Arbeitspapier
"Lucas" in the laboratory
The Lucas asset pricing model is studied here in a controlled setting. Participants could trade two long-lived securities in a continuous open-book system. The experimental design emulated the stationary, infinite-horizon setting of the model and incentivized participants to smooth consumption across periods. Consistent with the model, prices aligned with consumption betas, and they co-moved with aggregate dividends, more strongly so when risk premia were higher. Trading significantly increased consumption smoothing compared to autarky. Nevertheless, as in field markets, prices were excessively volatile. The noise corrupted traditional GMM tests. Choices displayed substantial heterogeneity: no subject was representative for pricing.
- Sprache
-
Englisch
- Erschienen in
-
Series: IHS Economics Series ; No. 314
- Klassifikation
-
Wirtschaft
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Asparouhova, Elena
Bossaerts, Peter
Roy, Nilanjan
Zame, William
- Ereignis
-
Veröffentlichung
- (wer)
-
Institute for Advanced Studies (IHS)
- (wo)
-
Vienna
- (wann)
-
2015
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Asparouhova, Elena
- Bossaerts, Peter
- Roy, Nilanjan
- Zame, William
- Institute for Advanced Studies (IHS)
Entstanden
- 2015
Ähnliche Objekte (12)
Industrial organization in the laboratory
Loss Aversion in the Laboratory
No-trade in the laboratory
Competing currencies in the laboratory
Informational contagion in the laboratory
Endogenous leverage and default in the laboratory
Replicating "Run-off elections in the laboratory"
Multicandidate elections: Aggregate uncertainty in the laboratory
Do Measures of Risk Attitude in the Laboratory Predict Behavior under Risk in and outside of the Laboratory?
Real-time search in the laboratory and the market
Revisiting the Lucas model
The origins of bubbles in laboratory asset markets
Industrial organization in the laboratory
Loss Aversion in the Laboratory
No-trade in the laboratory
Competing currencies in the laboratory
Informational contagion in the laboratory
Endogenous leverage and default in the laboratory
Replicating "Run-off elections in the laboratory"
Multicandidate elections: Aggregate uncertainty in the laboratory
Do Measures of Risk Attitude in the Laboratory Predict Behavior under Risk in and outside of the Laboratory?
Real-time search in the laboratory and the market
Revisiting the Lucas model
The origins of bubbles in laboratory asset markets
Industrial organization in the laboratory
Loss Aversion in the Laboratory
No-trade in the laboratory
Competing currencies in the laboratory
Informational contagion in the laboratory
Endogenous leverage and default in the laboratory
Replicating "Run-off elections in the laboratory"
Multicandidate elections: Aggregate uncertainty in the laboratory
Do Measures of Risk Attitude in the Laboratory Predict Behavior under Risk in and outside of the Laboratory?
Real-time search in the laboratory and the market
Revisiting the Lucas model