When do prediction markets return average beliefs? Experimental evidence

• 成果类型: Article
• 署名作者: Mantovani, Marco; Filippin, Antonio
• 署名单位: University of Milano-Bicocca; University of Milan; IZA Institute Labor Economics
• 刊物名称: GAMES AND ECONOMIC BEHAVIOR
• ISSN/ISSBN: 0899-8256
• DOI: 10.1016/j.geb.2025.12.004
• 发表日期: 2026
• 关键词: SPECULATIVE INVESTOR BEHAVIOR; rational-expectations; information aggregation; FORECAST ACCURACY; Double auctions; RISK; prices; uncertainty; revelation; EFFICIENCY

摘要

In prediction markets, prices can be interpreted as the average belief of the traders under restrictive theoretical assumptions, i.e. specific risk preferences and the Prior Information Equilibrium. The validity of these assumptions depends on the specific market institution and on the composition of the market in terms of risk preferences. In this paper we test in a laboratory experiment the main elements that should affect the distance between prices and average beliefs, manipulating the market institution and the market composition. We do not find that risk preferences significantly affect prices. We find instead that in the double auction-where at least partial information aggregation is expected-prices are closer to the average belief than in the call auction-where, instead, belief aggregation is expected. We show that traders update beliefs in the direction of observed prices, rather than of the true state.