Price Informativeness, belief updating, and information aggregation

Last registered on November 19, 2025
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Pre-Trial

Trial Information

General Information

Title
Price Informativeness, belief updating, and information aggregation
RCT ID
AEARCTR-0017219
Initial registration date
November 14, 2025

Initial registration date is when the trial was registered.

It corresponds to when the registration was submitted to the Registry to be reviewed for publication.

First published
November 19, 2025, 1:47 PM EST

First published corresponds to when the trial was first made public on the Registry after being reviewed.

Locations

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Primary Investigator

Name
Roberto Rozzi
Affiliation
Royal Holloway University of London
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Other Primary Investigator(s)

PI Name
Daniele Giachini
PI Affiliation
Scuola Superiore Sant'Anna
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PI Name
Giulio Bottazzi
PI Affiliation
Scuola Superiore Sant'Anna
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Additional Trial Information

Status
In development
Start date
2025-12-01
End date
2026-07-01
Keywords
Behavior, Finance & Microfinance, Other
Additional Keywords
market learning
JEL code(s)
C91; C92; D83;G12
Secondary IDs
Prior work
This trial does not extend or rely on any prior RCTs.
Abstract
This experiment investigates how individuals update beliefs and trade when exposed to aggregate information in the form of consensus price signals. Participants engage in repeated rounds of pairwise trading of a risky asset with uncertain payoffs. Each experimental session, conducted online via oTree with 6–12 participants, is randomly assigned to either a treatment condition—where participants receive a consensus price signal based on previous trading outcomes—or a control condition without such information. The design allows for clean identification of the causal effect of price informativeness on trading behavior and belief formation. Primary outcomes include trading behavior, accuracy, and convergence of beliefs; the secondary outcome measures the influence of the consensus signal on belief updating. The study contributes to understanding how aggregated market information shapes individual decision-making and improves the efficiency of information aggregation in experimental asset markets.
External Link(s)

Registration Citation

Citation
Bottazzi, Giulio , Daniele Giachini and Roberto Rozzi. 2025. "Price Informativeness, belief updating, and information aggregation." AEA RCT Registry. November 19. https://doi.org/10.1257/rct.17219-1.0
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Experimental Details

Interventions

Intervention(s)
This study investigates how individuals update beliefs and engage in trading when presented with varying types of information, with a particular focus on the influence of consensus price signals. Rooted in the tradition of experimental economics and building on the framework of Plott and Sunder (1988), the study introduces novel features such as randomized information treatments and pairwise trading interactions. Participants engage in repeated rounds of simplified trading, where they are required to submit threshold prices reflecting their willingness to buy or sell a risky asset with an unknown payoff. The core objective is to understand how pre-trade information—especially in the form of an aggregated consensus price from previous trading activity—affects individual decision-making and belief formation.
Intervention Start Date
2025-12-21
Intervention End Date
2026-06-30

Primary Outcomes

Primary Outcomes (end points)
1) trading behavior
2) accuracy and convergence of beliefs
Primary Outcomes (explanation)
These outcomes capture the core mechanisms of interest: trading behavior reveals how participants act on information, while the accuracy and convergence of beliefs measure the extent to which information—especially the consensus price signal—is effectively processed and aggregated.

Secondary Outcomes

Secondary Outcomes (end points)
influence of price signals on belief updating
Secondary Outcomes (explanation)
This outcome isolates the causal effect of exposure to consensus price signals on participants’ belief revision, providing direct evidence on how aggregated market information shapes individual expectations.

Experimental Design

Experimental Design
The experiment follows a randomized controlled design with between-subject treatment assignment. Participants engage in repeated rounds of pairwise trading of a risky asset with uncertain payoffs. In each session, individuals are randomly assigned to a treatment group that receives a consensus price signal—computed from prior trading outcomes—or to a control group without such information. This design allows identification of the causal effect of exposure to aggregated price information on trading behavior and belief updating.
Experimental Design Details
Not available
Randomization Method
in office by a computer
Randomization Unit
Session
Was the treatment clustered?
Yes

Experiment Characteristics

Sample size: planned number of clusters
20
Sample size: planned number of observations
3200 trading decisions
Sample size (or number of clusters) by treatment arms
200 participants
Minimum detectable effect size for main outcomes (accounting for sample design and clustering)
Assuming 20 clusters (sessions) randomized 1:1, ≈10 participants per session (≈200 participants total), α=0.05, and 80% power, the minimum detectable standardized effect (Cohen’s d) is approximately 0.34 assuming an intracluster correlation of 0.05 (range 0.29–0.47 for ICC = 0.01–0.20). The analysis will account for clustering at the session level.
Supporting Documents and Materials
IRB

Institutional Review Boards (IRBs)

IRB Name
Comitato Etico congiunto Scuola Normale Superiore / Scuola Superiore Sant'Anna
IRB Approval Date
2025-07-24
IRB Approval Number
38
Analysis Plan

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