MARKET EFFICIENCY: EVIDENCE FROM A NO‐BUBBLE ASSET MARKET EXPERIMENT
Pacific Economic Review, 2009 Abstract. We report the results of an experiment that demonstrates that market experience is not necessary to eliminate bubbles in the type of asset markets studied in Smith et al. (1988). We introduce a pre‐market phase in which subjects experience a dividend flow themselves by literally observing and receiving dividends for 12 periods.
Vivian Lei, Filip Vesely
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Asset market bubbles in an experiment with sequential information releases
Review of Behavioral Finance, 2021 PurposeMuch of the author’s understanding of experimental asset market bubbles is based on the Smith, Suchanek and Williams (SSW) design. The purpose of this paper is to find alternative bubble-producing designs, which is a promising path for new insights.Design/methodology/approachThe Smith et al.
Brian D. Kluger
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Experiments with Financial Markets: Implications for Asset Pricing Theory
The American Economist, 2001 This article surveys financial markets experiments from a particular vantage point, namely, asset pricing theory. The goal is to assess to what extent these experiments have (and could) shed light on the validity of the basic principles of asset pricing theory, namely (i) that markets equilibrate to the point that expected returns are proportional to ...
Peter Bossaerts
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Comovement and return predictability in asset markets: An experiment with two Lucas trees
Journal of Economic Behavior & Organization, 2021 Abstract Using a laboratory experiment, we investigate whether comovement can emerge between two risky assets, despite their fundamentals not being correlated. The ‘Two trees’ asset pricing model developed by Cochrane et al. (2007) guides our experimental design and its predictions serve as our source of hypotheses.
Charles N. Noussair +1 more
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Asset fire sales in equity markets: Evidence from a quasi-natural experiment
Journal of Financial Intermediation, 2017 Abstract In November of 2007 a fire sale of Chilean stocks was triggered by a change in the constraints that regulate pension fund portfolios. This regulatory shock provided a cleanly identified fire sale unrelated to fundamentals. Stocks with more selling pressure from pension funds lost approximately 4% in November compared to other stocks ...
Borja Larrain +2 more
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Automated Market Maker vs Continuous Double Auction: An Asset Market Experiment
SSRN Electronic Journal, 2023 Tibor Neugebauer, YiLong Xu
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Asset Market Experiments Does Inequality of Endowment Stimulate Bubbles and Bursts?
SSRN Electronic Journal, 2022 Lury Sofyan, Pia Weiss, Thorsten Chmura
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Information Processing in an Asset Market Experiment with Algorithmic Arbitrage Trading
SSRN Electronic Journal, 2023 Enrica Carbone +2 more
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Asset Market Experiments: Does Inequality of Endowment Stimulate Bubbles and Bursts?
SSRN Electronic Journal, 2020 Lury Sofyan, Pia Weiss
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