An Experimental Study of Bond Market Pricing
Matthias Weber,
John Duffy and
Arthur Schram
No 16-059/I, Tinbergen Institute Discussion Papers from Tinbergen Institute
Abstract:
An important feature of bond markets is the relationship between initial public offering prices and the probability of the issuer defaulting. First, this probability affects the bond prices. Second, IPO prices determine the default probability. Though market equilibrium has been shown to predict well for other assets, it is a priori unclear whether markets will yield competitive prices when such interaction with the default probability occurs. We develop a flexible bond market model that is easily implemented in the laboratory and examine how subjects price bonds. We find that subjects learn to price bonds well after only a few repetitions.
Keywords: bond markets; experimental finance; experimental markets; asset pricing; learning (search for similar items in EconPapers)
JEL-codes: C90 C92 D47 G12 (search for similar items in EconPapers)
Date: 2016-08-09
New Economics Papers: this item is included in nep-exp and nep-fmk
References: View references in EconPapers View complete reference list from CitEc
Citations:
Downloads: (external link)
https://papers.tinbergen.nl/16059.pdf (application/pdf)
Related works:
Journal Article: An Experimental Study of Bond Market Pricing (2018) 
Working Paper: An Experimental Study of Bond Market Pricing (2016) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:tin:wpaper:20160059
Access Statistics for this paper
More papers in Tinbergen Institute Discussion Papers from Tinbergen Institute Contact information at EDIRC.
Bibliographic data for series maintained by Tinbergen Office +31 (0)10-4088900 ().