Efficient market hypothesis: an experimental study with uncertainty and asymmetric information
The efficient market hypothesis has been the subject of a wide debate over the past decades. This paper investigates the market efficiency by using laboratory experiments. We ran three experimental treatments with two distinguishing dimensions: uncertainty and asymmetric information. Results show th...
Enregistré dans:
| Dans: | URI:https://journals.openedition.org/fcs, |
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| Auteurs principaux: | , |
| Format: | Article ou chapitre numérique |
| Langue: | Anglais |
| Publié: |
Finance Contrôle Stratégie
2019
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| Sujets: | |
| Accès en ligne: | Accès Université d'Orléans et IFPM Accès Université d'Orléans et IFPM |
| Résumé: | The efficient market hypothesis has been the subject of a wide debate over the past decades. This paper investigates the market efficiency by using laboratory experiments. We ran three experimental treatments with two distinguishing dimensions: uncertainty and asymmetric information. Results show that both uncertainty and information asymmetry affect the level of market efficiency with information asymmetry having a pronounced impact. Market efficiency is reduced when the fundamental value of stocks is volatile. In addition, we find that participants under-react to information and that this under-reaction is not corrected during trading periods and prices remain stable. |
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