EconPapers    
Economics at your fingertips  
 

Experimental Asset Markets with An Indefinite Horizon

John Duffy (), Janet Hua Jiang and Huan Xie

CIRANO Working Papers from CIRANO

Abstract: We study the trade of indefinitely-lived assets in experimental markets. The traded prices of these assets are on average more than 40% below the risk-neutral fundamental value under the expected utility assumption. We examine the effects of three interrelated factors for the traded price, payoff uncertainty about the asset’s dividend payments, horizon uncertainty about the duration of trade, and the expected utility assumption. Our results suggest that horizon uncertainty does not significantly affect the traded price. Incorporating risk aversion into non-expected utility models with recursive preferences and probability weighting can rationalize the low prices observed in our indefinite-horizon asset markets.

Keywords: Asset Pricing; Behavioral Finance; Experiments; Indefinite Horizon; Random Termination; Risk and Uncertainty; Expected Utility; Epstein-Zin Recursive Preferences; Probability Weighting (search for similar items in EconPapers)
JEL-codes: C91 C92 D81 G12 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-exp and nep-upt
Date: 2019-07-29
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://cirano.qc.ca/files/publications/2019s-15.pdf

Related works:
Working Paper: Experimental Asset Markets with An Indefinite Horizon Downloads
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:cir:cirwor:2019s-15

Access Statistics for this paper

More papers in CIRANO Working Papers from CIRANO Contact information at EDIRC.
Bibliographic data for series maintained by Webmaster ().

 
Page updated 2019-11-07
Handle: RePEc:cir:cirwor:2019s-15