An Experimental Study of Bond Market Pricing

• 成果类型: Article
• 署名作者: Weber, Matthias; Duffy, John; Schram, Arthur
• 署名单位: Vilnius University; Bank of Lithuania; Vilnius University; University of St Gallen; University of California System; University of California Irvine; European University Institute; University of Amsterdam
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12695
• 发表日期: 2018
• 页码: 1857-1892
• 关键词: divisible good auctions; asset markets; financial-markets; stock-prices; bubbles; expectations; INFORMATION; feedback; crashes; EFFICIENCY

摘要

An important feature of bond markets is the relationship between the initial public offering (IPO) price and the probability that the issuer defaults. On the one hand, the default probability affects the IPO price; on the other hand, the IPO price affects the default probability. It is a priori unclear whether agents can competitively price such assets. Our paper is the first to explore this question. To do so, we use laboratory experiments. We develop two flexible bond market models that are easily implemented in the laboratory. We find that subjects learn to price the bonds well after only a few repetitions.