Insider trading and portfolio structure in experimental asset markets with a long-lived asset

Jan Krahnen (), C. Rieck and Erik Theissen

The European Journal of Finance, 1999, vol. 5, issue 1, 29-50

Abstract: Results are reported of a series of nine market experiments with asymmetric information and a fundamental value process that is more 'realistic' than those in previous experiments. Both a call market institution and a continuous double auction mechanism are employed. Considerable pricing inefficiencies that are only partially exploited by insiders were found. The magnitude of insider gains is analysed separately for each experiment. Support is found for the hypothesis that the continuous double auction leads to more efficient outcomes. Finally, evidence of an endowment effect is presented: the initial portfolio structure influences the final asset holdings of experimental subjects.

Keywords: Experimental Asset Markets; Market Efficiency; Market Institutions; Endowment Effect (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (7)

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Working Paper: Insider Trading and Portfolio Structure in Experimental Asset Markets with a Long Lived Asset (1999)
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DOI: 10.1080/135184799337172

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