The paper investigates the relation between the risk preferences of traders and the information aggregation properties of an experimental call market. We find evidence inconsistent with the prediction that market-clearing prices are closer to the full revelation of the state when traders are...

We investigate how risk aversion (RA) shapes the informative content of prices in an experimental asset market, where traders are sorted according to their RA. RA should induce steeper individual demands and, under its most common parametrizations, drive equilibrium prices closer to revealing...

Changes in average FinaMetrica monthly risk tolerance scores were evaluated during the January 2007 to May 2012 time period that spanned the global financial crisis. The research objective was to test whether fluctuations in equity returns influence average risk tolerance scores over time. A...

Using a simple dynamic consumption-based asset pricing model, this paper explores the implications of a representative investor with smooth ambiguity averse preferences [Klibanoff, Marinacci and Mukerji, Econometrica (2005)] and provides a comparative analysis of risk aversion and ambiguity...

We study indefinitely-lived assets in experimental markets and find that the traded prices of these assets are on average about 40% of the risk neutral fundamental value. Neither uncertainty about the value of total dividend payments nor horizon uncertainty about the duration of trade can...

We study indefinitely lived assets in experimental markets and find that the traded prices of these assets are, on average, about 40% of the risk-neutral fundamental value. Neither uncertainty about the value of total dividend payments nor horizon uncertainty about the duration of trade can...