We report on an experiment studying how traders react to stock splits and reverse splits. In the first environment, two assets have increasing fundamental values, and one asset is subject to a 2-for-1 share split while the other is not. In the second environment, the fundamental values of both...

We study the use of trading strategies and their profitability in experimental asset markets with asymmetrically informed traders. We find that insiders make most of their profits from trades which are initiated by their limit orders -- especially at the beginning of a period and when the change...

Exploiting several regional holidays in Germany as a source of exogenous cross-sectional variation in investor attention, we provide evidence that the well-known local bias at the individual level materially affects stock turnover at the firm level. The German setting offers favorable...

A common finding in laboratory studies is that subjects anchor on irrelevant initial cues when valuing assets. We run a field experiment to examine whether this heuristic can be exploited to manipulate prices in real markets. We provide early quotes in a series of horse race betting markets, and...

We conduct a field experiment to see if market liquidity has a causal effect on price efficiency and, if so, why. We randomly provide liquidity in certain horse race betting markets, and not in others. We find that prices in treated markets are indeed more efficient than prices in control...

What would you do if you were invited to play a game where you were given $25 and allowed to place bets for 30 minutes on a coin that you were told was biased to come up heads 60% of the time? This is exactly what we did, gathering 61 young, quantitatively trained men and women to play this...

Prediction markets have proved excellent tools for forecasting, outperforming experts and polls in many settings. But do larger markets, with wider participation, perform better than smaller markets? In this paper we analyse a series of repeated natural experiments in sports betting. The Queen's...

Analysing 5 exchange traded funds (ETFs) and 26 index certificates, this is a comprehensive intraday study combining the perspective of information dissemination and pricing quality. We focus on the Volkswagen extreme event day on 28 October 2008, where a breakdown of the futures-cash arbitrage...