TY - JOUR
T1 - Heterogeneity of beliefs and trade in experimental asset markets
AU - Carlé, Tim A.
AU - Lahav, Yaron
AU - Neugebauer, Tibor
AU - Noussair, Charles N.
N1 - Funding Information: Carlé Tim A. Lahav Yaron Neugebauer Tibor Noussair Charles N. * 1 * Carlé, [email protected] , University of Luxembourg; Lahav, [email protected] , Ben-Gurion University of the Negev; Neugebauer, [email protected] , University of Luxembourg; and Noussair (corresponding author), [email protected] , University of Arizona. 1 We gratefully acknowledge the comments of participants at the 2015 Experimental Finance Conference, the 2015 International Meeting on Experimental and Behavioral Sciences, the 2015 Thurgau Experimental Economics Meeting on Formation and Elicitation of Beliefs, and the 2017 Economic Science Association Meetings. We thank Iván Barreda-Tarrazona, Andreas Chouliaras, Sascha Füllbrunn, Nikolaos Georgantzis, Harry Grammatikos, Jarrad Harford (the editor), Ernan Haruvy, Cars Hommes, Julien Penasse, Marc-Oliver Rieger, and Jang Schiltz for their comments, which helped to improve the paper. The scientific research presented in this publication was financially supported by the National Research Fund of Luxembourg (F2R-368 LSF-PMA-13SYSB). Part of this paper was written while Neugebauer was at the University Jaume I, Castellon, Spain. 18 12 2018 02 2019 54 1 215 245 Copyright © Michael G. Foster School of Business, University of Washington 2018 2018 Michael G. Foster School of Business, University of Washington We investigate the relationship between traders’ expectations and market outcomes with experimental asset market data. The data show that those who have high price expectations buy more frequently and submit higher bids, and those who hold low price expectations sell more frequently and submit lower bids. Traders who have more accurate expectations achieve greater earnings. Simulations using only belief data reproduce the pricing patterns observed in the market well, indicating that the heterogeneity of expectations is a key to explaining market activity. pdf S0022109018000571a.pdf Publisher Copyright: Copyright © Michael G. Foster School of Business, University of Washington 2018.
PY - 2019/2/1
Y1 - 2019/2/1
N2 - We investigate the relationship between traders' expectations and market outcomes with experimental asset market data. The data show that those who have high price expectations buy more frequently and submit higher bids, and those who hold low price expectations sell more frequently and submit lower bids. Traders who have more accurate expectations achieve greater earnings. Simulations using only belief data reproduce the pricing patterns observed in the market well, indicating that the heterogeneity of expectations is a key to explaining market activity.
AB - We investigate the relationship between traders' expectations and market outcomes with experimental asset market data. The data show that those who have high price expectations buy more frequently and submit higher bids, and those who hold low price expectations sell more frequently and submit lower bids. Traders who have more accurate expectations achieve greater earnings. Simulations using only belief data reproduce the pricing patterns observed in the market well, indicating that the heterogeneity of expectations is a key to explaining market activity.
UR - http://www.scopus.com/inward/record.url?scp=85060532191&partnerID=8YFLogxK
U2 - 10.1017/S0022109018000571
DO - 10.1017/S0022109018000571
M3 - Article
SN - 0022-1090
VL - 54
SP - 215
EP - 245
JO - Journal of Financial and Quantitative Analysis
JF - Journal of Financial and Quantitative Analysis
IS - 1
ER -