Reconsidering Rational Expectations and the Aggregation of Diverse Information in Laboratory Security Markets
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4 juin 2019
- handle: 10670/1.5kyy5a
- halshs: halshs-02146611
info:eu-repo/semantics/OpenAccess
Mots-clés
Replication Aggregation Efficient Markets Rational Expectations Experiments D - Microeconomics/D.D9 - Intertemporal Choice G - Financial Economics/G.G1 - General Financial Markets/G.G1.G14 - Information and Market Efficiency • Event Studies • Insider TradingSujets proches
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Brice Corgnet et al., « Reconsidering Rational Expectations and the Aggregation of Diverse Information in Laboratory Security Markets », HALSHS : archive ouverte en Sciences de l’Homme et de la Société, ID : 10670/1.5kyy5a
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Résumé
The ability of markets to aggregate diverse information is a cornerstone of economics and finance, and empirical evidence for such aggregation has been demonstrated in previous laboratory experiments. Most notably Plott and Sunder (1988) find clear support for the rational expectations hypothesis in their Series B and C markets. However, recent studies have called into question the robustness of these findings. In this paper, we report the result of a direct replication of the key information aggregation results presented in Plott and Sunder. We do not find the same strong evidence in support of rational expectations that Plott and Sunder report suggesting information aggregation is a fragile property of markets.