Risk aversion and information aggregation in binary-asset markets

• 成果类型: Article
• 署名作者: Filippin, Antonio; Mantovani, Marco
• 署名单位: University of Milan; IZA Institute Labor Economics; University of Milano-Bicocca
• 刊物名称: QUANTITATIVE ECONOMICS
• ISSN/ISSBN: 1759-7323
• DOI: 10.3982/QE1981
• 发表日期: 2023
• 页码: 753-798
• 关键词: Risk preferences; laboratory experiment; asset markets; information aggregation; Walrasian equilibrium; operational conservatism; C92; D81; G14; G41

摘要

We investigate how risk aversion (RA) shapes the informative content of prices in an experimental asset market, where traders are sorted according to their RA. RA should induce steeper individual demands and, under its most common parametrizations, drive equilibrium prices closer to revealing the state. Results support the prediction on individual demands, but not the prediction on prices, which do not vary with RA and are close to the risk-neutral benchmark. This purported conflict is due to traders, particularly the more risk-averse ones, conveying into prices only part of their information.