Efficiency of Experimental Security Markets with Insider Information: An Application of Rational-Expectations Models
通过实验室市场实验，检验了不同市场信息整合模型对单一价格证券市场的解释能力，发现完全揭示的理性预期模型预测准确，价格迅速调整至接近理性预期水平，内幕交易者与非内幕者的利润几乎无差异，市场效率接近100%。
The study reports on the ability of competing models of market information integration and dissemination to explain the behavior of simple laboratory markets for a one-priced security. Returns to the security depended upon a randomly drawn state of nature. Some agents (insiders), whose identity was unknown to other agents, knew the state before the markets opened. With replication of market conditions, the predictions of a fully revealing rational-expectations model are relatively accurate. Prices adjusted immediately to near rational-expectations prices; profits of insiders were virtually indistinguishable from non-insiders; and efficiency levels converged to near 100 percent.