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Experience does not eliminate bubbles : experimental evidence
Kopányi-Peuker, Anita; Weber, Matthias - 2018
. These bubbles do not disappear with experience. Our findings in the call market experiment stand in contrast to the … literature. Our findings in the learning-to-forecast experiment are novel. Interestingly, the shape of the bubbles is different … between the two experiments. We observe flat bubbles in the call market experiment and boom-and-bust cycles in the learning …
Persistent link: https://www.econbiz.de/10011932581
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Bubbles, crashes and information contagion in large-group asset market experiments
Hommes, Cars H.; Kopányi-Peuker, Anita; Sonnemans, Joep - 2019
". We observe both stable markets and large bubbles for both small and large markets. The data analysis shows no differences … successfully drives prices back towards the fundamental, but we observe very large bubbles in which the news apparently has no …
Persistent link: https://www.econbiz.de/10011979625
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Bubble formation and (in)efficient markets in learning-to-forecast and -optimise experiments
Te, Bao; Hommes, Cars H.; Makarewicz, Tomasz - 2015
This experiment compares the price dynamics and bubble formation in an asset market with a price adjustment rule in …, recurring bubbles arise, where the price is 3 times larger than the fundamental value, which were not seen in former experiments. …
Persistent link: https://www.econbiz.de/10011333057
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Peer effects and risk sharing in experimental asset markets
Gortner, Paul; Weele, Joël J. van der - 2019
We investigate the effect of introducing information about peer portfolios in an experimental Arrow-Debreu economy. Confirming the prediction of a general equilibrium model with inequality averse preferences, we find that peer information leads to reduced variation in payoffs within peer groups....
Persistent link: https://www.econbiz.de/10012023982
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Credit default swap regulation in experimental bond markets
Weber, Matthias; Duffy, John; Schram, Arthur - 2019
proposed to limit such speculative use. Here, we provide the first controlled experiment analyzing the pricing of credit …
Persistent link: https://www.econbiz.de/10012026056
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A meta-analysis of the equity premium
Ewijk, Casper van; Groot, Henri L. F. de; Santing, Coos - 2010
The equity premium is a key parameter in asset allocation policies. There is a vigorous debate in the literature regarding the actual measurement of the equity premium, its size and the determinants of its variation. This study aims to take stock of this literature by means of a meta-analysis....
Persistent link: https://www.econbiz.de/10011381035
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Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China
Chang, Chia-Lin; McAleer, Michael; Tian, Jiarong - 2016 - Revised: June, 2016
The primary purpose of the paper is to analyze the conditional correlations, conditional covariances, and co-volatility spillovers between international crude oil and associated financial markets. The paper investigates co-volatility spillovers (namely, the delayed effect of a returns shock in...
Persistent link: https://www.econbiz.de/10011520514
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An experimental study of bond market pricing
Weber, Matthias; Duffy, John; Schram, Arthur - 2016
An important feature of bond markets is the relationship between initial public offering prices and the probability of the issuer defaulting. First, this probability affects bond prices. Second, IPO prices determine the default probability. Though the market equilibrium has been shown to predict...
Persistent link: https://www.econbiz.de/10011520861
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Booms, busts and behavioural heterogeneity in stock prices
Hommes, Cars H.; Veld, Daan in't - 2015 - This draft: July 2015
We empirically evaluate a behavioural model with boundedly rational traders who disagree about the persistence of deviations from the fundamental stock price. Fundamentalist traders believe in mean-reversion, while chartists extrapolate trends. Agents gradually switch between the two rules,...
Persistent link: https://www.econbiz.de/10011301214
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Quantitative easing and exuberance in government bond markets : evidence from the ECB's Expanded Assets Purchase Program
Droes, Martijn; Lamoen, Ryan C. R. van; Mattheussens, Simona - 2017 - This version: 25 August 2017
This paper examines whether the ECB's Quantitative Easing (QE) policy is causing government bond prices to deviate from their fundamental value. We use a recent advance in the methodology to measure exuberant price behavior in financial time series introduced by Phillips et al. (2015). We extend...
Persistent link: https://www.econbiz.de/10011715916