Rational expectations in an experimental asset market with shocks to market trends

Marquardt, Philipp ; Noussair, Charles N. ; Weber, Martin

DOI: https://doi.org/10.1016/j.euroecorev.2019.01.009
URL: https://www.sciencedirect.com/science/article/pii/...
Additional URL: https://www.google.com/url?sa=t&rct=j&q=&esrc=s&so...
Document Type: Article
Year of publication: 2019
The title of a journal, publication series: European Economic Review : EER
Volume: 114
Page range: 116-140
Place of publication: Amsterdam
Publishing house: Elsevier
ISSN: 0014-2921 , 1873-572X
Related URLs:
Publication language: English
Institution: Business School > ABWL u. Bankbetriebslehre (Seniorprofessur) (Weber 2017-)
Subject: 330 Economics
Classification: JEL: D84 , G14 , G40,
Keywords (English): experimental asset markets , news reactions , price discovery , rational expectations
Abstract: We construct an experimental asset market in which the time trend of the fundamental value is subject to a shock. The design of the experiment allows testing of whether prices adhere to Rational Expectations levels, and whether there is over- or under-reaction to new information. We find that prices conform closely to Rational Expectations and episodes of mispricing are rare. A meta-analysis allows us to update our beliefs about whether experimental asset markets exhibit a generic tendency to misprice, particularly in bearish environments.

Dieser Eintrag ist Teil der Universitätsbibliographie.

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