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Expectations and Bubbles in Asset Pricing Experiments
[Zeitschriftenartikel]
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 experi... mehr
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.... weniger
Klassifikation
Volkswirtschaftstheorie
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Freie Schlagwörter
Experimental economics; Expectations; Asset pricing; Speculative bubbles
Sprache Dokument
Englisch
Publikationsjahr
2008
Seitenangabe
S. 116-133
Zeitschriftentitel
Journal of Economic Behavior & Organization, 67 (2008) 1
DOI
https://doi.org/10.1016/j.jebo.2007.06.006
Status
Postprint; begutachtet (peer reviewed)
Lizenz
PEER Licence Agreement (applicable only to documents from PEER project)