Reconsidering Rational Expectations and the Aggregation of Diverse Information in Laboratory Security Markets

GATE Lyon Saint-Etienne Working Paper 1920

52 Pages Posted: 14 Jun 2019

See all articles by Brice Corgnet

Brice Corgnet

University of Saint Etienne - Analysis Group and Economic Theory Lyon St-Etienne (GATE-LSE)

Cary Deck

Chapman University; University of Alabama

Mark DeSantis

Chapman University - The George L. Argyros School of Business & Economics

Kyle W. Hampton

University of Hawaii

Erik O. Kimbrough

Chapman University - The George L. Argyros School of Business & Economics

Multiple version iconThere are 2 versions of this paper

Date Written: May 2019

Abstract

The ability of markets to aggregate diverse information is a cornerstone of economics and finance, and empirical evidence for such aggregation has been demonstrated in previous laboratory experiments. Most notably Plott and Sunder (1988) find clear support for the rational expectations hypothesis in their Series B and C markets. However, recent studies have called into question the robustness of these findings. In this paper, we report the result of a direct replication of the key information aggregation results presented in Plott and Sunder. We do not find the same strong evidence in support of rational expectations that Plott and Sunder report suggesting information aggregation is a fragile property of markets.

Keywords: Aggregation, Efficient Markets, Rational Expectations, Experiments, Replication

JEL Classification: D92, G14

Suggested Citation

Corgnet, Brice and Deck, Cary and DeSantis, Mark and Hampton, Kyle W. and Kimbrough, Erik O., Reconsidering Rational Expectations and the Aggregation of Diverse Information in Laboratory Security Markets (May 2019). GATE Lyon Saint-Etienne Working Paper 1920, Available at SSRN: https://ssrn.com/abstract=3398838 or http://dx.doi.org/10.2139/ssrn.3398838

Brice Corgnet (Contact Author)

University of Saint Etienne - Analysis Group and Economic Theory Lyon St-Etienne (GATE-LSE) ( email )

Lyon
France

Cary Deck

Chapman University ( email )

Orange, CA 92866
United States

University of Alabama ( email )

101 Paul W. Bryant Dr.
Box 870382
Tuscaloosa, AL 35487
United States

Mark DeSantis

Chapman University - The George L. Argyros School of Business & Economics ( email )

333 N. Glassell
Orange, CA 92866
United States

Kyle W. Hampton

University of Hawaii

Honolulu, HI 96822
United States

Erik O. Kimbrough

Chapman University - The George L. Argyros School of Business & Economics ( email )

One University Dr
Orange, CA 92866
United States

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