On the role of heterogeneous and imperfect information in a laboratory financial market

In this paper, we analyze the behavior of a group of heterogeneously informed investors in a laboratory asset market. Our experimental setting is inspired by Huber et al. However, instead of their system of cumulative and exogenously given information structure, we introduce an information market where the traders can buy an imperfect prediction of the future value of the dividend with a maximum anticipation of four periods. The accuracy of the prediction decreases with the chosen time horizon, whereas its price remains constant. Our results confirm a non-strictly monotonic increasing value of the information.