A growing body of evidence suggests that assets included in market indexes such as the S&P 500 trade at a premium relative to other assets. In this paper we look for evidence of such an index inclusion premium in a carefully controlled laboratory experiment. Our environment involves three assets...

Can public information complement private information acquisition? What are the implicationsfor asset market performance? Our paper investigates by constructing a simple bond market in thelaboratory. Human investors observe public information on default probability and then, beforetrading,...

How does public information on asset payoffs affect private information acquisition and aggregated market information? In turn, how do private information and market information affect asset price volatility and liquidity? What are the roles of information costs and market competitivity? To...