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

Plott, Charles R. and Snyder, Shyam (1983) Rational Expectations and the Aggregation of Diverse Information in Laboratory Security Markets. Social Science Working Paper, 463. Econometric Society , Pasadena, CA. https://resolver.caltech.edu/CaltechAUTHORS:20170922-165501575

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Abstract

The study explores the information aggregation properties of experimental markets in which a fully revealing rational expectations equilibrium exists. In single securities markets in which traders have different preferences, information aggregation seems to be minimal, and rational expectations equilibrium are not attained. If the market has a complete set of contingent claims securities or if preferences are identical, the rational expectations equilibrium model works well.


Item Type:Report or Paper (Working Paper)
Related URLs:
URLURL TypeDescription
http://resolver.caltech.edu/CaltechAUTHORS:20140303-144328921Related ItemLater Published Version in Econometrica
Additional Information:The authors gratefully acknowledge the financial support of this research which was provided by the National Science Foundation, Caltech Program for Enterprise and Public Policy, the University of Chicago Institute of Professional Accounting, and the Indian Institute of Management at Ahmedabad. Published as Plott, Charles R., and Shyam Sunder. "Rational expectations and the aggregation of diverse information in laboratory security markets." Econometrica: Journal of the Econometric Society (1988): 1085-1118.
Group:Social Science Working Papers
Funders:
Funding AgencyGrant Number
NSFUNSPECIFIED
Caltech Program for Enterprise and Public PolicyUNSPECIFIED
University of Chicago Institute of Professional AccountingUNSPECIFIED
Indian Institute of Management at AhmedabadUNSPECIFIED
Subject Keywords:Securities markets, Modeling, Securities trading, Dividends, Market prices, Economic expectations, Aggregation, Memory interference, Efficient markets, Contingent claims
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Social Science Working Paper463
Series Name:Social Science Working Paper
Issue or Number:463
Record Number:CaltechAUTHORS:20170922-165501575
Persistent URL:https://resolver.caltech.edu/CaltechAUTHORS:20170922-165501575
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:81784
Collection:CaltechAUTHORS
Deposited By: Jacquelyn Bussone
Deposited On:25 Sep 2017 17:46
Last Modified:03 Oct 2019 18:47

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