The Effect of Short–Selling on 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 FEDEA in its series Working Papers with number 2008-26.
Date of creation: Jul 2008
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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.
- Helena Veiga & Marc Vorsatz, 2008. "The effect of short-selling of the aggregation of information in an experimental asset market," Statistics and Econometrics Working Papers ws083808, Universidad Carlos III, Departamento de Estadística y Econometría.
- NEP-ALL-2008-07-14 (All new papers)
- NEP-EXP-2008-07-14 (Experimental Economics)
- NEP-MST-2008-07-14 (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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- Powell, O.R., 2010. "Essays on Experimental Bubble Markets," Open Access publications from Tilburg University urn:nbn:nl:ui:12-4219264, Tilburg University.
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