An experimental asset market is used to test the effect of news concerning the underlying value of an asset on its trading price. Participants were divided into two groups and received different expected earnings values. Statistical support is found for the hypothesis that investors underreact...

We investigate the price dynamics of large market-capitalization U.S. equity exchange-traded funds (ETFs) in order to uncover trader motivations and strategy. We show that prices of highly liquid ETFs can deviate significantly from their daily net asset values. By adjusting for changes in...

Overreactions and other behavioral effects in stock prices can best be examined by adjusting for the changes in fundamentals. We perform this by subtracting the relative price changes in the net asset value (NAV) from that of market price (MP) daily for 134 406 data points of closed-end funds...

A system of nonlinear asset flow differential equations (AFDE) gives rise to an inverse problem involving optimization of parameters that characterize an investor population. The optimization procedure is used in conjunction with daily market prices and net asset values to determine the...

Overreactions and other behavioral effects in stock prices can best be examined by adjusting for the changes in fundamentals. We perform this by subtracting the relative price changes in the net asset value (NAV) from that of the market price (MP) daily for 134,406 data points of closed end...

We develop a methodology to extract a quantitative model for behavioral effects in markets from empirical data. A set of 24 asset market experiments are utilized to derive an equation of price and its dependence on momentum, fundamental value, excess bid level and liquidity considerations. A...

A series of experiments, in which nine participants trade an asset over 15 periods, test the hypothesis that an initial imbalance of asset/cash will influence the trading price over an extended time. Participants know at the outset that the asset or quot;stockquot; pays a single dividend with...

Price volatility and investor overreactions are commonplace in experimental asset markets. Understanding the price dynamics in these markets is crucial for designing successful new trading institutions. We report on a series of experiments to test the predictions of a new momentum model using a...