Partial Revelation of Information in Experimental Asset Markets

Thomas E. Copeland and Daniel Friedman  “Partial Revelation of Information in Experimental Asset Markets." Journal of Finance, Vol. 46, No. 1 (Mar., 1991), pp. 265-295.

Abstract

We develop a model of market efficiency assuming private information is partially revealed to uninformed traders via the behavior of those who are informed. This partial revelation of information (PRE) model is tested in fourteen computerized double auction laboratory markets. It explains the market value and allocation of purchased information, and asset allocations, better than either a fully revealing information model (FRE strong-form efficiency) or a nonrevealing expectations model; but it takes second place to FRE in explaining asset prices. We conjecture that refined versions of PRE may provide insight into “technical analysis" and minibubbles in securities markets.

廣告

CVM-X: Calibrating Contingent Values with Experimental Auction Markets

John A. Fox, Jason F. Shogren, Dermot J. Hayes and James B. Kliebenstein “CVM-X: Calibrating Contingent Values with Experimental Auction Markets." American Journal of Agricultural Economics, Vol. 80, No. 3 (Aug., 1998), pp. 455-46.

Stable URL: http://www.jstor.org/stable/1244548

Abstract

We design and implement a method, CVM-X, to calibrate hypothetical survey values using experimental auction markets. We test the procedure using consumer willingness-to-pay for irradiated/nonirradiated meat. Our results show that calibration factors for those who favor the irradiation process (0.67-0.69) are less severe than for those with an initial dislike of the process (0.55-0.59), suggesting that calibration may be commodity specific.

Efficiency of Experimental Security Markets with Insider Information: An Application of Rational-Expectations Models

Charles R. Plott and Shyam Sunder “Efficiency of Experimental Security Markets with Insider Information: An Application of Rational-Expectations Models."  The Journal of Political Economy, Vol. 90, No. 4 (Aug., 1982), pp. 663-698.

Stable URL: http://www.jstor.org/stable/1831348

JSTOR: The Journal of Political Economy, Vol. 90, No. 4 (Aug., 1982), pp. 663-698.

Abstract

The study reports on the ability of competing models of market information integration and dissemination to explain the behavior of simple laboratory markets for a one-period security. Returns to the security depended upon a randomly drawn state of nature. Some agents (insiders), whose identity was unknown to other agents, knew the state before the markets opened. With replication of market conditions the predictions of a fully revealing rational-expectations model are relatively accurate. Prices adjusted immediately to near rational-expectations prices; profits of insiders were virtually indistinguishable from noninsiders; and efficiency levels converged to near 100 percent.

Pigs in Cyberspace: A Natural Experiment Testing Differences between Online and Offline Club-Pig Auctions

Date: 2011-04
By: Roe, Brian E.
Wyszynski, Timothy E.
URL: http://d.repec.org/n?u=RePEc:ags:aaea11:102940&r=net
We find sale prices and net revenues received by sellers in the Midwestern club pig market are higher at traditional face-to-face auctions than at comparable Internet auctions. The comparison overcomes adverse selection issues that commonly plague such analyses by using data from sellers that allocated pigs to both markets based solely on exogenous differences in dates between online and offline auctions. Furthermore, both auctions feature ascending price formats with âsoft-endingsâ and remaining quality variation is controlled by using detailed information on animal, seller and event characteristics. The results suggest that the higher prices and net revenues from traditional auctions are attributable to remaining differences in auction format and buyer pools. Furthermore, sellers may be willing to forgo higher revenues to capture the convenience and flexibility provided by Internet auctions, to reach buyers in other regions that face different seasonality in demand and to stimulate demand for privately negotiated sales.
Keywords: auctions, electronic commerce, two-sided markets, livestock marketing, hedonic models, Agribusiness, Industrial Organization, Livestock Production/Industries, Marketing, D44, Q13,


Experimental Methods and the Welfare Evaluation of Policy Lotteries

Date: 2011-04
By: Glenn W. Harrison
URL: http://d.repec.org/n?u=RePEc:exc:wpaper:2011-08&r=net
Policies impose lotteries of outcomes on individuals, since we never know exactly what the effects of the policy will be. In order to evaluate alternative policies, we therefore need to make some assumptions about individual preferences, even before social welfare functions are applied. Instead of making a priori assumptions about those preferences that are likely to be wrong, there are two broad ways in which experimental methods are used to evaluate policy. One is to use experiments to estimate individual preferences, valuations and beliefs, and use those estimates as priors in the evaluation of policy. The other approach is to undertake deliberate randomization, or exploit accidental or natural randomization, to infer the effects of policy. The strengths and weaknesses of these approaches are reviewed, and their complementarities identified.

囚犯兩難新一點的文獻

囚犯兩難較新一點的文獻 (2005)

Richard J. Arend and Darryl A. Seale (2005) “Modeling alliance activity: an iterated prisoners’ dilemma with exit option." Strategic Management Journal, 26: 1057–1074. Published online in Wiley InterScience (www.interscience.wiley.com). DOI: 10.1002/smj.491

original abstract
We present and solve a new, more accurate model of behavior within alliance activity. The model is essentially an iterated prisoners’ dilemma with an exit option in each stage of the alliance. The proposed solution results in each partner receiving its opportunity cost as its expected average pay-off in the alliance. Managerial implications include: identification of where to focus efforts to improve alliance cooperation and performance; and an explanation for why more sophisticated partnership strategies than tit-for-tat are likely to be superior in this game.

本文.pdf

Policies Designed for Self-Interested Citizens May Undermine “The Moral Sentiments”: Evidence from Economic Experiments

Samuel Bowles (2008) Policies Designed for Self-Interested Citizens May Undermine “The Moral Sentiments”: Evidence from Economic Experiments, Science 20 June 2008: Vol. 320 no. 5883 pp. 1605-1609. DOI: 10.1126/science.1152110.

Notes by Yi-Nung

這是一篇很典型的「文獻回顧型」的 paper (發表在很棒的 Science 期刊)…

引文

外顯動機 (explicit incentives) 和道德動機 (ethical motives) 是且互補性 (complements);亦即,不能只依賴「外顯動機」當做趨使人們做出正確 (係指 social optimal) 決策之方法; … 本文提及的實驗證明,外顯動機機制會降低道德感 (… Incentives undermine ethical motives…)

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Original Abstract

High-performance organizations and economies work on the basis not only of material interests but also of Adam Smith’s “moral sentiments.” Well-designed laws and public policies can harness self-interest for the common good. However, incentives that appeal to self-interest may fail when they undermine the moral values that lead people to act altruistically or in other public-spirited ways. Behavioral experiments reviewed here suggest that economic incentives may be counterproductive when they signal that selfishness is an appropriate response; constitute a learning environment through which over time people come to adopt more self-interested motivations; compromise the individual’s sense of self-determination and thereby degrade intrinsic motivations; or convey a message of distrust, disrespect, and unfair intent. Many of these unintended effects of incentives occur because people act not only to acquire economic goods and services but also to constitute themselves as dignified, autonomous, and moral individuals. Good organizational and institutional design can channel the material interests for the achievement of social goals while also enhancing the contribution of the moral sentiments to the same ends.

 

CITED BY OTHER ARTICLES (被其它文章引用):

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New Zealand Economic Papers. Special Issue: Laboratory Experiments in Economics, Finance and Political Science

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Laboratory experiments in economics, finance and political science
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Trust and reciprocity: implications of game triads and social contexts
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Carmela Di Mauro
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