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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 - UM1 - Université Montpellier 1 - UM3 - Université Paul-Valéry - Montpellier 3 - UM2 - Université Montpellier 2 - Sciences et Techniques - 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 - UM1 - Université Montpellier 1 - UM3 - Université Paul-Valéry - Montpellier 3 - UM2 - Université Montpellier 2 - Sciences et Techniques - 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: 2016-11-13
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-02073126
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Published in EF North American Regional Conference, Society for Experimental Finance, Nov 2016, Tucson, United States

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Related works:
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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