Coordination of expectations in asset pricing experiments

• 成果类型: Article
• 署名作者: Hommes, C; Sonnemans, J; Tuinstra, J; van de Velden, H
• 署名单位: University of Amsterdam; Vrije Universiteit Amsterdam
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhi003
• 发表日期: 2005
• 页码: 955
• 关键词: rational-expectations; momentum; MARKETS; strategies; prices

摘要

We investigate expectation formation in a controlled experimental environment. Subjects are asked to predict the price in a standard asset pricing model. They do not have knowledge of the underlying market equilibrium equations, but they know all past realized prices and their own predictions. Aggregate demand for the risky asset depends upon the forecasts of the participants. The realized price is then obtained from market equilibrium with feedback from six individual expectations. Realized prices differ significantly from fundamental values and typically exhibit oscillations around, or slow convergence to, this fundamental. In all groups participants coordinate on a common prediction strategy.