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Efficiency of Experimental Security Markets with Insider Information: An Application of Rational-Expectations Models
Abstract
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-period 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 noninsiders; and efficiency levels converged to near 100 percent.
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Cited by
Bubbles, Crashes, and Endogenous Expectations in Experimental Spot Asset Markets
Suchanek, G. L., & Williams, A. W. (1991) · Papers in Experimental Economics · doi:10.1017/cbo9780511528354.022 · Cited by 916
Wolfers, J., & Zitzewitz, E. (2004) · Journal of Economic Perspectives · doi:10.1257/0895330041371321 · Cited by 889
An Experiment on Prediction Markets in Science
Almenberg, J., Kittlitz, K., & Pfeiffer, T. (2009) · PLoS ONE · doi:10.1371/journal.pone.0008500 · Cited by 24
Metadata
- Authors
- Plott, C. R., & Sunder, S.
- Venue
- Journal of Political Economy
- Publisher
- University of Chicago Press
- Published
- 1982-08
- Volume
- 90
- Issue
- 4
- Pages
- 663-698
- ISSN
- 0022-3808 (ISSN-L)
- 1537-534X
- OpenAlex
- W2029909441
- Cited by
- 565
- References
- 0
- FWCI
- 16.28
- Type
- journal article
- Language
- en
- Open access
- closed
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Cite CoChat for the checks on this page, and the paper for its own findings.
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- CoChat. (2026). Citation check: Efficiency of Experimental Security Markets with Insider Information: An Application of Rational-Expectations Models. https://app.cochat.ai/papers/10.1086/261084
- The paper
- Plott, C. R., & Sunder, S. (1982). Efficiency of Experimental Security Markets with Insider Information: An Application of Rational-Expectations Models. Journal of Political Economy. https://doi.org/10.1086/261084
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
