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1 avril 2021
- ISIDORE Id: 10670/1.fbdb47...
- hal: hal-03188235
- doi: 10.1016/j.euroecorev.2021.103667
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info:eu-repo/semantics/altIdentifier/doi/10.1016/j.euroecorev.2021.103667
http://creativecommons.org/licenses/by-nc/ , info:eu-repo/semantics/OpenAccess
Mots-clés
Information aggregation cognitive reflection Experimental asset markets behavioral financeSujets proches
Public marketsCiter ce document
Brice Corgnet et al., « Information Aggregation and the Cognitive Make-up of Market Participants », HAL SHS (Sciences de l’Homme et de la Société), ID : 10.1016/j.euroecorev.2021.103667
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Résumé
We assess the effect of the cognitive make-up of market participants on the informational efficiency of markets. We put forth that cognitive skills, such as cognitive reflection, are crucial for ensuring the informational efficiency of markets because they endow participants with the ability to infer others’ information from prices. Using laboratory experiments, we show that information aggregation is significantly enhanced when (i) all participants possess high levels of cognitive sophistication and (ii) this high level of cognitive sophistication is common information for all participants. Our findings shed light on the cognitive and informational constraints underlying the efficient market hypothesis.
