What affects the efficiency of a market? Some answers from the laboratory.
研究美国资本市场效率如何受信息或市场结构影响，指出实证检验因有效市场基准不可观测而存在模糊性，并说明实验室市场可直接测量效率。
Abstract The article investigates how capital markets efficiency is influenced by different information or market structures in the United States. The nature of information regulation depends on the informational efficiency of capital markets. Researchers in accounting and finance have spent considerable effort attempting to measure efficiency. Although this investigation has spanned many research designs and has been applied to many different information signals, empirical tests all suffer from the same basic problem: the benchmark of interest, an informationally efficient market, is unobservable. The asset price that would have prevailed in an efficient market must therefore be modeled, and the test of market efficiency is confounded with a test of the asset-pricing model. Because of this ambiguity, whenever a researcher claims to find an abnormal return based on some information signal another researcher invariably responds that risk was not adequately controlled. The efficiency of a laboratory market can be measured directly by creating another artificial economy that is identical to the economy of interest, except that all information is fully disseminated.