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The CAPM in thin experimental financial markets

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Listed author(s):
  • Bossaerts, Peter
  • Plott, Charles

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Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 26 (2002)
Issue (Month): 7-8 (July)
Pages: 1093-1112

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Handle: RePEc:eee:dyncon:v:26:y:2002:i:7-8:p:1093-1112
Contact details of provider: Web page: http://www.elsevier.com/locate/jedc

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  1. Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
  2. Breeden, Douglas T., 1979. "An intertemporal asset pricing model with stochastic consumption and investment opportunities," Journal of Financial Economics, Elsevier, vol. 7(3), pages 265-296, September.
  3. Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-887, September.
  4. Peter Bossaerts & Charles Plott, 2004. "Basic Principles of Asset Pricing Theory: Evidence from Large-Scale Experimental Financial Markets," Review of Finance, Springer, vol. 8(2), pages 135-169.
  5. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-1445, November.
  6. Plott, Charles R. & Gray, Peter, 1990. "The multiple unit double auction," Journal of Economic Behavior & Organization, Elsevier, vol. 13(2), pages 245-258, March.
  7. Stephen A. Ross, 2005. "Mutual Fund Separation in Financial Theory—The Separating Distributions," World Scientific Book Chapters,in: Theory Of Valuation, chapter 10, pages 309-356 World Scientific Publishing Co. Pte. Ltd..
  8. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, 09.
  9. Levy, Haim, 1997. "Risk and Return: An Experimental Analysis," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 38(1), pages 119-149, February.
  10. Kroll, Yoram & Levy, Haim & Rapoport, Amnon, 1988. "Experimental Tests of the Separation Theorem and the Capital Asset Pricing Model," American Economic Review, American Economic Association, vol. 78(3), pages 500-519, June.
  11. Kenneth L. Judd & Sy-Ming Guu, 2000. "Bifurcation Methods For Asset Market Equilibrium Analysis," Computing in Economics and Finance 2000 131, Society for Computational Economics.
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Cited by:

  1. Linan Diao & Jörg Rieskamp, 2011. "Reinforcement Learning in Repeated Portfolio Decisions," Jena Economic Research Papers 2011-009, Friedrich-Schiller-University Jena.
  2. Halim, Edward & Riyanto, Yohanes Eko & Roy, Nilanjan, 2016. "Price Dynamics and Consumption Smoothing in Experimental Asset Markets," MPRA Paper 71631, University Library of Munich, Germany.
  3. 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.
  4. De Moor, Lieven & Sercu, Piet & Vanpée, Rosanne, 2010. "The plausibility of risk estimates and implied costs to international equity investments," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 623-644, September.
  5. Veiga, Helena & Vorsatz, Marc, 2009. "Price manipulation in an experimental asset market," European Economic Review, Elsevier, vol. 53(3), pages 327-342, April.
  6. Ortmann, Andreas, 2003. "Charles R. Plott's collected papers on the experimental foundations of economic and political science," Journal of Economic Psychology, Elsevier, vol. 24(4), pages 555-575, August.
  7. 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.
  8. 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).

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