Experience Does Not Eliminate Bubbles: Experimental Evidence

• 成果类型: Article
• 署名作者: Kopanyi-Peuker, Anita; Weber, Matthias
• 署名单位: CPB Netherlands Bureau for Economic Policy; University of Amsterdam; University of Amsterdam; University of St Gallen
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhaa121
• 发表日期: 2021
• 页码: 4450
• 关键词: learning-to-forecast; asset markets; rational-expectations; financial-markets; guessing games; PRICE BUBBLES; crashes; INFORMATION; ambiguity; aversion

摘要

We study the role of investor experience in the formation of asset price bubbles. We conduct a call market experiment in which participants trade assets with each other and a learning-to-forecast experiment in which participants only forecast future prices (while trade based on these forecasts is computerized). Each experiment comprises three treatments varying the information that participants receive about the fundamental value. Each experimental market is repeated three times. Throughout, we observe sizable bubbles that persist despite participant experience. Our findings in the call market experiment contrast with those in the literature. Our findings in the learning-to-forecast experiment are novel.