cumulative information;
experimental economics;
value of information;
D O I:
10.1016/j.jebo.2005.05.012
中图分类号:
F [经济];
学科分类号:
02 ;
摘要:
We study the value of information in financial markets by asking whether having more information always leads to higher returns. We address this question in an experiment where information about an asset's intrinsic value is cumulatively distributed among traders. We find that only the very best informed traders (i.e., insiders) significantly outperform less informed traders. However, there is a wide range of information levels (from zero information to above average information levels) where additional information does not yield higher returns. The latter result implies that the value of additional information need not be strictly positive. (c) 2006 Elsevier B.V. All rights reserved.
机构:
Univ Hamburg, Fac Business Econ & Social Sci, Von Melle Pk 5, D-20146 Hamburg, GermanyUniv Hamburg, Fac Business Econ & Social Sci, Von Melle Pk 5, D-20146 Hamburg, Germany