Cary Deck , Tae In Jun , Laura Razzolini , Tavoy Reid
{"title":"Information aggregation with heterogeneous traders","authors":"Cary Deck , Tae In Jun , Laura Razzolini , Tavoy Reid","doi":"10.1016/j.jbef.2024.100956","DOIUrl":null,"url":null,"abstract":"<div><p>The efficient market hypothesis predicts that asset prices reflect all available information. Recent experimental work found the rational expectation model to outperform the prior information model in contingent claim markets when traders hold homogeneous values, despite the no trade equilibrium. However, recent experiments have also demonstrated the inability of contingent claim markets to successfully aggregate information when traders hold highly differentiated asset values. These prior findings beg the question of whether homogeneous values are a necessary condition for efficient market outcomes in contingent claim markets. The experiments reported in this paper show that homogeneous values are not a necessary condition for information aggregation.</p></div>","PeriodicalId":47026,"journal":{"name":"Journal of Behavioral and Experimental Finance","volume":null,"pages":null},"PeriodicalIF":4.3000,"publicationDate":"2024-07-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Behavioral and Experimental Finance","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S2214635024000716","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
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Abstract
The efficient market hypothesis predicts that asset prices reflect all available information. Recent experimental work found the rational expectation model to outperform the prior information model in contingent claim markets when traders hold homogeneous values, despite the no trade equilibrium. However, recent experiments have also demonstrated the inability of contingent claim markets to successfully aggregate information when traders hold highly differentiated asset values. These prior findings beg the question of whether homogeneous values are a necessary condition for efficient market outcomes in contingent claim markets. The experiments reported in this paper show that homogeneous values are not a necessary condition for information aggregation.
期刊介绍：
Behavioral and Experimental Finance represent lenses and approaches through which we can view financial decision-making. The aim of the journal is to publish high quality research in all fields of finance, where such research is carried out with a behavioral perspective and / or is carried out via experimental methods. It is open to but not limited to papers which cover investigations of biases, the role of various neurological markers in financial decision making, national and organizational culture as it impacts financial decision making, sentiment and asset pricing, the design and implementation of experiments to investigate financial decision making and trading, methodological experiments, and natural experiments.
Journal of Behavioral and Experimental Finance welcomes full-length and short letter papers in the area of behavioral finance and experimental finance. The focus is on rapid dissemination of high-impact research in these areas.
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