| 1. |
- Fang, Dawei, 1983, et al.
(author)
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How tournament incentives affect asset markets: A comparison between winner-take-all tournaments and elimination contests
- 2017
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In: Journal of Economic Dynamics and Control. - : Elsevier BV. - 0165-1889. ; 75, s. 1-27
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Journal article (peer-reviewed)abstract
- We investigate the impact of investment managers׳ tournament incentives on investment strategies and market efficiency, distinguishing between winner-take-all tournaments (WTA), where a minority wins, and elimination contests (EC), where a majority wins. Theoretically, we show that investment managers play heterogeneous strategies in WTA and homogeneous strategies in EC, and markets are more prone to mispricing in WTA than in EC. Experimentally, we find that investment managers play more heterogeneous strategies in WTA than in EC, but this does not trigger significant differences in prices. Moreover, prices in WTA and EC do not differ significantly from markets composed of linearly incentivized subjects.
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| 2. |
- Huber, J., et al.
(author)
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Market versus Residence Principle: Experimental Evidence on the Effects of a Financial Transaction Tax
- 2017
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In: Economic Journal. - : Oxford University Press (OUP). - 0013-0133 .- 1468-0297. ; 127:605
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Journal article (peer-reviewed)abstract
- The effects of a financial transaction tax (FTT) are scientifically disputed, as seemingly small details of its implementation may matter a lot. In this article, we provide experimental evidence on the different effects of an FTT, depending on whether it is implemented as a tax on markets, on residents, or a combination of both. We find that a tax on markets has negative effects on volatility and trading volume, whereas a tax on residents shows none of these undesired effects. Additionally, we observe that individual risk attitude is not related to traders’ reaction to the different forms of an FTT. © 2017 The Authors. The Economic Journal published by John Wiley & Sons Ltd on behalf of Royal Economic Society.
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| 3. |
- Kirchler, Michael, 1977, et al.
(author)
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The effect of fast and slow decisions on risk taking
- 2017
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In: Journal of Risk and Uncertainty. - : Springer Science and Business Media LLC. - 0895-5646 .- 1573-0476. ; 54:1, s. 37-59
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Journal article (peer-reviewed)abstract
- We experimentally compare fast and slow decisions in a series of experiments on financial risk taking in three countries involving over 1700 subjects. To manipulate fast and slow decisions, subjects were randomly allocated to responding within 7 seconds (time pressure) or waiting for at least 7 or 20 seconds (time delay) before responding. To control for different effects of time pressure and time delay on measurement noise, we estimate separate parameters for noise and risk preferences within a random utility framework. We find that time pressure increases risk aversion for gains and risk taking for losses compared to time delay, implying that time pressure increases the reflection effect of Prospect Theory. The results for gains are weaker and less robust than the results for losses. We find no significant difference between time pressure and time delay for loss aversion (tested in only one of the experiments). Time delay also leads to less measurement noise than time pressure and unconstrained decisions, and appears to be an effective way of decreasing noise in experiments.
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| 4. |
- Razen, M., et al.
(author)
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Cash inflow and trading horizon in asset markets
- 2017
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In: European Economic Review. - : Elsevier BV. - 0014-2921. ; 92, s. 359-384
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Journal article (peer-reviewed)abstract
- It is conjectured that one of the major ingredients of historic financial bubbles was the inflow of money in various forms. We run 36 laboratory asset markets to investigate the joint effect of cash inflow and trading horizon on price efficiency. We show that markets with cash inflow and long trading horizon exhibit bubbles and crashes. We also observe that markets with extended trading horizon but without cash inflow and markets with shorter trading horizon do not trigger bubbles. Finally, we report that beliefs about prices and, importantly, about (constant) fundamentals follow bubble patterns as well.
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