| 1. |
- Huber, J., et al.
(författare)
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Experimental evidence on varying uncertainty and skewness in laboratory double-auction markets
- 2014
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Ingår i: Journal of Economic Behavior & Organization. - : Elsevier BV. - 0167-2681. ; 107, s. 798-809
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Tidskriftsartikel (refereegranskat)abstract
- We investigate the influence of skewness in asset fundamentals on asset prices under different states of uncertainty in double-auction markets. Three different types of assets are considered: risky assets, ambiguous assets and assets where the fundamental value distribution can be learned by repeated sampling of realizations. We show that market prices for skewed assets initially differ from those of non-skewed assets for risky as well as for ambiguous assets. Because of learning, the difference in market prices mostly disappears towards the end of trading. When fundamentals are "learned" by experience sampling, prices of all assets, irrespective of skewness, are very efficient from the beginning. Thus, when probabilities are not described but experienced, subjects are better able to estimate the fundamental value of an asset. (C) 2014 Elsevier B.V. All rights reserved.
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| 2. |
- Kleinlercher, D., et al.
(författare)
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The impact of different incentive schemes on asset prices
- 2014
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Ingår i: European Economic Review. - : Elsevier BV. - 0014-2921. ; 68, s. 137-150
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Tidskriftsartikel (refereegranskat)abstract
- How people are incentivized is one of the main drivers of how they behave. In laboratory asset markets we evaluate the impact of four trader incentive bonus, bonus with cap, linear, and penalty - on asset prices and trader behavior. We find that (i) an asset with identical expected dividend shows price levels which differ by more than 100 percent depending on the incentive scheme subjects face. In particular, prices of markets populated by subjects with bonus incentives show the highest prices, whereas those with penalty-like incentivized subjects exhibit the lowest. (ii) However, subjects act approximately rational as different incentives generate different optimal price levels. (iii) In markets where different subjects have different incentive schemes we find that those with bonus incentives exhibit a riskier investment behavior and prefer the riskier asset, whereas subjects with penalty incentives invest conservatively and mainly hold cash. Since we find no difference in risk attitude of subjects prior to the experiment, differences in investment behavior are induced by the applied incentives. Our results highlight that incentives on financial markets have a huge impact on asset prices and investment behavior. (C) 2014 Elsevier B.V. All rights reserved.
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