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League-Table Incentives and Price Bubbles in Experimental Asset Markets
Cheung, Stephen L.; Coleman, Andrew - Institute for the Study of Labor (IZA) - 2011
We study experimental markets in which participants face incentives modeled upon those prevailing in markets for managed funds. Each participant's portfolio is periodically evaluated at market value and ranked in a league table according to short-term paper returns. Those who rank highly attract...
Persistent link: https://www.econbiz.de/10009021892
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Give Me Your Wired and Your Highly Skilled: Measuring the Impact of Immigration Policy on Employers and Shareholders
Lin, Carl - Institute for the Study of Labor (IZA) - 2011
policy. Most research treating the impact of immigration has focused on the consequences for employees as measured by wages … quantitative impact of immigrants on employer profit, and which employers are most likely to gain (suffer) increased (reduced …) profits as a result of immigration. Using event study analysis, I measure the impact of immigration policy on the profit of …
Persistent link: https://www.econbiz.de/10009294984
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Private Information, Human Capital, and Optimal "Home Bias" in Financial Markets
Ehrlich, Isaac; Shin, Jong Kook; Yin, Yong - Institute for the Study of Labor (IZA) - 2011
By allowing for imperfectly informed markets and the role of private information, we offer new insights about observed deviations of portfolio concentrations in domestic relative to foreign risky assets, or "home bias", from what standard finance models predict. Our model ascribes the "bias" to...
Persistent link: https://www.econbiz.de/10009359859
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To See Is To Believe: Common Expectations in Experimental Asset Markets
Cheung, Stephen L.; Hedegaard, Morten; Palan, Stefan - Institute for the Study of Labor (IZA) - 2012
We challenge the recent claim that mispricing in the experimental asset markets introduced by Smith, Suchanek, and Williams (1988) is merely an artefact of confusion over declining fundamental value, and can be eliminated through appropriate training. We instead propose that when training is...
Persistent link: https://www.econbiz.de/10010735644
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Testing CAPM with a Large Number of Assets
Pesaran, M. Hashem; Yamagata, Takashi - Institute for the Study of Labor (IZA) - 2012
This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated...
Persistent link: https://www.econbiz.de/10010550527
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Two Heads Are Less Bubbly than One: Team Decision-Making in an Experimental Asset Market
Cheung, Stephen L.; Palan, Stefan - Institute for the Study of Labor (IZA) - 2009
We study the effect of team decision-making on bubbles and crashes in experimental asset markets of the kind introduced by Smith, Suchanek and Williams (1988). We find that populating such markets with teams of size two instead of individuals significantly reduces the severity of mispricing. In...
Persistent link: https://www.econbiz.de/10008555360
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Explaining the Favorite-Longshot Bias: Is it Risk-Love or Misperceptions?
Snowberg, Erik; Wolfers, Justin - Institute for the Study of Labor (IZA) - 2010
The favorite-longshot bias describes the longstanding empirical regularity that betting odds provide biased estimates of the probability of a horse winning – longshots are overbet, while favorites are underbet. Neoclassical explanations of this phenomenon focus on rational gamblers who overbet...
Persistent link: https://www.econbiz.de/10008536014
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Predictability of Asset Returns and the Efficient Market Hypothesis
Pesaran, Hashem - Institute for the Study of Labor (IZA) - 2010
inefficiencies (assuming that they exist) can be exploited for profit. …
Persistent link: https://www.econbiz.de/10008466034
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Labor and the Market Value of the Firm
Merz, Monika; Yashiv, Eran - Institute for the Study of Labor (IZA) - 2003
What role does labor play in firms’ market value? We explore this question using a production-based asset pricing model with frictions in the adjustment of both capital and labor. We posit that hiring of labor is akin to investment in capital and that the two interact, with the interaction...
Persistent link: https://www.econbiz.de/10005233766
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The Life-Cycle and the Business-Cycle of Wage Risk: A Cross-Country Comparison
Bayer, Christian; Juessen, Falko - Institute for the Study of Labor (IZA) - 2009
, we find that household characteristics explain about 25% of the dispersion in wages within an age group in all three … countries. Second, the cross-sectional variance of wages is almost linearly increasing in household age in all three countries …
Persistent link: https://www.econbiz.de/10005015462