Lucas in the Laboratory

• 成果类型: Article
• 署名作者: Asparouhova, Elena; Bossaerts, Peter; Roy, Nilanjan; Zame, William
• 署名单位: Utah System of Higher Education; University of Utah; University of Melbourne; City University of Hong Kong; University of California System; University of California Los Angeles
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12392
• 发表日期: 2016
• 页码: 2727-2780
• 关键词: INFINITE-HORIZON ECONOMIES; risk-aversion; incomplete markets; asset prices; temporal behavior; equity premium; equilibrium; consumption; expectations; returns

摘要

We study the Lucas asset pricing model in a controlled setting. Participants trade two long-lived securities in a continuous open-book system. The experimental design emulates the stationary, infinite-horizon setting of the model and incentivizes participants to smooth consumption across periods. Consistent with the model, prices align with consumption betas and comove with aggregate dividends, particularly so when risk premia are higher. Trading significantly increases consumption smoothing compared to autarky. Nevertheless, as in field markets, prices are excessively volatile. The noise corrupts traditional generalized method of moment tests. Choices display substantial heterogeneity, with no subject representative for pricing.