Experimental Research on Asset Pricing

Noussair, Charles; Tucker, Steven

doi:10.2139/ssrn.2235105

Cited by 5 publications

(6 citation statements)

References 29 publications

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“…Examples range from the Dutch Tulip craze of the 1600s, to the recent worldwide housing bubble of [2003][2004][2005][2006][2007][2008]. Rational expectations models predict that common expectations about the value of the asset should never result in bubbles (Tirole 1982), yet bubbles have formed even with commonlyknown intrinsic values assigned in laboratory experiments (Porter and Smith 2003;Noussair and Tucker 2013;Palan 2013).…”

Section: Introductionmentioning

confidence: 99%

Learning through passive participation in asset market bubbles

Cason

Samek

2015

J Econ Sci Assoc

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We report a laboratory experiment that investigates the impact of passive participation on bubble formation in asset markets with inexperienced and experienced traders. Some treatments employ pre-market training in which each participant is 'matched' with a trader from a different prior market and observes all trading details but does not directly participate in trading. We find that passive participation, similar to direct experience, significantly reduces mispricing in subsequent markets. This finding suggests that observation of prices is a key mechanism through which experience mitigates bubbles. We also vary whether transaction prices are displayed in a column of text or in a graphical display, and find that among inexperienced and once-experienced traders, markets with the tabular display result in bubbles that are greater in amplitude relative to markets with the graphical display.

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Section: Introductionmentioning

confidence: 99%

Learning through passive participation in asset market bubbles

Cason

Samek

2015

J Econ Sci Assoc

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“…As in other asset pricing experiments, we find that bubbles in bond prices are only observed among inexperienced traders. This is remarkable, given that the bonds in our experiments are relatively long lived, giving ample opportunity for bubbles to occur (e.g., Noussair and Tucker, 2013). The overall high degree of market efficiency that we find occurs in environments with both increasing and decreasing (equilibrium) fundamental values for bonds.…”

Section: Introductionmentioning

confidence: 59%

“…Indeed, recent surveys of the experimental asset pricing literature by Bossaerts (2009), Noussair and Tucker (2013), and Palan (2013) reveal just a few experiments that explicitly consider assets labeled as "bonds"; more generally assets are simply labeled as "assets". In the studies that do refer to certain assets as bonds, the bonds are included primarily as a means of expanding the portfolio of assets available to traders.…”

Section: Literaturementioning

confidence: 99%

An Experimental Study of Bond Market Pricing

2016

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Abstract 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 well for other assets, it is a priori unclear whether markets will yield competitive prices when such interaction with the default probability occurs. We develop a flexible bond market model that is easily implemented in the laboratory and examine how subjects price bonds. We find that subjects learn to price bonds well after only a few repetitions. Terms of use: Documents inJEL classification: C92, C90, D47, G12

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“…To sample articles after 1995, we had to rely on recent surveys (Noussair and Tucker, 2013;Potters and Suetens, 2013;Chaudhuri, 2011;Güth and Kocher, 2014;Kagel and Levin, 2014). Each survey corresponds to one of the six subfields of EE (cf.…”

Section: The Birth Of a Long-standing Statistical Controversy In Psycmentioning

confidence: 99%

Estimating Rationality in Economics: A History of Statistical Methods in Experimental Economics

Vallois

Jullien

2018

SSRN Journal

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Abstract.Experimental economists increasingly apply econometric techniques to interpret their data, as suggests the emergence of "experimetrics" in the 2000s. Yet statistics remains a minor topic in historical and methodological writings on experimental economics (EE). This article aims to address this lacuna .To do so, we analyze the use of statistical tools in EE from early economics experiments of the 1940s-1950s to the present days. Our narrative is based on qualitative analysis of papers published in early periods and quantitative analysis of papers published in more recent periods. Our results reveal a significant change in EE' statistical methods, namely an evolution from purely descriptive methods to more sophisticated and standardized techniques. We also highlight that, despite the decisive role played by statistics in the way EE estimate the rationality of individuals or markets, statistics are still considered as involving non-methodological issues, i.e., as involving only purely technical issues. Our historical analysis shows that this technical conception was the result of a longrun evolution of the process of scientific legitimization of EE, which allowed experimental economists to escape from psychologist's more reflexive culture toward statistics.

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Experimental Research on Asset Pricing

Cited by 5 publications

References 29 publications

Learning through passive participation in asset market bubbles

Learning through passive participation in asset market bubbles

An Experimental Study of Bond Market Pricing

Estimating Rationality in Economics: A History of Statistical Methods in Experimental Economics

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