How Do Markets React to Un(expected) Fundamental Shocks? An Experimental Analysis

Wael Bousselmi, Patrick Sentis () and Marc Willinger
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Wael Bousselmi: MRM - Montpellier Research in Management - UPVM - Université Paul-Valéry - Montpellier 3 - UPVD - Université de Perpignan Via Domitia - Groupe Sup de Co Montpellier (GSCM) - Montpellier Business School - UM - Université de Montpellier
Patrick Sentis: MRM - Montpellier Research in Management - UPVM - Université Paul-Valéry - Montpellier 3 - UPVD - Université de Perpignan Via Domitia - Groupe Sup de Co Montpellier (GSCM) - Montpellier Business School - UM - Université de Montpellier

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Abstract: We perform a market experiment to investigate how prices react to the new information. Specifically, westudy experimentally the impact of expected/unexpected fundamental value shocks in an asset market. Subjects were involved in two consecutive experimental markets, market 1 and market 2, with a constant fundamental value as in Noussairet al.(2001).Market 2is similar to the one studied by Weber and Welfens (2007) in which the fundamental value is stochastic.

Keywords: Experimental asset market; under-reaction; over-reaction; price bubble (search for similar items in EconPapers)
Date: 2016-05-23
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Published in 33RD AFII Conference (Association Française de Finance), HEC-Management School of Liège, May 2016, Liège, Belgium

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Working Paper: How Do Markets React to Un(expected) Fundamental Shocks? An Experimental Analysis (2016)
Working Paper: How Do Markets React to Un(expected) Fundamental Shocks? An Experimental Analysis (2016)
Working Paper: How Do Markets React to Un(expected) Fundamental Shocks? An Experimental Analysis (2016)
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