We investigate the informational content of prices in financial asset markets. To do so, we use a large number of market experiments in which the amount of information held by traders is precisely observed. We derive a new method to estimate how much of this information is incorporated into market prices. We find that public information is almost completely reflected in prices but that surprisingly little private information—less than 50%—is incorporated into prices. Our estimates therefore suggest that, while semistrong informational efficiency is consistent with the data, financial market prices may be very far from strong-form efficiency.

中文翻译：

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金融资产价格包含多少信息？实验证据

我们调查金融资产市场价格的信息含量。为此，我们使用了大量市场实验，其中精确观察了交易者持有的信息量。我们推导出一种新方法来估计有多少此类信息被纳入市场价格。我们发现公共信息几乎完全反映在价格中，但令人惊讶的是，私人信息很少——不到 50%——被纳入价格。因此，我们的估计表明，虽然半强信息效率与数据一致，但金融市场价格可能与强形式效率相差甚远。