Leverage and asset prices: An experiment

Arbeitspapier

This is the first paper to test the asset pricing implication of leverage in a laboratory. We show that as theory predicts, leverage increases asset prices: When an asset can be used as collateral (that is, when the asset can be bought on margin), its price goes up. This increase is significant, and quantitatively close to what theory predicts. However, important deviations from the theory arise in the laboratory. First, the demand for the asset shifts when it can be used as a collateral, even though agents do not exhaust their purchasing power when collateralized borrowing is not allowed. Second, the spread between collateralizable and noncollateralizable assets does not increase during crises, in contrast to what theory predicts.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Staff Report ; No. 548

Klassifikation und Themen

• Klassifikation: Wirtschaft ; General Economics: General ; Design of Experiments: General ; Asset Pricing; Trading Volume; Bond Interest Rates
• Thema: leverage ; asset pricing ; experimental economics

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Cipriani, Marco ; Fostel, Ana ; Houser, Daniel
• Ereignis: Veröffentlichung
• (wer): Federal Reserve Bank of New York
• (wo): New York, NY
• (wann): 2012

Weitere Informationen

• Handle: http://hdl.handle.net/10419/60755
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ