| 1. |
- Dijk, Oege, et al.
(författare)
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Rank matters-The impact of social competition on portfolio choice
- 2014
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Ingår i: European Economic Review. - : Elsevier BV. - 0014-2921 .- 1873-572X. ; 66, s. 97-110
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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.
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| 2. |
- Hanke, M., et al.
(författare)
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Football championships and jersey sponsors' stock prices: an empirical investigation
- 2013
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Ingår i: European Journal of Finance. - : Informa UK Limited. - 1351-847X .- 1466-4364. ; 19:3, s. 228-241
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Tidskriftsartikel (refereegranskat)abstract
- Corporate sports sponsorship is an important part of many companies' corporate communication strategy. In this paper, we take the example of major football tournaments to show that sponsorship indeed affects the sponsor's (stock) market value. We find a statistically significant impact of football results (at an individual match level) of the seven most important football nations at European and World Championships on the stock prices of jersey sponsors. In general, the more important a match and the less expected its result, the higher its impact. In addition, we find a form of mere-exposure' effect which is difficult to reconcile with the efficient markets hypothesis.
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| 3. |
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| 4. |
- Holmén, Martin, 1966, et al.
(författare)
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Do Option-like Incentives Induce Overvaluation? Evidence from Experimental Asset Markets
- 2012
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Rapport (övrigt vetenskapligt/konstnärligt)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. We observe (i) that option-like incentives induce significantly higher market prices than linear incentives. We further find that (ii) option-like incentives provoke subjects to behave differently and to take more risk than subjects with linear incentives. We finally show that (iii) trading at inflated prices is rational for subjects with option-like incentives since it increases their expected payout.
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| 5. |
- Holmén, Martin, 1966, et al.
(författare)
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Do option-like incentives induce overvaluation? Evidence from experimental asset markets
- 2014
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Ingår i: Journal of Economic Dynamics and Control. - : Elsevier BV. - 0165-1889. ; 40, s. 179-194
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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.
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| 6. |
- Huber, Jürgen, et al.
(författare)
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Experimental asset markets with endogenous choice of costly asymmetric information
- 2011
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Ingår i: Experimental Economics. - 1386-4157. ; 14:2, s. 223-240
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Tidskriftsartikel (refereegranskat)abstract
- Asymmetric distribution of information, while omnipresent in real markets, is rarely considered in experimental financial markets. We present results from experiments where subjects endogenously choose between five information levels (four of them costly). We find that (i) uninformed traders earn the highest net returns, while average informed traders always perform worst even when information costs are not considered; (ii) over time traders learn to pick the most advantageous information levels (full information or no information); and (iii) market efficiency decreases with higher information costs. These results are mostly in line with the theoretical predictions of Grossman and Stiglitz (Am. Econ. Rev. 70:393–408, 1980) and provide additional insights that studies with only two information levels cannot deliver.
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| 7. |
- 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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| 8. |
- Huber, Jürgen, et al.
(författare)
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The impact of a financial transaction tax on stylized facts of price returns-Evidence from the lab
- 2012
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Ingår i: Journal of Economic Dynamics & Control. - : Elsevier BV. - 0165-1889. ; 36:8, s. 1248-1266
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Tidskriftsartikel (refereegranskat)abstract
- As the introduction of financial transaction taxes is increasingly discussed by political leaders we explore possible consequences such taxes could have on markets. Here we examine how "stylized facts", namely fat tails and volatility clustering, are affected by different tax regimes in laboratory experiments. We find that leptokurtosis of price returns is highest and clustered volatility is weakest in unilaterally taxed markets (where tax havens exist). Instead, tails are slimmest and volatility clustering is strongest in tax havens. When an encompassing financial transaction tax is levied, stylized facts hardly change compared to a scenario with no tax on all markets. (C) 2012 Elsevier B.V. All rights reserved.
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| 9. |
- Huber, Jürgen, et al.
(författare)
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The impact of instructions and procedure on reducing confusion and bubbles in experimental asset markets
- 2012
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Ingår i: Experimental Economics. - : Springer Science and Business Media LLC. - 1386-4157 .- 1573-6938. ; 15:1, s. 89-105
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Tidskriftsartikel (refereegranskat)abstract
- In 1988 Smith, Suchanek, and Williams (henceforth SSW) introduced a very influential model to test the efficiency of experimental asset markets. They and many subsequent studies observe that bubbles are robust to many treatment changes. Instead, bubbles are avoided only when subjects are experienced in the same setting, when the dividend-process is experienced by subjects beforehand, or when the fundamental value-process (FV) is presented in a well understandable context to reduce subjects’ confusion. We extend this line of research and show that even marginal changes in the experimental instructions/procedure can eliminate bubbles in the SSW-model. In particular, we show that mispricing is significantly reduced and overvaluation is eliminated completely (i) when the fundamental value process is displayed in a graph instead of a table or (ii) when subjects are asked about the current fundamental value at the beginning of each period. From a questionnaire conducted at the end of the experiment we infer that these treatment changes help to improve subjects’ understanding of the FV-process. We conclude that all bubble reducing factors have one common feature: they allow subjects to understand the non-intuitive declining FV-process of the SSW-model better and thus reduce subjects’ confusion about the FV-process.
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| 10. |
- Kirchler, Michael, 1977, et al.
(författare)
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Market microstructure matters when imposing a Tobin tax-Evidence from the lab
- 2011
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Ingår i: Journal of Economic Behavior & Organization. - 0167-2681. ; 80:3, s. 586-602
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Tidskriftsartikel (refereegranskat)abstract
- Trading in FX markets is dominated by two microstructures: exchanges with market makers and OTC-markets without market makers. Using laboratory experiments we test whether the impact of a Tobin tax is different in these two market microstructures. We find that (i) in markets without market makers an unilaterally imposed Tobin tax (i.e. a tax haven exists) increases volatility. (ii) In contrast, in markets with market makers we observe a decrease in volatility in unilaterally taxed markets. (iii) An encompassing Tobin tax has no impact on volatility in either setting. Efficiency does not vary significantly across tax regimes.
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| 11. |
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| 12. |
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| 13. |
- 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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| 14. |
- Stoeckl, Thomas, et al.
(författare)
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Bubble measures in experimental asset markets
- 2010
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Ingår i: EXPERIMENTAL ECONOMICS. - 1386-4157. ; 13:3, s. 284-298
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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.
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| 15. |
- Stöckl, T., et al.
(författare)
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Trading behavior and profits in experimental asset markets with asymmetric information
- 2014
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Ingår i: Journal of Behavioral and Experimental Finance. - : Elsevier. - 2214-6350. ; 2, s. 18-30
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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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| 16. |
- Sutter, Matthias, 1968, et al.
(författare)
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Bubbles and information. An experiment
- 2012
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Ingår i: Management Science. - : Institute for Operations Research and the Management Sciences (INFORMS). - 0025-1909 .- 1526-5501. ; 58:2, s. 384-393
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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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| 17. |
- Tinghög, Gustav, 1979-, et al.
(författare)
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Intuition and cooperation reconsidered
- 2013
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Ingår i: Nature. - : Nature Publishing Group. - 0028-0836 .- 1476-4687. ; 498:7452, s. E1-E2
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Tidskriftsartikel (refereegranskat)abstract
- Rand et al.1 reported increased cooperation in social dilemmas after forcing individuals to decide quickly1. Time pressure was used to induce intuitive decisions, and they concluded that intuition promotes cooperation. We test the robustness of this finding in a series of five experiments involving about 2,500 subjects in three countries. None of the experiments confirms the Rand et al.1 finding, indicating that their result was an artefact of excluding the about 50% of subjects who failed to respond on time.
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