Narrow search
Showing 1 - 10 of 184
Cover Image
Equilibrium of Real Financial Markets: Theory and Experimental Evidence
Bossaerts, Peter - C.E.P.R. Discussion Papers - 2004
than at (CAPM) equilibrium. Experimental evidence confirms the predictions conclusively. …
Persistent link: https://www.econbiz.de/10005792218
Cover Image
Liquidity Risk and the Dynamics of Arbitrage Capital
Kondor, Péter; Vayanos, Dimitri - C.E.P.R. Discussion Papers - 2014
We develop a dynamic model of liquidity provision, in which hedgers can trade multiple risky assets with arbitrageurs. We compute the equilibrium in closed form when arbitrageurs' utility over consumption is logarithmic or risk-neutral with a non-negativity constraint. Liquidity is increasing in...
Persistent link: https://www.econbiz.de/10011084683
Cover Image
On the Role of Arbitrageurs in Rational Markets
Basak, Suleyman; Croitoru, Benjamin - C.E.P.R. Discussion Papers - 2004
Price discrepancies, although at odds with mainstream finance, are persistent phenomena in financial markets. These apparent mispricings lead to the presence of ‘arbitrageurs’, who aim to exploit the resulting profit opportunities, but whose role remains controversial. This article...
Persistent link: https://www.econbiz.de/10005123691
Cover Image
Equilibrium Asset Prices and Investor Behavior in the Presence of Money Illusion
Basak, Suleyman; Yan, Hongjun - C.E.P.R. Discussion Papers - 2009
This article analyzes the implications of money illusion for investor behavior and asset prices in a securities market economy with inflationary fluctuations. We provide a belief-based formulation of money illusion which accounts for the systematic mistakes in evaluating real and nominal...
Persistent link: https://www.econbiz.de/10005048554
Cover Image
Asset Prices with Heterogenous Beliefs
Basak, Suleyman - C.E.P.R. Discussion Papers - 2004
This article studies the dynamic behaviour of security prices in the presence of investors’ heterogeneous beliefs. We provide a tractable continuous-time pure-exchange model and highlight the mechanism through which investors’ differences of opinion enter into security prices. In the...
Persistent link: https://www.econbiz.de/10005661585
Cover Image
Basic Principles Of Asset Pricing Theory: Evidence From Large-Scale Experimental Financial Markets
Bossaerts, Peter; Plott, Charles - C.E.P.R. Discussion Papers - 2000
-markets model, and the Sharpe-Lintner-Mossin Capital Asset Pricing Model (CAPM). This framework enabled us to measure how far our … discovered swift convergence towards equilibrium prices of Arrow and Debreu's model or the CAPM. This discovery is significant … equilibrate as predicted by the theory. In each experiment, we formally test and reject the hypothesis that prices are a random …
Persistent link: https://www.econbiz.de/10005662411
Cover Image
Social Identity and Preferences over Redistribution
Klor, Esteban F; Shayo, Moses - C.E.P.R. Discussion Papers - 2007
We design an experiment to study the effects of social identity on preferences over redistribution. The experiment …
Persistent link: https://www.econbiz.de/10005114256
Cover Image
On Public Opinion Polls and Voters' Turnout
Klor, Esteban F; Winter, Eyal - C.E.P.R. Discussion Papers - 2006
This paper studies the effects that the revelation of information on the electorate's preferences has on voters' turnout decisions. The experimental data show that closeness in the division of preferences induces a significant increase in turnout. Moreover, for closely divided electorates (and...
Persistent link: https://www.econbiz.de/10005661831
Cover Image
Choosing to Compete: How different are girls and boys?
Booth, Alison L; Nolen, Patrick - C.E.P.R. Discussion Papers - 2009
Using a controlled experiment, we examine the role of nurture in explaining the stylized fact that women shy away from …
Persistent link: https://www.econbiz.de/10005082535
Cover Image
Cheap Talk with Multiple Audiences: an Experimental Analysis
Battaglini, Marco; Makarov, Uliana - C.E.P.R. Discussion Papers - 2010
We examine strategic information transmission in a controlled laboratory experiment of a cheap talk game with one … theoretical predictions that we observe tend to disappear with experience, and learning is faster precisely in the games where …
Persistent link: https://www.econbiz.de/10008784698