Showing 1 - 10 of 86
Experimental stock markets are used to add some more evidence that Blacks (1976) leverage effect in financial markets does not necessarily stem from the financial leverage of the firm. We surprisingly find a large number of markets in which the leverage effect is observed although the underlying...
Persistent link: https://www.econbiz.de/10005858378
We explain excess volatility, short-term momentum and long-term reversal of asset prices by a repeated game version of Keynes beauty contest. In every period the players can either place a buy or sell order on the asset market. The actual price movement is determined by average market orders and...
Persistent link: https://www.econbiz.de/10005859323
This paper introduces state dependent utility into the standard Mehra and Prescott (1985) economy by allowing the representative agents coefficient of relative risk aversion to vary with the underlying economys growth rate. Existence of equilibrium is proved and its asymptotic properties...
Persistent link: https://www.econbiz.de/10005859325
We examine how asymmetric information and competition in the credit market affect voluntary information sharing between lenders. We study an experimental credit market in which information sharing can help lenders to distinguish goodborrowers from bad ones, because borrowers may exogenously...
Persistent link: https://www.econbiz.de/10005858065
Based on an experimental analysis of a simple monetary economy we argue that a monetary system is more stable than one would expect from individual rationality. Weshow that positive reciprocity stabilizes the monetary system, provided everyparticipant considers accepting money as a reasonable...
Persistent link: https://www.econbiz.de/10005858586
This paper contributes to the micro-foundation of money in centralizedmarkets with idiosyncratic uncertainty. It shows existence of stationarymonetary equilibria and ensures that there is an optimum quantity ofmoney. The rational solution of our model is compared with actual be-havior in a...
Persistent link: https://www.econbiz.de/10005858589
The paper investigates the effect of interest rate policy on price bubbles, trading behavior, and portfolio choice in experimental stock markets. In a series of experiments, participants trade an asset over 15 periods. Alternatively, the participants can invest money in interest-bearing bonds....
Persistent link: https://www.econbiz.de/10005859101
The evidence from many experiments suggests that people are heterogeneous with regard to their abilities to make rational, forward looking, decisions. This raises the question when the rational types are decisive for aggregate outcomes and when the boundedly rational types shape aggregate...
Persistent link: https://www.econbiz.de/10005859327
This paper argues that observations of non-stationary choice behavior need notnecessarily imply specific properties of the individual’s discount function. As weshow, the observed “anomalies” in intertemporal choice can alternatively be explained by an individual’s perception of the risk...
Persistent link: https://www.econbiz.de/10005858206
One of the most enduring questions in finance is the persistence of investment risk across time. Traditional finance lacks of recipes on how to approach and how to hedge non-diversifiable risks. Risks that can not be diversified at a given point in time can nevertheless be averaged over time...
Persistent link: https://www.econbiz.de/10005858938