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Equilibrium of Real Financial Markets: Theory and Experimental Evidence

Bossaerts, Peter - C.E.P.R. Discussion Papers - 2004

The theory and the data in this Paper challenge the view that there is no structure in prices and allocations when … markets are off equilibrium. Starting from the observation that price-taking usually applies only to small orders, a theory of … imbalance. In the context of mean-variance preferences, the theory predicts that a security’s price will correlate with excess …

Persistent link: https://www.econbiz.de/10005792218

Liquidity Risk and the Dynamics of Arbitrage Capital

Kondor, Péter; Vayanos, Dimitri - C.E.P.R. Discussion Papers - 2014

We develop a dynamic model of liquidity provision, in which hedgers can trade multiple risky assets with arbitrageurs. We compute the equilibrium in closed form when arbitrageurs' utility over consumption is logarithmic or risk-neutral with a non-negativity constraint. Liquidity is increasing in...

Persistent link: https://www.econbiz.de/10011084683

Equilibrium Asset Prices and Investor Behavior in the Presence of Money Illusion

Basak, Suleyman; Yan, Hongjun - C.E.P.R. Discussion Papers - 2009

This article analyzes the implications of money illusion for investor behavior and asset prices in a securities market economy with inflationary fluctuations. We provide a belief-based formulation of money illusion which accounts for the systematic mistakes in evaluating real and nominal...

Persistent link: https://www.econbiz.de/10005048554

Asset Prices with Heterogenous Beliefs

Basak, Suleyman - C.E.P.R. Discussion Papers - 2004

This article studies the dynamic behaviour of security prices in the presence of investors’ heterogeneous beliefs. We provide a tractable continuous-time pure-exchange model and highlight the mechanism through which investors’ differences of opinion enter into security prices. In the...

Persistent link: https://www.econbiz.de/10005661585

On the Role of Arbitrageurs in Rational Markets

Basak, Suleyman; Croitoru, Benjamin - C.E.P.R. Discussion Papers - 2004

Price discrepancies, although at odds with mainstream finance, are persistent phenomena in financial markets. These apparent mispricings lead to the presence of ‘arbitrageurs’, who aim to exploit the resulting profit opportunities, but whose role remains controversial. This article...

Persistent link: https://www.econbiz.de/10005123691

On Public Opinion Polls and Voters' Turnout

Klor, Esteban F; Winter, Eyal - C.E.P.R. Discussion Papers - 2006

This paper studies the effects that the revelation of information on the electorate's preferences has on voters' turnout decisions. The experimental data show that closeness in the division of preferences induces a significant increase in turnout. Moreover, for closely divided electorates (and...

Persistent link: https://www.econbiz.de/10005661831

Social Identity and Preferences over Redistribution

Klor, Esteban F; Shayo, Moses - C.E.P.R. Discussion Papers - 2007

We design an experiment to study the effects of social identity on preferences over redistribution. The experiment …

Persistent link: https://www.econbiz.de/10005114256

Basic Principles Of Asset Pricing Theory: Evidence From Large-Scale Experimental Financial Markets

Bossaerts, Peter; Plott, Charles - C.E.P.R. Discussion Papers - 2000

equilibrate as predicted by the theory. In each experiment, we formally test and reject the hypothesis that prices are a random … propositions of modern asset pricing theory, namely, that the interaction between risk averse agents in a competitive market leads …-markets model, and the Sharpe-Lintner-Mossin Capital Asset Pricing Model (CAPM). This framework enabled us to measure how far our …

Persistent link: https://www.econbiz.de/10005662411

Do Single-Sex Classes Affect Achievement? An Experiment in a Coeducational University

Booth, Alison L; Cardona Sosa, Lina; Nolen, Patrick - C.E.P.R. Discussion Papers - 2014

We examine the effect of single-sex classes on the pass rates, grades, and continued enrollment of students in a coeducational university. We randomly assign students to all-female, all-male, and coed classes and, therefore, get around the selection issues present in studies on single-sex...

Persistent link: https://www.econbiz.de/10011083520

Gender Differences in Honesty: Groups Versus Individuals

Muehlheusser, Gerd; Roider, Andreas; Wallmeier, Niklas - C.E.P.R. Discussion Papers - 2014

Extending the die rolling experiment of Fischbacher and Föllmi-Heusi (2013), we compare gender effects with respect to …

Persistent link: https://www.econbiz.de/10011145435