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Sökning: WFRF:(Kirchler Michael 1977 )

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  • Föregående 123[4]
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  • Stoeckl, Thomas, et al. (författare)
  • Bubble measures in experimental asset markets
  • 2010
  • Ingår i: EXPERIMENTAL ECONOMICS. - 1386-4157. ; 13:3, s. 284-298
  • Tidskriftsartikel (refereegranskat)abstract
    • We review bubble measures which are commonly used in the experimental asset market literature. It seems sensible to require that measures of mispricing should (i) relate the fundamental value and price, (ii) be monotone in the difference between fundamental value and price, and (iii) be independent of the total number of periods and the absolute level of fundamental value. We show that none of the measures currently used fulfills all these criteria. To facilitate comparability across different experimental settings with different parameterizations we propose two alternative measures which fulfill all evaluation criteria. The measure for mispricing, RAD (relative absolute deviation), is calculated by averaging absolute differences between the (volume-weighted) mean price and the fundamental value across all periods and normalizing it with the absolute value of the average FV of the market. The measure for overvaluation, RD (relative deviation), is calculated analogously, but uses raw difference between (volume-weighted) mean prices and fundamental values. Hence, it provides information on whether the mispricing stems from over- or undervaluation of the asset.
  • Stöckl, T., et al. (författare)
  • Trading behavior and profits in experimental asset markets with asymmetric information
  • 2014
  • Ingår i: Journal of Behavioral and Experimental Finance. - Elsevier. - 2214-6350. ; 2, s. 18-30
  • Tidskriftsartikel (refereegranskat)abstract
    • We study trading behavior and its profitability in experimental asset markets with asymmetrically informed traders. We find that insiders make most of their profits from trades which are initiated by their limit orders. The average informed lose most with market orders and their losses are highest when they pick up insiders' limit orders. Uninformed traders act as liquidity providers. They place the highest number of limit orders and end up with the market return. © 2014 Elsevier B.V.
  • Sutter, Matthias, 1968-, et al. (författare)
  • Bubbles and information. An experiment
  • 2012
  • Ingår i: Management Science. - 0025-1909. ; 58:2, s. 384-393
  • Tidskriftsartikel (refereegranskat)abstract
    • A symmetric distribution of information, although omnipresent in real markets, is rarely considered in experimental economics. We study whether information about imminent future dividends can abate bubbles in experimental asset markets. We find that markets with asymmetrically informed traders have significantly smaller bubbles than markets with symmetrically informed or uninformed traders. Hence, fundamental values are better reflected in market prices—implying higher market efficiency—when some traders know more than others about future dividends. This suggests that bubbles are abated when traders know that a subset of them have an edge (in information) over others.
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  • Resultat 31-33 av 33
  • Föregående 123[4]
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