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Rational Expectations and the Aggregation of Diverse Information in Laboratory Security Markets.
Paper Number: 463
Date:
Abstract:

The study explores the information aggregation properties of experimental markets in which a fully revealing rational expectations equilibrium exists. In single securities markets in which traders have difference preferences information aggregation seems to be minimal and rational expectations equilibria are not attained. If the market has a complete set of contingent claims securities or if preferences are identical the rational expectations equilibrium model works well.

Paper Length: 86