Expectations and Bubbles in Asset Pricing Experiments

Journal article | Zeitschriftenartikel

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.

Object Details

• Extent: Seite(n): 116-133
• Language: Englisch
• Notes: Status: Postprint; begutachtet (peer reviewed)

References and Relationships

• Bibliographic citation: Journal of Economic Behavior & Organization, 67(1)

Classification and Topics

• Subject: Wirtschaft ; Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik ; Volkswirtschaftstheorie

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Hommes, Cars ; Sonnemans, Joep ; Tuinstra, Jan ; Velden, Henk van de
• Event: Veröffentlichung
• (where): Vereinigtes Königreich
• (when): 2008

Further information

• DOI: https://doi.org/10.1016/j.jebo.2007.06.006
• URN: urn:nbn:de:0168-ssoar-253825
• Rights: GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln
• Last update: 21.06.2024, 4:26 PM CEST