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Reconsidering Rational Expectations and the Aggregation of Diverse Information in Laboratory Security Markets

Brice Corgnet (), Cary Deck, Mark DeSantis, Kyle Hampton and Erik Kimbrough
Additional contact information
Mark DeSantis: Chapman University
Kyle Hampton: Chapman University

No 1920, Working Papers from Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon

Abstract: 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.

Keywords: Aggregation; Efficient Markets; Rational Expectations; Experiments; Replication (search for similar items in EconPapers)
JEL-codes: D92 G14 (search for similar items in EconPapers)
Date: 2019
New Economics Papers: this item is included in nep-exp
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Related works:
Working Paper: Reconsidering Rational Expectations and the Aggregation of Diverse Information in Laboratory Security Markets (2020) Downloads
Working Paper: Reconsidering Rational Expectations and the Aggregation of Diverse Information in Laboratory Security Markets (2019) Downloads
Working Paper: Reconsidering Rational Expectations and the Aggregation of Diverse Information in Laboratory Security Markets (2019) Downloads
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