Costly Information Acquisition in Decentralized Markets: Experimental Evidence

• 成果类型: Article
• 署名作者: Asparouhova, Elena; Bossaerts, Peter; Yang, Wenhao
• 署名单位: Utah System of Higher Education; University of Utah; University of Cambridge; University of North Carolina; University of North Carolina Charlotte
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2023.4976
• 发表日期: 2024
• 关键词: experimental finance; information percolation; decentralized markets

摘要

This study tests the rationality of the decisions to purchase information, the informational efficiency of prices, and the optimality of the resulting allocations in decentralized markets with a series of laboratory experiments. The theory predicts that markets with dispersed information and natural buyers and sellers converge to a fully revealing equilibrium. It is profitable to pay for information, and as such, the Grossman-Stiglitz paradox does not emerge. Statistically significant improvements in both price efficiency and allocative efficiency are documented across trading periods. In contrast to the theory, which predicts that the higher the number of informed agents, the stronger the individual incentives to invest in information, the and the more data present the opposite result. The price of information is higher when there are fewer informed agents. The result can be explained by boundedly rational decision making.