An examination of market efficiency: Information order effects in a laboratory market

An examination of market efficiency: Information order effects in a laboratory market A series of laboratory double auction experiments is conducted to examine whether the order of information releases affects market prices. Behavioral research on belief revision has shown that individuals are influenced by the order in which a series of information items is presented. The experiments are designed to provide a controlled investigation of whether order effects as displayed by individuals also can influence prices in a market setting where outcomes are not a simple aggregation of individual behavior. Significant evidence is found of a recency effect in the experimental asset markets. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Accounting, Organizations and Society Elsevier

An examination of market efficiency: Information order effects in a laboratory market

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Publisher
Elsevier
Copyright
Copyright © 1996 Elsevier Ltd
ISSN
0361-3682
D.O.I.
10.1016/S0361-3682(96)00026-8
Publisher site
See Article on Publisher Site

Abstract

A series of laboratory double auction experiments is conducted to examine whether the order of information releases affects market prices. Behavioral research on belief revision has shown that individuals are influenced by the order in which a series of information items is presented. The experiments are designed to provide a controlled investigation of whether order effects as displayed by individuals also can influence prices in a market setting where outcomes are not a simple aggregation of individual behavior. Significant evidence is found of a recency effect in the experimental asset markets.

Journal

Accounting, Organizations and SocietyElsevier

Published: Jan 1, 1997

References

  • Professional Traders as Intuitive Bayesians
    Anderson, M.J; Sunder, S
  • Risk Perception in Psychology and Economics
    Arrow, K.J
  • Does the Stock Market Overreact?
    DeBondt, W; Thaler, R
  • Further Evidence on Investor Overreaction and Stock Market Seasonality
    DeBondt, W; Thaler, R
  • Does the Stock Market Overreact to Corporate Earnings Information?
    Zarowin, P

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