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Experimental eviden...
Experimental evidence on varying uncertainty and skewness in laboratory double-auction markets
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Huber, J. (author)
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- Kirchler, Michael, 1977 (author)
- Gothenburg University,Göteborgs universitet,Centrum för finans,Centre for Finance
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Stefan, M. (author)
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(creator_code:org_t)
- Elsevier BV, 2014
- 2014
- English.
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In: Journal of Economic Behavior & Organization. - : Elsevier BV. - 0167-2681. ; 107, s. 798-809
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Abstract
Subject headings
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- 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.
Subject headings
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Företagsekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Business Administration (hsv//eng)
Keyword
- Experimental finance
- Skewness
- Ambiguity
- Risk
- Experience sampling
- Market efficiency
- EXPERIMENTAL ASSET MARKETS
- RATIONAL-EXPECTATIONS
- SECURITY MARKETS
- PROSPECT-THEORY
- STOCK RETURNS
- INFORMATION
- AMBIGUITY
- BUBBLES
- PREFERENCE
- PROBABILITY
- Economics
Publication and Content Type
- ref (subject category)
- art (subject category)
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