Essays in experimental asset pricing


Donini, Alessandra


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URL: https://madoc.bib.uni-mannheim.de/41490
URN: urn:nbn:de:bsz:180-madoc-414902
Document Type: Doctoral dissertation
Year of publication: 2016
Place of publication: Mannheim
University: Universität Mannheim
Evaluator: Adam, Klaus
Date of oral examination: 22 November 2016
Publication language: English
Institution: School of Law and Economics > VWL, Internat. Wirtschaftsbeziehungen (Adam)
Außerfakultäre Einrichtungen > Graduate School of Economic and Social Sciences - CDSE (Economics)
Subject: 330 Economics
Subject headings (SWD): Makroökonomie
Keywords (English): 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.

Dieser Eintrag ist Teil der Universitätsbibliographie.

Das Dokument wird vom Publikationsserver der Universitätsbibliothek Mannheim bereitgestellt.




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