Information Ambiguity, Market Institutions, and Asset Prices: Experimental Evidence

• 成果类型: Article
• 署名作者: Bao, Te; Duffy, John; Zhu, Jiahua
• 署名单位: Nanyang Technological University; University of California System; University of California Irvine; University of Osaka; University of London; King's College London; University of Essex
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2022.01223
• 发表日期: 2025
• 关键词: Ambiguity aversion; information ambiguity; Asset bubbles; experimental finance; Signal extraction

摘要

We explore how information ambiguity and traders' attitudes toward such ambiguity affect expectations and asset prices under three different market institutions. Specifically, we test a theoretical prediction that information ambiguity will lead market prices to overreact to bad news and underreact to good news. We find that such an asymmetric reaction exists and is strongest in individual prediction markets. It occurs to a lesser extent in single price call markets. It is weakest of all in double auction markets, in which buyers' asymmetric reaction to good/bad news is cancelled out by the opposite asymmetric reaction of sellers.