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Competition and Well-Being
Brandts, Jordi; Riedl, Arno; Winden, Frans A.A.M. van - C.E.P.R. Discussion Papers - 2006
This paper experimentally studies the effects of competition in an environment where people's actions can not be contractually fixed. We find that, in comparison with no competition, the presence of competition does neither increase efficiency nor does it yield any gains in earnings for the...
Persistent link: https://www.econbiz.de/10005123778
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Equilibrium of Real Financial Markets: Theory and Experimental Evidence
Bossaerts, Peter - C.E.P.R. Discussion Papers - 2004
The theory and the data in this Paper challenge the view that there is no structure in prices and allocations when markets are off equilibrium. Starting from the observation that price-taking usually applies only to small orders, a theory of equilibration is derived based on the assumption that...
Persistent link: https://www.econbiz.de/10005792218
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Recreating the South Sea Bubble: Lessons from an Experiment in Financial History
Giusti, Giovanni; Noussair, Charles; Voth, Hans-Joachim - C.E.P.R. Discussion Papers - 2013
Major bubble episodes are rare events. In this paper, we examine what factors might cause some asset price bubbles to become very large. We recreate, in a laboratory setting, some of the specific institutional features investors in the South Sea Company faced in 1720. Several factors have been...
Persistent link: https://www.econbiz.de/10011083988
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Subjective Discount Factors
Luttmer, Erzo G J; Mariotti, Thomas - C.E.P.R. Discussion Papers - 2000
This paper describes the equilibrium of a discrete-time exchange economy in which consumers with arbitrary subjective discount factors and quasi-homothetic period utility functions follow linear Markov consumption and portfolio strategies. Explicit expressions are given for state prices and...
Persistent link: https://www.econbiz.de/10005662071
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Incomplete-Market Equilibria Solved Recursively on an Event Tree
Dumas, Bernard J; Lyasoff, Andrew - C.E.P.R. Discussion Papers - 2009
We develop a method that allows one to compute incomplete-market equilibria routinely for Markovian equilibria (when they exist). The main difficulty to be overcome arises from the set of state variables. There are, of course, exogenous state variables driving the economy but, in an incomplete...
Persistent link: https://www.econbiz.de/10005124234
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On the Consequences of State Dependent Preferences for the Pricing of Financial Assets
Danthine, Jean-Pierre; Donaldson, John B; Giannikos, Chrisos - C.E.P.R. Discussion Papers - 2003
This Paper introduces state dependent utility into the standard Mehra and Prescott (1985) economy by allowing the representative agent’s coefficient of relative risk aversion to vary with the underlying economy’s growth rate. Existence of equilibrium is proved and its asymptotic properties...
Persistent link: https://www.econbiz.de/10005497824
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Consumption and Labour Supply with Partial Insurance: An Analytical Framework
Heathcote, Jonathan; Storesletten, Kjetil; Violante, … - C.E.P.R. Discussion Papers - 2007
This paper develops an analytical framework to study consumption and labour supply in a rich class of heterogeneous-agent economies with partial insurance. The environment allows for trade in non-contingent and state-contingent bonds, for permanent and transitory idiosyncratic productivity...
Persistent link: https://www.econbiz.de/10005114147
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The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself
Jordà, Òscar; Taylor, Alan M. - C.E.P.R. Discussion Papers - 2009
The carry trade is the investment strategy of going long in high-yield target currencies and short in low-yield funding currencies. Recently, this naive trade has seen very high returns for long periods, followed by large crash losses after large depreciations of the target currencies. Based on...
Persistent link: https://www.econbiz.de/10008491718
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Global Risk, Investment and Emotions
Bosman, R.A.J; Winden, Frans A.A.M. van - C.E.P.R. Discussion Papers - 2006
We investigate a novel dynamic choice problem in an experiment where emotions are measured through self-reports. The … of emotions, using the emotion data from the experiment and recent psychological findings. We also find that people …
Persistent link: https://www.econbiz.de/10005791308
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Investment, Resolution of Risk, and the Role of Affect
Hopfensitz, Astrid; Krawczyk, Michal; Winden, Frans … - C.E.P.R. Discussion Papers - 2008
take risks, with a special focus on the role of affect. While the importance of anticipatory emotions has so far been only … investment task. Moreover, emotions were explicitly measured, including anticipatory emotions experienced during the waiting … risk involved, and that (among all the measures considered) only emotions can explain our results, albeit in ways that are …
Persistent link: https://www.econbiz.de/10005124205