The robustness of mispricing results in experimental asset markets
Owen Powell () and
Natalia Shestakova ()
Additional contact information
Natalia Shestakova: http://www.univie.ac.at/Wirtschaftswissenschaften
Vienna Economics Papers from University of Vienna, Department of Economics
Many experiments have been conducted on market mispricing, however there is a distinct lack of guidance over how mispricing should be measured. This raises concerns about the sensitivity of mispricing results to variations in the measurement procedure. In this paper, we investigate the robustness of previous results with respect to four variations: the choice of interval length, the use of the bid-ask spread as a price proxy, the choice of aggregation function, and controlling for observable market characteristics. While a majority of previous results are unaffected, roughly 30% do change significance.
JEL-codes: C43 C90 D49 D84 G14 (search for similar items in EconPapers)
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 Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:vie:viennp:1702
Access Statistics for this paper
More papers in Vienna Economics Papers from University of Vienna, Department of Economics
Series data maintained by Paper Administrator ().