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It is hard to beat the Monkeys - On the Value of Asymmetric Fundamental Information in Asset Markets

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  • Michael Kirchler

Abstract

In this paper we present results from experimental asset markets and simulations with traders who receive asymmetric information about the fundamental value of an asset. In the experimental markets with repetition insiders outperform the market and uninformed computerized random traders (monkeys) perform equally well compared to average informed traders. This is in line with the results of the equilibrium simulation output in which traders choose between a random strategy and their fundamental strategy. We further find that pattern of average informed not being able to beat the uninformed is not due to their overconfidence but due to the asymmetric information structure of the market.

Suggested Citation

  • Michael Kirchler, 2008. "It is hard to beat the Monkeys - On the Value of Asymmetric Fundamental Information in Asset Markets," Working Papers 2008-19, Faculty of Economics and Statistics, Universität Innsbruck.
    • Handle: RePEc:inn:wpaper:2008-19
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    References listed on IDEAS

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    More about this item

    Keywords

    Information economics; experimental economics; agent-based model; overconfidence; value of information;
    All these keywords.

    JEL classification:

    • C91 - Mathematical and Quantitative Methods - - Design of Experiments - - - Laboratory, Individual Behavior
    • C92 - Mathematical and Quantitative Methods - - Design of Experiments - - - Laboratory, Group Behavior
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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