Pricing Indefinitely Lived Assets: Experimental Evidence

• 成果类型: Article
• 署名作者: Duffy, John; Jiang, Janet Hua; Xie, Huan
• 署名单位: University of California System; University of California Irvine; Bank of Canada; Concordia University - Canada
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2021.03059
• 发表日期: 2024
• 关键词: Asset pricing; behavioral finance; experiments; indefinite horizon; random termination; Risk and uncertainty; Epstein-Zin recursive preferences; probability weighting

摘要

We study indefinitely lived assets in experimental markets and find that the traded prices of these assets are on average about 40% of the risk -neutral fundamental value. Neither uncertainty about the value of total dividend payments nor horizon uncertainty about the duration of trade can account for this low traded price. An Epstein-Zin recursive preference specification that models the dynamic realization of dividend payments, combined with either probability weighting or subjects' heterogeneous risk attitudes, can rationalize the low traded prices observed in our indefinitely lived asset market.