Benchmarking information aggregation in experimental markets
通过实验室实验，比较市场与Becker-DeGroot-Marschak机制在聚合私人信息方面的表现，发现市场互动反而更不利于信息聚合，原因在于价格不敏感的交易者难以从市场价格中学习。
Abstract Theoretical and experimental literature have provided mixed insights on the ability of financial markets to perfectly aggregate private information into asset prices. We conduct an experiment designed to benchmark information aggregation in markets. In our lab experiment, we randomly assign subjects to different institutional environments, either a market or a Becker–DeGroot–Marschak mechanism. We find evidence that market interaction is worse for information aggregation. The difference between the two environments is driven by price‐insensitive traders who seem unable to learn from market prices. Price‐sensitive traders, by contrast, learn equally well in both environments.