Charles R. Plott and Shyam Sunder (1988) “Rational Expectations and the Aggregation of Diverse Information in Laboratory Security Markets." Econometrica, Vol. 56, No. 5 (Sep., 1988), pp. 1085-1118. Article Stable URL: http://www.jstor.org/stable/1911360; ust.hk 提供的 [PDF].
The idea that markets might aggregate and disseminate information and also resolve conflicts is central to the literature on decentralization (Hurwicz, 1972) and rational expectations (Lucas, 1972). We report on three series of experiments all of which were predicted to have performed identically by the theory of rational expectations. In two of the three series (one in which participants trade a complete set of Arrow-Debreu securities and a second in which all participants have identical preferences), double auction trading leads to efficient aggregation of diverse information and rational expectations equilibrium. Failure of the third series to exhibit such convergence demonstrates the importance of market institutions and trading instruments in achievement of equilibrium.
The time path of asset prices is studied within a stationary experimental environment. After several replications prices converge to a perfect foresight equilibrium. A sequential market having an “informational trap" and a futures market are also studied.
- 對 certificate 雙邊喊價 (double-auction), 每人一開始持有若干 (2或3) 張 certificates
- 持有股票, 可得股利;
- 股利每年分兩期, A 和 B 期給付;
- 但實驗中共有三種 type 的人; 每人在A、B期可獲之股利並不相同 (如 Table I 所示)
Because of these differences, there are gains from exchange with one individual selling the certificate to
another. (註: 這樣設定也是為了形成負斜率的需求線, 見下圖)
- 不能 short-sale
- 共進行 5 場實驗 (Experiment 1-5); 每次 8-9 人
(下面方程式最後之數字是 for Experiment 1 & 2)
- equilibrium price in period B
- PEB = max (dB) =300
- naive price equilibrium
- PNA = max (dA+dB) = 400
- perfectly forecasted theoretical equilibrium
- PFA = max (dA)+max(dB) = 600
實驗 1 的結果
實驗 2 的結果
實驗 3 的結果
實驗 4 的結果
實驗 5 的結果