Trading Complex Assets
We perform an experimental study to assess the effect of complexity on asset trading. We find that higher complexity leads to increased price volatility, lower liquidity, and decreased trade efficiency especially when repeated bargaining takes place. However, the channel through which complexity acts is not simply due to the added noise induced by estimation error. Rather, complexity alters the bidding strategies used by traders, making them more reticent to trade, even when we control for estimation error across treatments. As such, it appears that adverse selection plays an important role in explaining the trading abnormalities caused by complexity
Year of publication: |
2012
|
---|---|
Authors: | Carlin, Bruce I. |
Other Persons: | Kogan, Shimon (contributor) ; Lowery, Richard (contributor) |
Publisher: |
[2012]: [S.l.] : SSRN |
Subject: | Experiment | Kapitalanlage | Financial investment | Volatilität | Volatility | Verhandlungstheorie | Bargaining theory | Kapitaleinkommen | Capital income | Liquiditätspräferenz | Liquidity preference | Portfolio-Management | Portfolio selection |
Saved in:
freely available
Extent: | 1 Online-Ressource (69 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: Journal of Finance, Forthcoming Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 22, 2012 erstellt |
Other identifiers: | 10.2139/ssrn.1961671 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013113502