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Gender and Bubbles in Experimental Markets with Positive and Negative Expectation Feedback

Te, Bao; Lu, Zhou; Yu, Xiaohua - 2021

We investigate the effect of gender on the price deviation (bubble) from the fundamental value in a learning-to-forecast experiment. Our results show that gender plays a more prominent role in markets with positive expectation feedback than in markets with negative feedback. In both types of...

Persistent link: https://www.econbiz.de/10013312561

Experience does not eliminate bubbles : experimental evidence

Kopányi-Peuker, Anita; Weber, Matthias - 2018

We study the role of experience in the formation of asset price bubbles. Therefore, we conduct two related experiments … participants receive. Each market is repeated three times. In both experiments and in all treatments, we observe sizable bubbles …. These bubbles do not disappear with experience. Our findings in the call market experiment stand in contrast to the …

Persistent link: https://www.econbiz.de/10011932581

Experience does not eliminate bubbles : experimental evidence

Kopányi-Peuker, Anita; Weber, Matthias - 2018

Persistent link: https://www.econbiz.de/10011946644

Coordination of expectations in asset pricing experiments

Hommes, Cars H.; Sonnemans, Joep; Tuinstra, Jan; … - 2003

We investigate expectation formation in a controlled experimental en-vironment. Subjects are asked to predict the price in a standard asset pricingmodel. They do not have knowledge of the underlying market equilibrium equa-tions, but they know all past realized prices and their own predictions....

Persistent link: https://www.econbiz.de/10011333274

Does volatility matter? : expectations of price return and variability in an asset pricing experiment

Bottazzi, Giulio; Devetag, Giovanna; Pancotto, Francesca - 2009

We present results of an experiment on expectation formation in an asset market. Participants to our experiment must provide forecasts of the stock future return to computerized utility-maximizing investors, and are rewarded according to how well their forecasts perform in the market. In the...

Persistent link: https://www.econbiz.de/10008732426

Lock-in of extrapolative expectations in an asset pricing model

Lansing, Kevin J. (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002116841

A model of cycles and bubbles under heterogeneous beliefs in financial markets

Burs, Carina - 2023

Persistent link: https://www.econbiz.de/10014225865

Speculative Betas

Hong, Harrison G. - 2012

We provide a model for why high beta assets are more prone to speculative overpricing than low beta ones. When investors disagree about the common factor of cash-flows, high beta assets are more sensitive to this macro-disagreement and experience a greater divergence-of-opinion about their...

Persistent link: https://www.econbiz.de/10013097774

Behavioral heterogeneity in stock prices

Boswijk, Herman Peter; Hommes, Cars H.; Manzan, Sebastiano - 2005

We estimate a dynamic asset pricing model characterized by heterogeneous boundedly rational agents. The fundamental value of the risky asset is publicly available to all agents, but they have different beliefs about the persistence of deviations of stock prices from the fundamental benchmark. An...

Persistent link: https://www.econbiz.de/10011343265

Speculative Betas

Hong, Harrison G. - 2015

The risk and return trade-off, the cornerstone of modern asset pricing theory, is often of the wrong sign. Our explanation is that high beta assets are more prone to speculative overpricing than low beta ones. When investors disagree about the prospects of the stock market, high beta assets are...

Persistent link: https://www.econbiz.de/10013037447