Showing 1 - 10 of 26
Using data generated from laboratory experiments, we test and compare the empirical accuracy of two models that focus on judgment errors associated with processing information from random sequences. We test for regime-shifting beliefs of the type theorized in Barberis, Shleifer, and Vishny...
Persistent link: https://www.econbiz.de/10013158995
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We develop a new theory of delegated investment whereby managers compete in terms of composition of the portfolios they promise to acquire. We study the resulting asset pricing in the inter-manager market. We incentivize investors so that we obtain sharp predictions. Managers are paid a fixed...
Persistent link: https://www.econbiz.de/10013116268
This study tests the rationality of the decisions to purchase information, the informational efficiency of prices, and the optimality of the resulting allocations with a series of laboratory experiments in decentralized markets. The theory predicts that markets with dispersed information and...
Persistent link: https://www.econbiz.de/10012900529
Temporary deviations of trade prices from fundamental values impart bias to estimates of mean returns to individual securities, to differences in mean returns across portfolios, and to parameters estimated in return regressions. We consider a number of corrections, and show them to be effective...
Persistent link: https://www.econbiz.de/10013133027
Experiments constitute an indispensable tool to validate the building blocks of the theories which economists use not only to interpret events in the real world but also to inform regulation and economic policy. This is especially true in the context of multiple, interacting markets, which is...
Persistent link: https://www.econbiz.de/10013309163
Participants in an experimental market choose to enter private value trades manually and/or algorithmically. Each algorithm or trading robot makes or takes liquidity based on the trader's current marginal valuation modulo a spread chosen by the trader. We evaluate experimental outcomes against...
Persistent link: https://www.econbiz.de/10014255258
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This paper provides evidence of price feedback effects in a supply-chain setting using the speed with which information diffuses from customer to supplier stock prices to identify private supply-chain information in prices. We find that the speed of supply-chain information diffusion positively...
Persistent link: https://www.econbiz.de/10012865555