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Basic Principles of Asset Pricing Theory: Evidence From Large-Scale Experimental Financial Markets

Citations

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Cited by:

  1. Siddiqi, Hammad, 2014. "Analogy Making and the Structure of Implied Volatility Skew," MPRA Paper 60921, University Library of Munich, Germany.
  2. Siddiqi, Hammad, 2013. "Analogy Making in Complete and incomplete Markets: A New Model for Pricing Contingent Claims," Risk and Sustainable Management Group Working Papers 160608, University of Queensland, School of Economics.
  3. Antoni Bosch-Domènech & José G. Montalvo & Rosemarie Nagel & Albert Satorra, 2002. "One, Two, (Three), Infinity, ...: Newspaper and Lab Beauty-Contest Experiments," American Economic Review, American Economic Association, vol. 92(5), pages 1687-1701, December.
  4. Alex Chinco & Samuel M. Hartzmark & Abigail B. Sussman, 2022. "A New Test of Risk Factor Relevance," Journal of Finance, American Finance Association, vol. 77(4), pages 2183-2238, August.
  5. John Duffy & Jean Paul Rabanal & Olga A. Rud, 2019. "The Impact of ETFs on Asset Markets: Experimental Evidence," Working Papers 154, Peruvian Economic Association.
  6. Alexander L. Brown & Hwagyun Kim, 2014. "Do Individuals Have Preferences Used in Macro-Finance Models? An Experimental Investigation," Management Science, INFORMS, vol. 60(4), pages 939-958, April.
  7. Bossaerts, Peter & Plott, Charles, 2002. "The CAPM in thin experimental financial markets," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1093-1112, July.
  8. H. Henry Cao & Bing Han & David Hirshleifer & Harold H. Zhang, 2011. "Fear of the Unknown: Familiarity and Economic Decisions," Review of Finance, European Finance Association, vol. 15(1), pages 173-206.
  9. Cars Hommes & Anita Kopányi-Peuker & Joep Sonnemans, 2021. "Bubbles, crashes and information contagion in large-group asset market experiments," Experimental Economics, Springer;Economic Science Association, vol. 24(2), pages 414-433, June.
  10. John Griffin, 2015. "Risk Premia and Knightian Uncertainty in an Experimental Market Featuring a Long-Lived Asset," Fordham Economics Discussion Paper Series dp2015-01, Fordham University, Department of Economics.
  11. Drehmann, Mathias & Oechssler, Jorg & Roider, Andreas, 2007. "Herding with and without payoff externalities -- an internet experiment," International Journal of Industrial Organization, Elsevier, vol. 25(2), pages 391-415, April.
  12. Duersch, Peter & Oechssler, Jörg & Schipper, Burkhard C., 2009. "Incentives for subjects in internet experiments," Economics Letters, Elsevier, vol. 105(1), pages 120-122, October.
  13. John Griffin, 2015. "Risk Premia and Knightian Uncertainty in an Experimental Market Featuring a Long-Lived Asset," Fordham Economics Discussion Paper Series dp2015-01er:dp2015-01, Fordham University, Department of Economics.
  14. Siddiqi, Hammad, 2013. "Mental Accounting: A Closed-Form Alternative to the Black Scholes Model," MPRA Paper 50759, University Library of Munich, Germany.
  15. Pouget, Sebastien, 2007. "Financial market design and bounded rationality: An experiment," Journal of Financial Markets, Elsevier, vol. 10(3), pages 287-317, August.
  16. Neugebauer, Tibor & Shachat, Jason & Szymczak, Wiebke, 2023. "A test of the Modigliani-Miller theorem, dividend policy and algorithmic arbitrage in experimental asset markets," Journal of Banking & Finance, Elsevier, vol. 154(C).
  17. Marco Casari & John C. Ham & John H. Kagel, 2007. "Selection Bias, Demographic Effects, and Ability Effects in Common Value Auction Experiments," American Economic Review, American Economic Association, vol. 97(4), pages 1278-1304, September.
  18. Bossaerts, Peter & Fine, Leslie & Ledyard, John, 2002. "Inducing liquidity in thin financial markets through combined-value trading mechanisms," European Economic Review, Elsevier, vol. 46(9), pages 1671-1695, October.
  19. Biais, Bruno & Mariotti, Thomas & Moinas, Sophie & Pouget, Sébastien, 2017. "Asset pricing and risk sharing in a complete market: An experimental investigation," TSE Working Papers 17-798, Toulouse School of Economics (TSE).
  20. Kocher, Martin G. & Martinsson, Peter & Schindler, David, 2017. "Overpricing and stake size: On the robustness of results from experimental asset markets," Economics Letters, Elsevier, vol. 154(C), pages 101-104.
  21. Duffy, John & Friedman, Dan & Rabanal, Jean Paul & Rud, Olga, 2022. "The impact of ETF index inclusion on stock prices," UiS Working Papers in Economics and Finance 2022/2, University of Stavanger.
  22. repec:nbr:nberch:12923 is not listed on IDEAS
  23. Peter Bossaerts & Charles Plott & William R. Zame, 2005. "Prices and Portfolio Choices in Financial Markets: Theory and Experiments," UCLA Economics Working Papers 840, UCLA Department of Economics.
  24. Asparouhova, Elena & Bossaerts, Peter, 2009. "Modelling price pressure in financial markets," Journal of Economic Behavior & Organization, Elsevier, vol. 72(1), pages 119-130, October.
  25. Michael Ungeheuer & Martin Weber, 2021. "The Perception of Dependence, Investment Decisions, and Stock Prices," Journal of Finance, American Finance Association, vol. 76(2), pages 797-844, April.
  26. Stephen J. Schmidt, 2003. "Active and Cooperative Learning Using Web-Based Simulations," The Journal of Economic Education, Taylor & Francis Journals, vol. 34(2), pages 151-167, January.
  27. Huber, Christoph & Kirchler, Michael, 2023. "Experiments in finance: A survey of historical trends," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).
  28. Caginalp, Carey & Caginalp, Gunduz, 2020. "Derivation of non-classical stochastic price dynamics equations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 560(C).
  29. Siddiqi, Hammad, 2014. "Analogy Making and the Structure of Implied Volatility Skew," Risk and Sustainable Management Group Working Papers 187407, University of Queensland, School of Economics.
  30. Elena Asparouhova & Peter Bossaerts & Jernej Čopič & Brad Cornell & Jakša Cvitanić & Debrah Meloso, 2015. "Competition in Portfolio Management: Theory and Experiment," Management Science, INFORMS, vol. 61(8), pages 1868-1888, August.
  31. Carey Caginalp & Gunduz Caginalp, 2019. "Derivation of non-classical stochastic price dynamics equations," Papers 1908.01103, arXiv.org, revised Aug 2020.
  32. Jasmina Arifovic & Cars Hommes & Anita Kopányi-Peuker & Isabelle Salle, 2023. "Ten Isn't Large! Group Size and Coordination in a Large-Scale Experiment," American Economic Journal: Microeconomics, American Economic Association, vol. 15(1), pages 580-617, February.
  33. Dirk-Jan Janssen & Sascha Füllbrunn & Utz Weitzel, 2019. "Individual speculative behavior and overpricing in experimental asset markets," Experimental Economics, Springer;Economic Science Association, vol. 22(3), pages 653-675, September.
  34. Charles N. Noussair & Steven Tucker, 2013. "Experimental Research On Asset Pricing," Journal of Economic Surveys, Wiley Blackwell, vol. 27(3), pages 554-569, July.
  35. Siddiqi, Hammad, 2011. "Thinking by analogy, systematic risk, and option prices," MPRA Paper 31316, University Library of Munich, Germany.
  36. Peeters, R.J.A.P. & Wolk, K.L., 2014. "Eliciting and aggregating individual expectations: An experimental study," Research Memorandum 029, Maastricht University, Graduate School of Business and Economics (GSBE).
  37. Bruno Biais & Christophe Bisière & Sébastien Pouget, 2014. "Equilibrium Discovery and Preopening Mechanisms in an Experimental Market," Management Science, INFORMS, vol. 60(3), pages 753-769, March.
  38. Cary Frydman & Nicholas Barberis & Colin Camerer & Peter Bossaerts & Antonio Rangel, 2012. "Using Neural Data to Test a Theory of Investor Behavior: An Application to Realization Utility," NBER Working Papers 18562, National Bureau of Economic Research, Inc.
  39. Siddiqi, Hammad, 2013. "Analogy Making, Option Prices, and Implied Volatility," MPRA Paper 48862, University Library of Munich, Germany.
  40. Peter Bossaerts & Paolo Ghirardato & Serena Guarnaschelli & William R. Zame, 2010. "Ambiguity in Asset Markets: Theory and Experiment," Review of Financial Studies, Society for Financial Studies, vol. 23(4), pages 1325-1359, April.
  41. Duffy, John & Rabanal, Jean Paul & Rud, Olga A., 2021. "The impact of ETFs in secondary asset markets: Experimental evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 188(C), pages 674-696.
  42. Bao, Te & Hennequin, Myrna & Hommes, Cars & Massaro, Domenico, 2020. "Coordination on bubbles in large-group asset pricing experiments," Journal of Economic Dynamics and Control, Elsevier, vol. 110(C).
  43. Linan Diao & Jörg Rieskamp, 2011. "Reinforcement Learning in Repeated Portfolio Decisions," Jena Economics Research Papers 2011-009, Friedrich-Schiller-University Jena.
  44. Te Bao & Edward Halim & Charles N. Noussair & Yohanes E. Riyanto, 2021. "Managerial incentives and stock price dynamics: an experimental approach," Experimental Economics, Springer;Economic Science Association, vol. 24(2), pages 617-648, June.
  45. Amos Nadler & Peiran Jiao & Cameron J. Johnson & Veronika Alexander & Paul J. Zak, 2019. "The Bull of Wall Street: Experimental Analysis of Testosterone and Asset Trading," Management Science, INFORMS, vol. 64(9), pages 4032-4051, September.
  46. Alexander M. Chinco & Samuel M. Hartzmark & Abigail B. Sussman, 2020. "Necessary Evidence For A Risk Factor’s Relevance," NBER Working Papers 27227, National Bureau of Economic Research, Inc.
  47. Siddiqi, Hammad, 2013. "Analogy Making In Complete and Incomplete Markets: A New Model for Pricing Contingent Claims," Risk and Sustainable Management Group Working Papers 156934, University of Queensland, School of Economics.
  48. Griffin, John, 2017. "Risk premia and ambiguity in an experimental market featuring a long-lived asset," Journal of Behavioral and Experimental Finance, Elsevier, vol. 15(C), pages 21-27.
  49. Catherine Eckel & Rick Wilson, 2006. "Internet cautions: Experimental games with internet partners," Experimental Economics, Springer;Economic Science Association, vol. 9(1), pages 53-66, April.
  50. Hatfield, John William & Plott, Charles R. & Tanaka, Tomomi, 2016. "Price controls, non-price quality competition, and the nonexistence of competitive equilibrium," Games and Economic Behavior, Elsevier, vol. 99(C), pages 134-163.
  51. Lucy F. Ackert & Bryan K. Church & Narayanan Jayaraman, 2002. "Circuit breakers with uncertainty about the presence of informed agents: I know what you know . . . I think," FRB Atlanta Working Paper 2002-25, Federal Reserve Bank of Atlanta.
  52. Negrea, Bogdan & Toma, Mihai, 2017. "Dynamic CAPM under ambiguity—An experimental approach," Journal of Behavioral and Experimental Finance, Elsevier, vol. 16(C), pages 22-32.
  53. Olschewski, Sebastian & Diao, Linan & Rieskamp, Jörg, 2021. "Reinforcement learning about asset variability and correlation in repeated portfolio decisions," Journal of Behavioral and Experimental Finance, Elsevier, vol. 32(C).
  54. Asparouhova, Elena & Bossaerts, Peter & Plott, Charles, 2003. "Excess demand and equilibration in multi-security financial markets: the empirical evidence," Journal of Financial Markets, Elsevier, vol. 6(1), pages 1-21, January.
  55. Peter Bossaerts & William R. Zame, 2006. "Risk Aversion in Laboratory Asset Markets," Levine's Bibliography 122247000000001317, UCLA Department of Economics.
  56. Jack Ochs & Li Qi, 2006. "Information Use and Transference," Working Paper 236, Department of Economics, University of Pittsburgh, revised Jan 2006.
  57. Siddiqi, Hammad, 2010. "Coarse thinking, implied volatility, and the valuation of call and put options," MPRA Paper 23261, University Library of Munich, Germany.
  58. Sean Crockett & Daniel Friedman & Ryan Oprea, 2021. "Naturally Occurring Preferences And General Equilibrium: A Laboratory Study," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 62(2), pages 831-859, May.
  59. Crockett, Sean & Friedman, Daniel & Oprea, Ryan, 2017. "Aggregation and convergence in experimental general equilibrium economies constructed from naturally occurring preferences," Discussion Papers, Research Professorship Market Design: Theory and Pragmatics SP II 2017-501, WZB Berlin Social Science Center.
  60. Noussair, Charles N. & Popescu, Andreea Victoria, 2021. "Comovement and return predictability in asset markets: An experiment with two Lucas trees," Journal of Economic Behavior & Organization, Elsevier, vol. 185(C), pages 671-687.
  61. Siddiqi, Hammad, 2014. "Analogy Making and the Puzzles of Index Option Returns and Implied Volatility Skew: Theory and Empirical Evidence," Risk and Sustainable Management Group Working Papers 177302, University of Queensland, School of Economics.
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