Asset pricing , Experiment , Booms and Busts , Volatility
Abstract:
This dissertation covers topics of research in the area of experimental macroeconomics, in particular in the field of experimental asset pricing. First, the literature related to consumption-based asset pricing à la Lucas (1978) is surveyed, with a focus on the literature that, by abandoning the full rationality assumption, can match empirical features of asset prices, such as asset returns predictability, equity premium and excessively volatile returns.
From a methodological point of view, laboratory experiments emerge as a well suited tool to explore expectational feedback loops into prices. Using the latter as a starting point, the two consecutive chapters aim at providing a convincing explanation to two observed asset price patterns: the cyclicality of asset market booms and busts and the sources of asset price volatility.
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