Export to your Reference Manger

Please Copy & Paste



Bookmark and Share

Expectations and Bubbles in Asset Pricing Experiments

[journal article]

Hommes, Cars; Sonnemans, Joep; Tuinstra, Jan; Velden, Henk van de

fulltextDownloadDownload full text

(1817 KByte)

Citation Suggestion

Please use the following Persistent Identifier (PID) to cite this document:http://nbn-resolving.de/urn:nbn:de:0168-ssoar-253825

Further Details
Abstract We present results on expectation formation in a controlled experimental environment. In each period subjects are asked to predict the next price of a risky asset. The realized market price is derived from an unknown market equilibrium equation with feedback from individual forecasts. In most experiments prices deviate from the benchmark fundamental and bubbles emerge endogenously. These bubbles are inconsistent with rational expectations and seem to be driven by trend chasing behavior or “positive feedback expectations” of the participants. We also analyze individual predictions of participants and find that participants within a group tend to coordinate on a common prediction strategy.
Classification National Economy; Economic Statistics, Econometrics, Business Informatics
Free Keywords Experimental economics; Expectations; Asset pricing; Speculative bubbles
Document language English
Publication Year 2008
Page/Pages p. 116-133
Journal Journal of Economic Behavior & Organization, 67 (2008) 1
DOI http://dx.doi.org/10.1016/j.jebo.2007.06.006
Status Postprint; peer reviewed
Licence PEER Licence Agreement (applicable only to documents from PEER project)