ABSTRACT: Accounting and finance researchers show semi‐strong form efficiency or lack thereof by using sequences of prices from Center for Research in Security Prices (CRSP) and Compustat data for which there is no model for how these prices arise from individual decisions. One needs a setting in which prices (including bids and asks) as well as information about individuals making the choices are both available. To begin to bridge the gap between theory and data, we extend work done by experimental economists on the double auction and model price formation that is or is not semi‐strong efficient. Agents in the model uncover prices in a manner consistent with Hayek's notion of price discovery (Hayek 1948).

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