Theoretical and experimental literature have provided mixed insights on the ability of financial markets to perfectly aggregate private information into asset prices. We conduct an experiment designed to benchmark information aggregation in markets. In our lab experiment, we randomly assign subjects to different institutional environments, either a market or a Becker–DeGroot–Marschak mechanism. We find evidence that market interaction is worse for information aggregation. The difference between the two environments is driven by price-insensitive traders who seem unable to learn from market prices. Price-sensitive traders, by contrast, learn equally well in both environments.

中文翻译：

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实验市场中的基准信息聚合

理论和实验文献对金融市场将私人信息完美地整合到资产价格中的能力提供了不同的见解。我们进行了一项旨在对市场中的信息聚合进行基准测试的实验。在我们的实验室实验中，我们将受试者随机分配到不同的制度环境中，无论是市场还是 Becker-DeGroot-Marschak 机制。我们发现证据表明信息聚合的市场互动更糟。两种环境之间的差异是由对价格不敏感的交易者造成的，他们似乎无法从市场价格中学习。相比之下，价格敏感的交易者在这两种环境中学习得同样好。