Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Econometrica: May, 1992, Volume 60, Issue 3

Market for Information: Experimental Evidence<667:MFIEE>2.0.CO;2-F
p. 667-695

Shyam Sunder

Predictions of the noisy rational expectations equilibrium (REE) model are found to be relatively accurate for both asset and information markets in the laboratory. When information about an asset's uncertain dividend is sold to a fixed number of highest bidders, prices, allocations, efficiency, and distribution of profit predictions of the full revelation REE model in the asset market dominate the predictions of the Walrasian model; demand for information shifts to the left and its price declines close to zero. When the price of information is fixed at a relatively high level, the number of informed agents and the informativeness of the asset market tends to adjust to permit the informed agents to recover their investment in information.

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