شواهدی از بازار دارایی های تجربی
Abstract
1- Introduction
2- Framework
3- Experimental method
4- Results
5- Concluding remarks
References
Abstract
We report the results of 18 experimental markets designed to investigate the effect of the information environment on informed traders' performance. In our experiment, traders bid to acquire costly, imperfect information on asset value and then take part in a double-auction asset market. We posit that the nature of the information environment, distinguished by the cost of information, affects traders’ ability to prosper. Using the inverse relationship between cost of information and number of informed traders, we study whether traders can properly determine the value of the information under enriched and impoverished environments. In our experiment, the enriched environment includes a significant number of informed traders, whereas the impoverished environment has few informed traders. We find that traders in an impoverished environment pay too much for information and, once informed, they do not transact enough to recover the cost of information acquisition. Traders who compete for information that confers a larger information advantage are worse off than those who compete in an environment in which information is more widely available.
Introduction
Traders devote considerable resources, including time and effort, to gather and evaluate information on asset value. The decision to engage in costly information acquisition is far from simple. Traders must discern the usefulness of private information, requiring them to anticipate the actions of others and assess the extent to which asset price is informative (e.g., Diamond, 1985; Grossman & Stiglitz, 1980; Hauser, Huber, & Kaempff, 2015; Verrecchia, 1982a). Because uncertainties abound, traders face substantial difficulty gauging the expected benefit of being informed. Experimental findings are mixed as to whether informed traders are able to recover the cost of information acquisition (e.g., Ackert, Church, & Shehata, 1997; Copeland & Friedman, 1992; Huber, Angerer, & Kirchler, 2011; Huber, Kirchler, & Sutter, 2008; Sunder, 1992; Tucker, 1997). Comparisons between studies are complicated because features vary across experimental markets. An important and unexamined feature is the nature of the information environment, representing the cost of information acquisition. According to the theory developed in Grossman and Stiglitz (1980), the higher the cost of information, the smaller the equilibrium percentage of individuals who are informed. In an efficient market, the incremental value generated from using information equals the cost of the information, so that the value of information is a decreasing function of the number of traders informed in the market. We posit that the nature of the information environment, impoverished versus enriched, has a marked effect on traders’ ability to properly assess the expected benefits of private information. When the environment is impoverished, information is costly to come by. Information acquisition is effortful and challenging and, thus, occurs infrequently. Under such conditions, traders believe that purchasing information will allow them to make sizable profits because the high cost will discourage others from information acquisition.