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Leverage and asset prices: An experiment
Cipriani, Marco; Fostel, Ana; Houser, Daniel - 2012
This is the first paper to test the asset pricing implication of leverage in a laboratory. We show that as theory … predicts, leverage increases asset prices: When an asset can be used as collateral (that is, when the asset can be bought on …
Persistent link: https://www.econbiz.de/10010287041
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Endogenous leverage and default in the laboratory
Cipriani, Marco; Fostel, Ana; Houser, Daniel - 2019
We study default and endogenous leverage in the laboratory. To this purpose, we develop a general equilibrium model of … collateralized borrowing amenable to laboratory implementation and gather experimental data. In the model, leverage is endogenous …
Persistent link: https://www.econbiz.de/10012144743
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A note on the design of experiments involving public goods
Graves, Philip E. - 2010
Concern about potential free riding in the provision of public goods has a long history. More recently, experimental economists have turned their attention to the conditions under which free riding would be expected to occur. A model of free riding is provided here which demonstrates that...
Persistent link: https://www.econbiz.de/10010274945
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Endogenous Leverage and Asset Pricing in Double Auctions
Breuer, Thomas; Summer, Martin; Vollbrecht, Hans-Joachim - 2013
leverage by studying a model that simultaneously describes dynamic and equilibrium properties of the market. Rather than taking … important because the economics of leverage is key to the understanding of financial crisis. We find that simulated double … assets are traded at a price above fundamental value in the double auction. The equilibrium level of leverage also emerges in …
Persistent link: https://www.econbiz.de/10013370101
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Coordination of Expectations in Asset Pricing Experiments
Hommes, Cars; Sonnemans, Joep; Tuinstra, Jan; van de … - 2003
We investigate expectation formation in a controlled experimental en-vironment. Subjects are asked to predict the price in a standard asset pricingmodel. They do not have knowledge of the underlying market equilibrium equa-tions, but they know all past realized prices and their own predictions....
Persistent link: https://www.econbiz.de/10010324831
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Expectations structure in asset pricing experiments
Bottazzi, Giulio; Devetag, Giovanna - 2003
Notwithstanding the recognized importance of traders' expectations in characterizing the observed market dynamics, for instance the formation of speculative bubbles and crashes on financial markets, little attention has been devoted so far by economists to a rigorous study of expectation...
Persistent link: https://www.econbiz.de/10010328437
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Does volatility matter? Expectations of price return and variability in an asset pricing experiment
Bottazzi, Giulio; Devetag, Giovanna; Pancotto, Francesca - 2009
We present results of an experiment on expectation formation in an asset market. Participants to our experiment must provide forecasts of the stock future return to computerized utility-maximizing investors, and are rewarded according to how well their forecasts perform in the market. In the...
Persistent link: https://www.econbiz.de/10010328471
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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 the bond prices. Second, IPO prices determine the default probability. Though market equilibrium has been shown to predict...
Persistent link: https://www.econbiz.de/10011526136
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Regulating Asset Price Risk
Bacchetta, Philippe; Tille, Cédric; van Wincoop, Eric - 2011
There has been a long debate about whether speculators are stabilizing or not. We consider a model where speculators have a stabilizing role in normal times, but may also provoke large risk panics. The very feature that makes arbitrageurs liquidity providers in normal times, namely their...
Persistent link: https://www.econbiz.de/10010316750
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Input versus Output Taxation in an Experimental International Economy
Riedl, Arno; van Winden, Frans - 2003
This paper is concerned with a policy oriented macroeconomic experiment involving an 'international' economy with a relatively small 'home' country and a large 'foreign' country. It compares the economic performance of two alternative tax systems as a means to finance unemployment benefits: a...
Persistent link: https://www.econbiz.de/10010324982