Information Dissemination on Asset Markets with Endogenous and Exogenous Information: An Experimental Approach

Dittrich, Dennis Alexis Valin; Maciejovsky, Boris

doi:10.2139/ssrn.303385

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Information Dissemination on Asset Markets with Endogenous and Exogenous Information: An Experimental Approach

Institute for Research into Economic Systems Papers on Strategic Interaction No. 3-2002

10 Pages Posted: 29 Apr 2002

See all articles by Dennis Alexis Valin Dittrich

Boris Maciejovsky

Max Planck Society for the Advancement of the Sciences - Max Planck Institute for Economics

Date Written: March 2002

Abstract

In this paper we study information revelation on asset markets with endogenous and exogenous information. Our results indicate that superior information can only be exploited in the beginning of trading. Information disseminates on the market and informational advantages are counter-balanced over time. This result holds true for both exogenous and precise endogenous information. Vague endogenous information, however, has no impact on individual payoff. Furthermore, we find that excessive trading decreases individual earnings.

Keywords: Financial markets, Insider trading, Long-lived assets, Experimental economics

JEL Classification: C90, D40, G14

Suggested Citation: Suggested Citation

Dittrich, Dennis Alexis Valin and Maciejovsky, Boris, Information Dissemination on Asset Markets with Endogenous and Exogenous Information: An Experimental Approach (March 2002). Institute for Research into Economic Systems Papers on Strategic Interaction No. 3-2002, Available at SSRN: https://ssrn.com/abstract=303385 or http://dx.doi.org/10.2139/ssrn.303385