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Informational Contagion in the Laboratory
Cipriani, Marco - 2015
correlated fundamentals open sequentially. In both markets, subjects receive private information. Subjects in the market opening … information is only imperfectly aggregated, subjects are able to make correct inferences based on the public information coming … when it is rational to do so because they convey information …
Persistent link: https://www.econbiz.de/10013017423
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Informational Contagion in the Laboratory
Cipriani, Marco - 2015
correlated fundamentals open sequentially. In both markets, subjects receive private information. Subjects in the market opening … information is only imperfectly aggregated, subjects are able to make correct inferences based on the public information coming … when it is rational to do so because they convey information …
Persistent link: https://www.econbiz.de/10013026974
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Estimating a Structural Model of Herd Behavior in Financial Markets
Cipriani, Marco - 2012
, rational herding arises because of information-event uncertainty. We estimate the model using 1995 stock market data for … days. In an information-event day, on average, 2 percent (4 percent) of informed traders herd-buy (sell). In 7 percent (11 … percent) of information-event days, the proportion of informed traders who herd-buy (sell) is greater than 10 percent. Herding …
Persistent link: https://www.econbiz.de/10013105433
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The Market Events of Mid-September 2019
Afonso, Gara - 2020
This paper studies the mid-September 2019 stress in U.S. money markets: On September 16 and 17, unsecured and secured funding rates spiked up and, on September 17, the effective federal funds rate broke the ceiling of the Federal Open Market Committee (FOMC) target range. We highlight two...
Persistent link: https://www.econbiz.de/10012840138
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Trading by Professional Traders : An Experiment
Cipriani, Marco - 2020
participants trade an asset over multiple periods after receiving private information about its value. Second, participants play … not generate the price bubbles observed in previous studies with student subjects; traders aggregate private information …
Persistent link: https://www.econbiz.de/10012825798
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Endogenous Leverage and Default in the Laboratory
Cipriani, Marco - 2019
We study default and endogenous leverage in the laboratory. To this purpose, we develop a general equilibrium model of collateralized borrowing amenable to laboratory implementation and gather experimental data. In the model, leverage is endogenous: agents choose how much to borrow using a risky...
Persistent link: https://www.econbiz.de/10012859788
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Leverage and Asset Prices : An Experiment
Cipriani, Marco - 2012
This is the first paper to test the asset pricing implication of leverage in a laboratory. We show that as theory predicts, leverage increases asset prices: When an asset can be used as collateral (that is, when the asset can be bought on margin), its price goes up. This increase is significant,...
Persistent link: https://www.econbiz.de/10013110369