On the role of heterogeneous and imperfect information in a laboratory financial market

Simone Alfarano, Iván Barreda-Tarrazona () and Eva Camacho-Cuena
Authors registered in the RePEc Author Service: Eva Camacho Cuena ()

Central European Journal of Operations Research, 2006, vol. 14, issue 4, 417-433

Abstract: In this paper, we analyze the behavior of a group of heterogeneously informed investors in an laboratory asset market. Our experimental setting is inspired by Huber et al. (On the benefit of information in markets with heterogeneously informed traders: an experimental study, 2004). However, instead of their system of cumulative and exogenously given information structure, we introduce an information market where the traders can buy an imperfect prediction of the future value of the dividend with a maximum anticipation of four periods. The accuracy of the prediction decreases with the chosen time horizon, whereas its price remains constant. Our results confirm a non-strictly monotonic increasing value of the information. Copyright Springer-Verlag 2006

Keywords: Asset market; Experimental study; Asymmetric information; Information support (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (17)

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DOI: 10.1007/s10100-006-0014-7

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