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Expectations structure in asset pricing experiments

Bottazzi, Giulio; Devetag, Giovanna - Dipartimento di Economia e Management, Università … - 2005

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/10005465214

Coordination of Expectations in Asset Pricing Experiments

Hommes, Cars; Sonnemans, Joep; Tuinstra, Jan; Velden, … - Tinbergen Instituut - 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/10011257391

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

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

The relevance of coarse thinking for investors' willingness to pay: An experimental study

Siddiqi, Hammad - Volkswirtschaftliche Fakultät, … - 2010

People tend to think by analogies. We investigate whether thinking-by-analogy matters for investors’ willingness to pay for a risky asset in a laboratory experiment. We find that thinking-by-analogy has a strong influence when the assets in question have similar (but not identical) payoffs....

Persistent link: https://www.econbiz.de/10008636541

Thar she blows again : reducing anchoring rekindles bubbles

Baghestanian, Sascha; Walker, Todd B. - 2014

We investigate the relationship between anchoring and the emergence of bubbles in experimental asset markets. We show that setting a visual anchor at the fundamental value (FV) in the first period only is sufficient to eliminate or to significantly reduce bubbles in laboratory asset markets. If...

Persistent link: https://www.econbiz.de/10010365125

Anchoring in experimental asset markets

Baghestanian, Sascha; Walker, Todd B. - 2015

Persistent link: https://www.econbiz.de/10012061107

Framing Effects, Selective Information and Market Behavior An Experimental Analysis

Kirchler, Erich; Maciejovsky, Boris; Weber, Martin - Max-Planck-Institut für Ökonomik, Max-Planck-Gesellschaft - 2004

The results of an asset market experiment, in which 64 subjects trade two assets on eight markets in a computerized continuous double auction, indicate that objectively irrelevant information influences trading behavior. Moreover, positively and negatively framed information leads to a...

Persistent link: https://www.econbiz.de/10005765199

The dynamics of trader motivations in asset bubbles

Caginalp, Gunduz; Ilieva, Vladimira - Dipartimento di Politica Economica, Finanza e Sviluppo … - 2006

Asset market experiments are analyzed by distinguishing, ex post facto, participants who trade on fundamentals versus those who trade on momentum (i.e., buying when the price is rising). The distinction is made when prices are above fundamental value, so that (in each period) those who have more...

Persistent link: https://www.econbiz.de/10005766544

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 … predicts. -- leverage ; asset pricing ; experimental economics …

Persistent link: https://www.econbiz.de/10009523387