Immediate Disclosure or Secrecy? The Release of Information in Experimental Asset Markets

FRB Atlanta Working Paper No. 2001-5

27 Pages Posted: 20 May 2001

See all articles by Lucy F. Ackert

Lucy F. Ackert

Kennesaw State University - Michael J. Coles College of Business

Bryan K. Church

Georgia Institute of Technology - Accounting Area

Ann B. Gillette

Kennesaw State University - Michael J. Coles College of Business; Federal Reserve Banks - Federal Reserve Bank of Atlanta

Multiple version iconThere are 2 versions of this paper

Date Written: April 2001

Abstract

The Federal Reserve has made significant changes in its predisposition to release information over time. This paper reports the results of experimental asset markets designed to investigate how the public disclosure of uncertain information affects market and individual outcomes. In one set of markets, no information is released at the beginning of each trading year. In two other sets, an imperfect pre-announcement of the state of nature is disclosed. The reliability of the pre-announcement (60 percent and 90 percent) varies across treatments. Halfway through each trading year, the state of nature is revealed. By year-end, price deviations from Bayesian predictions are similar across all treatments; however, price volatility is significantly higher and allocational efficiency significantly lower with a pre-announcement that reflects substantial uncertainty. Furthermore, when the reliability of the pre-announcement is low (60 percent), the distribution in profit across traders is significantly greater even though the average profit is similar across treatments. Thus, in a highly uncertain environment better outcomes may actually result when information is withheld.

Keywords: Information disclosure, monetary policy, secrecy, asset markets, rational expectations

JEL Classification: E58, C9

Suggested Citation

Ackert, Lucy F. and Church, Bryan K. and Gillette, Ann Brewer, Immediate Disclosure or Secrecy? The Release of Information in Experimental Asset Markets (April 2001). FRB Atlanta Working Paper No. 2001-5, Available at SSRN: https://ssrn.com/abstract=267531 or http://dx.doi.org/10.2139/ssrn.267531

Lucy F. Ackert (Contact Author)

Kennesaw State University - Michael J. Coles College of Business ( email )

1000 Chastain Road
Department of Economics and Finance
Kennesaw, GA 30144
United States
770-423-6111 (Phone)
770-499-3209 (Fax)

Bryan K. Church

Georgia Institute of Technology - Accounting Area ( email )

800 West Peachtree St.
Atlanta, GA 30308
United States
404-894-3907 (Phone)
404-894-6030 (Fax)

Ann Brewer Gillette

Kennesaw State University - Michael J. Coles College of Business ( email )

1000 Chastain Road
Kennesaw, GA 30144
United States

Federal Reserve Banks - Federal Reserve Bank of Atlanta

1000 Peachtree Street N.E.
Atlanta, GA 30309-4470
United States

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