The effect of short-selling of the aggregation of information in an experimental asset market
AbstractWe show by means of a laboratory experiment that the relaxation of short--selling constraints causes the price of both an overvalued and an undervalued asset to decrease. Hence, the aggregation of information by the market price becomes better in case the asset is overvalued but worse if the asset is undervalued. With respect to payoffs, we find that not only uninformed but also some of the imperfectly informed traders suffer from the weakening of short--selling constraints.
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Bibliographic InfoPaper provided by Universidad Carlos III, Departamento de Estadística y Econometría in its series Statistics and Econometrics Working Papers with number ws083808.
Date of creation: Jul 2008
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Asset market; Rational expectations; Experiment; Short Sales;
Other versions of this item:
- Veiga, Helena & Vorsatz, Marc, . "The effect of short-selling of the aggregation of information in an experimental asset market," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/2745, Universidad Carlos III de Madrid.
- Marc Vorsatz & Helena Veiga, 2008. "The Effect of Short–Selling on the Aggregation of Information in an Experimental Asset Market," Working Papers 2008-26, FEDEA.
- NEP-ALL-2008-07-30 (All new papers)
- NEP-EXP-2008-07-30 (Experimental Economics)
- NEP-MST-2008-07-30 (Market Microstructure)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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