It is hard to beat the Monkeys - On the Value of Asymmetric Fundamental Information in Asset Markets

Michael Kirchler ()

Working Papers from Faculty of Economics and Statistics, University of Innsbruck

Abstract: In this paper we present results from experimental asset markets and simulations with traders who receive asymmetric information about the fundamental value of an asset. In the experimental markets with repetition insiders outperform the market and uninformed computerized random traders (monkeys) perform equally well compared to average informed traders. This is in line with the results of the equilibrium simulation output in which traders choose between a random strategy and their fundamental strategy. We further find that pattern of average informed not being able to beat the uninformed is not due to their overconfidence but due to the asymmetric information structure of the market.

Keywords: Information economics; experimental economics; agent-based model; overconfidence; value of information (search for similar items in EconPapers)
JEL-codes: C91 C92 G14 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cmp, nep-cta, nep-exp and nep-mst
Date: 2008
View list of references

Downloads: (external link)
http://www.uibk.ac.at/fakultaeten/volkswirtschaft_ ... n/wpaper/2008-19.pdf

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:inn:wpaper:2008-19

Access Statistics for this paper

More papers in Working Papers from Faculty of Economics and Statistics, University of Innsbruck
Contact information at EDIRC.
Series data maintained by Matthias Sutter ().