring.
  47. Jan Krahnen & Martin Weber, 2001. "Marketmaking in the Laboratory: Does Competition Matter?," Experimental Economics, Springer;Economic Science Association, vol. 4(1), pages 55-85, June.
  48. Coller, Maribeth & Tuttle, Brad, 2002. "The acquisition of price-relevant domain knowledge by a market," Journal of Economic Psychology, Elsevier, vol. 23(1), pages 77-101, February.
  49. Mazzocchetti, Andrea & Raberto, Marco & Teglio, Andrea & Cincotti, Silvano, 2017. "Securitisation and Business Cycle: An Agent-Based Perspective," MPRA Paper 76760, University Library of Munich, Germany.
  50. Biais, Bruno & Mariotti, Thomas & Moinas, Sophie & Pouget, Sébastien, 2017. "Asset pricing and risk sharing in a complete market: An experimental investigation," TSE Working Papers 17-798, Toulouse School of Economics (TSE).
  51. Ana Fostel, 2012. "Leverage and Asset Prices: An Experiment," Working Papers 2012-1, The George Washington University, Institute for International Economic Policy.
  52. Oechssler, Jörg & Schmidt, Carsten & Schnedler, Wendelin, 2007. "Asset bubbles without dividends : an experiment," Papers 07-01, Sonderforschungsbreich 504.
  53. Frieden, B. Roy & Hawkins, Raymond J., 2010. "Asymmetric information and economics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(2), pages 287-295.
  54. Vernon L. Smith, 2003. "Constructivist and Ecological Rationality in Economics," American Economic Review, American Economic Association, vol. 93(3), pages 465-508, June.
  55. Jason Shachat & Anthony Westerling, 2006. "Information aggregation in a catastrophe futures market," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 27(6), pages 477-495.
  56. Biais, Bruno & Glosten, Larry & Spatt, Chester, 2005. "Market microstructure: A survey of microfoundations, empirical results, and policy implications," Journal of Financial Markets, Elsevier, vol. 8(2), pages 217-264, May.
  57. 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.
  58. Theissen, Erik, 2000. "Market structure, informational efficiency and liquidity: An experimental comparison of auction and dealer markets," Journal of Financial Markets, Elsevier, vol. 3(4), pages 333-363, November.
  59. 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.
  60. Hales, Jeffrey, 2009. "Are investors really willing to agree to disagree? An experimental investigation of how disagreement and attention to disagreement affect trading behavior," Organizational Behavior and Human Decision Processes, Elsevier, vol. 108(2), pages 230-241, March.
  61. Guth, Werner & Krahnen, Jan P. & Rieck, Christian, 1997. "Financial markets with asymmetric information: A pilot study focusing on insider advantages," Journal of Economic Psychology, Elsevier, vol. 18(2-3), pages 235-257, April.
  62. Douglas Davis & Oleg Korenok & Edward Simpson Prescott, 2014. "An Experimental Analysis of Contingent Capital with Market‐Price Triggers," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(5), pages 999-1033, 08.
  63. RYan Oprea & David Porter & Chris Hibbert & Robin Hanson & Dorina Tila, 2008. "Can Manipulators Mislead Prediction Market Observers?," Working Papers 08-01, Chapman University, Economic Science Institute.
  64. Jakob Grazzini, 2013. "Information dissemination in an experimentally based agent-based stock market," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 8(1), pages 179-209, April.
  65. Tapia, Mikel & Moreno, David & Gil-Bazo, Javier, 2005. "Price dynamics, informational efficiency and wealth distribution in continuous double auction markets," DEE - Working Papers. Business Economics. WB wb057819, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  66. Chewning, Eugene Jr. & Coller, Maribeth & Tuttle, Brad, 2004. "Do market prices reveal the decision models of sophisticated investors?: Evidence from the laboratory," Accounting, Organizations and Society, Elsevier, vol. 29(8), pages 739-758, November.
  67. Kay-Yut Chen & Leslie R. Fine & Bernardo A. Huberman, 2001. "Forecasting Uncertain Events with Small Groups," Papers cond-mat/0108028, arXiv.org.
  68. 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.
  69. Veiga, Helena & Vorsatz, Marc, 2009. "Price manipulation in an experimental asset market," European Economic Review, Elsevier, vol. 53(3), pages 327-342, April.
  70. Burton, F. Greg & Coller, Maribeth & Tuttle, Brad, 2006. "Market responses to qualitative information from a group polarization perspective," Accounting, Organizations and Society, Elsevier, vol. 31(2), pages 107-127, February.
  71. David V. Budescu & Boris Maciejovsky, 2005. "The Effect of Payoff Feedback and Information Pooling on Reasoning Errors: Evidence from Experimental Markets," Management Science, INFORMS, vol. 51(12), pages 1829-1843, December.
  72. Douglas Davis & Edward Simpson Prescott & Oleg Korenok, 2011. "An experimental analysis of contingent capital triggering mechanisms," Working Paper 11-01, Federal Reserve Bank of Richmond.
  73. Plott, Charles R. & Llewellyn, Morgan, 2015. "Information transfer and aggregation in an uninformed committee: A model for the selection and use of biased expert advice," European Journal of Political Economy, Elsevier, vol. 40(PB), pages 208-223.
  74. Huber, Juergen & Shubik, Martin & Sunder, Shyam, 2010. "Three minimal market institutions with human and algorithmic agents: Theory and experimental evidence," Games and Economic Behavior, Elsevier, vol. 70(2), pages 403-424, November.
  75. Ortmann, Andreas, 2003. "Charles R. Plott's collected papers on the experimental foundations of economic and political science," Journal of Economic Psychology, Elsevier, vol. 24(4), pages 555-575, August.
  76. Kay-Yut Chen & Leslie R. Fine & Bernardo A. Huberman, 2004. "Eliminating Public Knowledge Biases in Information-Aggregation Mechanisms," Management Science, INFORMS, vol. 50(7), pages 983-994, July.
  77. John Dickhaut & Shengle Lin & David Porter & Vernon L. Smith, 2010. "Durability, Re-trading and Market Performance," Working Papers 10-01, Chapman University, Economic Science Institute.
  78. 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.
  79. 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.
  80. Grazzini, J., 2011. "Experimental Based, Agent Based Stock Market," CeNDEF Working Papers 11-07, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  81. Michael Razen & Jürgen Huber & Michael Kirchler, 2016. "Cash Inflow and Trading Horizon in Asset Markets," Working Papers 2016-06, Faculty of Economics and Statistics, University of Innsbruck.
  82. Weber, Martin & Welfens, Frank, 2007. "How do Markets React to Fundamental Shocks? An Experimental Analysis on Underreaction and Momentum," Sonderforschungsbereich 504 Publications 07-42, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
  83. David V. Budescu & Boris Maciejovsky, 2004. "The Effect of Monetary Feedback and Information Spillovers on Cognitive Errors: Evidence from Competitive Markets," Papers on Strategic Interaction 2004-32, Max Planck Institute of Economics, Strategic Interaction Group.
  84. Huber, Jürgen & Kirchler, Michael & Stefan, Matthias, 2014. "Experimental evidence on varying uncertainty and skewness in laboratory double-auction markets," Journal of Economic Behavior & Organization, Elsevier, vol. 107(PB), pages 798-809.
  85. Douglas M. Gale & Shachar Kariv, 2009. "Trading in Networks: A Normal Form Game Experiment," American Economic Journal: Microeconomics, American Economic Association, vol. 1(2), pages 114-132, August.
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  87. Kirchler, Michael, 2009. "Underreaction to fundamental information and asymmetry in mispricing between bullish and bearish markets. An experimental study," Journal of Economic Dynamics and Control, Elsevier, vol. 33(2), pages 491-506, February.
  88. Alfarano, Simone & Camacho, Eva & Petrovic, Marko & Provenzano, Giulia, 2014. "The Interplay between Public and Private Information in Asset Markets: Theoretical and Experimental Approaches," FinMaP-Working Papers 9, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
  89. Thomas Stöckl & Jürgen Huber & Michael Kirchler, 2015. "Multi-period experimental asset markets with distinct fundamental value regimes," Experimental Economics, Springer;Economic Science Association, vol. 18(2), pages 314-334, June.
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  91. Thomas Stöckl, 2014. "Price efficiency and trading behavior in limit order markets with competing insiders," Experimental Economics, Springer;Economic Science Association, vol. 17(2), pages 314-334, June.
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  94. 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.
  95. Kirchler, Michael & Huber, Jürgen, 2009. "An exploration of commonly observed stylized facts with data from experimental asset markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(8), pages 1631-1658.
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  100. Michael Kirchler, 2008. "It is hard to beat the Monkeys - On the Value of Asymmetric Fundamental Information in Asset Markets," Working Papers 2008-19, Faculty of Economics and Statistics, University of Innsbruck.
  101. Hidetoshi Yamaji & Masatoshi Gotoh, 2010. "Cognitive Bias in the Laboratory Security Market," Computational Economics, Springer;Society for Computational Economics, vol. 35(2), pages 101-126, February.
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  123. Stefan Palan & Thomas Stöckl, 2014. "When chasing the offender hurts the victim: Collateral damage from insider legislation," Working Paper Series, Social and Economic Sciences 2014-03, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz.
  124. Kirchler, Michael, 2010. "Partial knowledge is a dangerous thing - On the value of asymmetric fundamental information in asset markets," Journal of Economic Psychology, Elsevier, vol. 31(4), pages 643-658, August.
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  126. Claudia Keser & Andreas Markstädter, 2014. "Informational Asymmetries in Laboratory Asset Markets with State-Dependent Fundamentals," CIRANO Working Papers 2014s-30, CIRANO.
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  128. Hanson, Robin & Oprea, Ryan & Porter, David, 2006. "Information aggregation and manipulation in an experimental market," Journal of Economic Behavior & Organization, Elsevier, vol. 60(4), pages 449-459, August.
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  130. Axelrod, Boris S. & Kulick, Ben J. & Plott, Charles R. & Roust, Kevin A., 2009. "The design of improved parimutuel-type information aggregation mechanisms: Inaccuracies and the long-shot bias as disequilibrium phenomena," Journal of Economic Behavior & Organization, Elsevier, vol. 69(2), pages 170-181, February.
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