  In this paper, we revisit the common claim that double auctions necessarily
generate competitive equilibria. We begin by observing that competitive
equilibrium has some counterintuitive implications: specifically, it predicts
that monotone shifts in the value distribution can leave prices unchanged.
Using experiments, we then test whether these implications are borne out by the
data. We find that in double auctions with stationary value distributions, the
resulting prices can be far from competitive equilibria. We also show that the
effectiveness of our counterexamples is blunted when traders can leave without
replacement as time progresses. Taken together, these findings suggest that the
`Marshallian path' is crucial for generating equilibrium prices in double
auctions.
