Market timing under public and private information

Jean Paul Rabanal (), Aleksei Chernulich, John Horowitz (), Olga Rud () and Manizha Sharifova
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Aleksei Chernulich: NYU Abu Dhabi
Manizha Sharifova: University of the Pacific

No 151, Working Papers from Peruvian Economic Association

Abstract: We design an experiment where subjects must choose between a risky investment, which evolves according to an autoregressive process, and a risk-free investment which has a constant payoff. The treatments vary the information available on the risky investment when players choose the risk-free alternative. We find that in the public information treatment, which captures the information structure of index funds, subjects stay out of the market longer compared to the private information environment, which captures elements of private equity investment. The difference in behavior across treatments can be explained by the demand for information, which appears to overcome risk aversion.

Keywords: Forecasting experiment; investment decisions; market timing; discrete choice (search for similar items in EconPapers)
JEL-codes: C91 D81 D83 D84 G11 G17 (search for similar items in EconPapers)
Date: 2019-08
New Economics Papers: this item is included in nep-exp, nep-ore and nep-upt
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Persistent link: https://EconPapers.repec.org/RePEc:apc:wpaper:151

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