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Article Dans Une Revue Management Science Année : 2023

When Do Security Markets Aggregate Dispersed Information?

Cary Deck
  • Fonction : Auteur
Mark Desantis
  • Fonction : Auteur
Kyle Hampton
  • Fonction : Auteur
Erik O. Kimbrough
  • Fonction : Auteur

Résumé

"We attempt to replicate a seminal paper that offered support for the rational expectations hypothesis and reported evidence that markets with certain features aggregate dispersed information. The original results are based on only a few observations, and our attempt to replicate the key findings with an appropriately powered experiment largely fails. The resulting poststudy probability that market performance is better described by rational expectations than the prior information (Walrasian) model under the conditions specified in the original paper is very low. As a result of our failure to replicate, we investigate an alternate set of market features that combines aspects of the original experimental design. For these markets, which include both contingent claims and homogeneous dividend payments (as in many prediction markets), we do find robust evidence of information aggregation in support of the rational expectations model. In total, our results indicate that information aggregation in asset markets is fragile and should only be expected in limited circumstances."
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Dates et versions

hal-04325683 , version 1 (06-12-2023)

Identifiants

  • HAL Id : hal-04325683 , version 1

Citer

Brice Corgnet, Cary Deck, Mark Desantis, Kyle Hampton, Erik O. Kimbrough. When Do Security Markets Aggregate Dispersed Information?. Management Science, 2023, 69 (6), 3697-3729 p. ⟨hal-04325683⟩

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