When Do Security Markets Aggregate Dispersed Information?

• 成果类型: Article
• 署名作者: Corgnet, Brice; Deck, Cary; DeSantis, Mark; Hampton, Kyle; Kimbrough, Erik O.
• 署名单位: Centre National de la Recherche Scientifique (CNRS); Ecole Normale Superieure de Lyon (ENS de LYON); Universite Claude Bernard Lyon 1; Universite Jean Monnet; Universite Lyon 2; emlyon business school; University of Alabama System; University of Alabama Tuscaloosa; Chapman University System; Chapman University; Chapman University System; Chapman University; Chapman University System; Chapman University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2022.4463
• 发表日期: 2023
• 页码: 3697-3729
• 关键词: Information aggregation; efficient markets; rational expectations; replication

摘要

We attempt to replicate a seminal paper that offered support for the rational expectations hypothesis and reported evidence that markets with certain features aggregate dispersed information. The original results are based on only a few observations, and our attempt to replicate the key findings with an appropriately powered experiment largely fails. The resulting poststudy probability that market performance is better described by rational expectations than the prior information (Walrasian) model under the conditions specified in the original paper is very low. As a result of our failure to replicate, we investigate an alternate set of market features that combines aspects of the original experimental design. For these markets, which include both contingent claims and homogeneous dividend payments (as in many prediction markets), we do find robust evidence of information aggregation in support of the rational expectations model. In total, our results indicate that information aggregation in asset markets is fragile and should only be expected in limited circumstances.