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Sökning: WFRF:(Kirchler Michael 1977 ) > (2014)

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  • Dijk, Oege, et al. (författare)
  • Rank matters-The impact of social competition on portfolio choice
  • 2014
  • Ingår i: European Economic Review. - 0014-2921 .- 1873-572X. ; 66, s. 97-110
  • Tidskriftsartikel (refereegranskat)abstract
    • Tournament incentives' schemes have been criticized for inducing excessive risk-taking among financial market participants. In this paper we investigate how relative performance-based incentive schemes and status concerns for higher rank influence portfolio choice in laboratory experiments. We find that both underperformers and over-performers adapt their portfolios to their current relative performance, preferring either positively or negatively skewed assets, respectively. Most importantly, these results hold both when relative performance is instrumental for higher payoffs in a tournament and when it is only intrinsically motivating and not payout-relevant. We find no effects when no relative performance information is given. © 2013 Elsevier B.V.
  • Holmén, Martin, 1966-, et al. (författare)
  • Do option-like incentives induce overvaluation? Evidence from experimental asset markets
  • 2014
  • Ingår i: Journal of Economic Dynamics and Control. - 0165-1889. ; 40, s. 179-194
  • Tidskriftsartikel (refereegranskat)abstract
    • One potential reason for bubbles evolving prior to the financial crisis was excessive risk taking stemming from option-like incentive schemes in financial institutions. By running laboratory asset markets, we investigate the impact of option-like incentives on price formation and trading behavior. The main results are that (i) we observe significantly higher market prices with option-like incentives than linear incentives. (ii) We further find that option-like incentives provoke subjects to behave differently and to take more risk than subjects with linear incentives. (iii) We finally show that trading at inflated prices is rational for subjects with option-like incentives since it increases their expected payout. © 2014 Elsevier B.V.
  • Huber, J., et al. (författare)
  • Experimental evidence on varying uncertainty and skewness in laboratory double-auction markets
  • 2014
  • Ingår i: Journal of Economic Behavior & Organization. - 0167-2681. ; 107, s. 798-809
  • 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.
  • Kleinlercher, D., et al. (författare)
  • The impact of different incentive schemes on asset prices
  • 2014
  • Ingår i: European Economic Review. - 0014-2921. ; 68, s. 137-150
  • 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.
  • 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.
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Dijk, Oege, (1)
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