Dynamically Complete Experimental Asset Markets
نویسندگان
چکیده
منابع مشابه
Dynamically Complete Experimental Asset Markets
We design an experiment to compare investors’ final wealth distribution in a static setup and an equivalent dynamic setup. In the static setup investors can trade all risks since there are as many securities as states of the world. In the dynamic market there are too few securities for investors to achieve efficient final wealth holdings without re-trade. Information disclosure and the possibil...
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Trading volume of infinitely lived securities, such as equity, is generically zero in Lucas asset-pricing models with heterogeneous agents. More generally, the end-of-period portfolio of all securities is constant over time and states in the generic economy. General equilibrium restrictions rule out trading of equity after an initial period. This result contrasts the prediction of portfolio all...
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Apart from the risk premium of equity over bonds, volatility of asset prices and trading volumes are two aspects of the already developed general equilibrium asset pricing theory that fail to show any resemblance with real data. The assumption of agent homogeneity has been relaxed in a number of studies where agents face uninsurable income shocks but fail to provide a consistent explanation tha...
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The standard general equilibrium asset pricing models typically undertake two common assumptions of homogeneous agents and rational expectations equilibrium. However, this context sometimes yields outcomes that are inconsistent with reality like negligible trading volume. In order to explain the overwhelming evidence of trading volume, I would need to develop a model where the usual no-trade th...
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I investigate the behavior of individual investors in an experimental asset market that features a bubble. Subjects trade a risky asset at prices that do not change in response to their trades. The prices are taken from the outcome of a previous asset market experiment. This unique setup makes it possible to identify behavioral di¤erences between subjects who understand asset fundamentals and t...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2007
ISSN: 1556-5068
DOI: 10.2139/ssrn.1103309