How Much Information Is Incorporated into Financial Asset Prices? Experimental Evidence
通过大量市场实验，精确观察交易者持有的信息量，发现公共信息几乎完全反映在价格中，但私人信息只有不到50%被纳入价格，表明半强式有效市场假说成立，但价格远未达到强式有效。
Abstract We investigate the informational content of prices in financial asset markets. To do so, we use a large number of market experiments in which the amount of information held by traders is precisely observed. We derive a new method to estimate how much of this information is incorporated into market prices. We find that public information is almost completely reflected in prices but that surprisingly little private information—less than 50%—is incorporated into prices. Our estimates therefore suggest that, while semistrong informational efficiency is consistent with the data, financial market prices may be very far from strong-form efficiency.