Arbeitspapier
Does volatility matter? Expectations of price return and variability in an asset pricing experiment
We present results of an experiment on expectation formation in an asset market. Participants to our experiment must provide forecasts of the stock future return to computerized utility-maximizing investors, and are rewarded according to how well their forecasts perform in the market. In the Baseline treatment participants must forecast the stock return one period ahead; in the Volatility treatment, we also elicit subjective confidence intervals of forecasts, which we take as a measure of perceived volatility. The realized asset price is derived from a Walrasian market equilibrium equation with non-linear feedback from individual forecasts. Our experimental markets exhibit high volatility, fat tails and other properties typical of real financial data. Eliciting confidence intervals for predictions has the effect of reducing price fluctuations and increasing subjects' coordination on a common prediction strategy.
- Sprache
-
Englisch
- Erschienen in
-
Series: LEM Working Paper Series ; No. 2009/02
- Klassifikation
-
Wirtschaft
Design of Experiments: Laboratory, Individual
Design of Experiments: Laboratory, Group Behavior
Expectations; Speculations
Asset Pricing; Trading Volume; Bond Interest Rates
Information and Market Efficiency; Event Studies; Insider Trading
- Thema
-
Experimental economics
Expectations
Coordination
Volatility
Asset pricing
CAPM
Erwartungstheorie
Volatilität
Experimentelle Ökonomik
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Bottazzi, Giulio
Devetag, Giovanna
Pancotto, Francesca
- Ereignis
-
Veröffentlichung
- (wer)
-
Scuola Superiore Sant'Anna, Laboratory of Economics and Management (LEM)
- (wo)
-
Pisa
- (wann)
-
2009
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Bottazzi, Giulio
- Devetag, Giovanna
- Pancotto, Francesca
- Scuola Superiore Sant'Anna, Laboratory of Economics and Management (LEM)
Entstanden
- 2009
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