Risk attitude, beliefs updating and the information content of trades: an experiment

Stefano Lovo, Christophe Bisière and Jean-Paul Décamps

Working Papers from HAL

Abstract: We conduct a series of experiments that simulate trading in financial markets and which allows us to identify the different effects that subjects¿ risk attitudes and belief updating rules have on the information content of the order flow. We find that there are very few risk-neutral subjects and that subjects displaying risk aversion or risk-loving tend to ignore private information when their prior beliefs on the asset fundamentals are strong. Consequently, private information struggles penetra

Keywords: risk attitude; financial market; information; belief; risk-neutral information (search for similar items in EconPapers)
Date: 2009-05-19
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Published in 2009

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Related works:
Journal Article: Risk Attitude, Beliefs Updating, and the Information Content of Trades: An Experiment (2015)
Working Paper: Risk Attitude, Beliefs Updating, and the Information Content of Trades: An Experiment (2015)
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Working Paper: Risk attitude, beliefs updating and the information content of trades: an experiment (2009)
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