An Experimental Test of the Lucas Asset Pricing Model

• 成果类型: Article
• 署名作者: Crockett, Sean; Duffy, John; Izhakian, Yehuda
• 署名单位: City University of New York (CUNY) System; City University of New York (CUNY) System; Baruch College (CUNY); University of California System; University of California Irvine
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdy035
• 发表日期: 2019
• 页码: 627-667
• 关键词: stochastic consumption; financial-markets; prospect-theory; equity premium; risk-aversion; bubbles; expectations; prices; uncertainty; demand

摘要

We implement a dynamic asset pricing experiment in the spirit of Lucas (1978) with storable assets and non-storable cash. In the first treatment, we impose diminishing marginal returns to cash to incentivize consumption smoothing across periods. We find that subjects use the asset to smooth consumption, although the asset trades at a discount relative to the risk-neutral fundamental price. This under-pricing is a departure from the asset price bubbles observed in the large experimental asset pricing literature originating with Smith et al. (1988) and can be rationalized by considering subjects' risk aversion with respect to uncertain money earnings. In a second treatment, with no induced motivation for trade a la the Smith et al. design, we find that the asset trades at a premium relative to its expected value and that shareholdings are highly concentrated. Elimination of asset price uncertainty in additional experimental treatments serves to reinforce the same observations, and suggests that speculative behaviour explains the departure of prices from fundamental value in the absence of a consumption-smoothing motive for asset trades.