An experimental analysis of information acquisition in prediction markets

• 成果类型: Article
• 署名作者: Page, Lionel; Siemroth, Christoph
• 署名单位: Queensland University of Technology (QUT); University of Essex
• 刊物名称: GAMES AND ECONOMIC BEHAVIOR
• ISSN/ISSBN: 0899-8256
• DOI: 10.1016/j.geb.2015.11.002
• 发表日期: 2017
• 页码: 354-378
• 关键词: Asymmetric information; Experimental asset markets; information acquisition; prediction markets

摘要

We study which factors in terms of trading environment and trader characteristics determine individual information acquisition in experimental asset markets. Traders with larger endowments, existing inconclusive information, lower risk aversion, and less experience in financial markets tend to acquire more information. Overall, we find that traders overacquire information, so that informed traders on average obtain negative profits net of information costs. Information acquisition and the associated losses do not diminish over time. This overacquisition phenomenon is inconsistent with predictions of rational expectations equilibrium, and we argue it resembles the overdissipation results from the contest literature. We find that more acquired information in the market leads to smaller differences between fundamental asset values and prices. Thus, the overacquisition phenomenon is a novel explanation for the high forecasting accuracy of prediction markets. (C) 2015 Elsevier Inc. All rights reserved.