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PublisherCAMBRIDGE UNIV PRESS
CitationCarlé, T., Lahav, Y., Neugebauer, T., & Noussair, C. (2019). Heterogeneity of Beliefs and Trade in Experimental Asset Markets. Journal of Financial and Quantitative Analysis, 54(1), 215-245. doi:10.1017/S0022109018000571
Rights© Michael G. Foster School of Business, University of Washington 2018
Collection InformationThis item from the UA Faculty Publications collection is made available by the University of Arizona with support from the University of Arizona Libraries. If you have questions, please contact us at firstname.lastname@example.org.
AbstractWe investigate the relationship between traders' expectations and market outcomes with experimental asset market data. The data show that those who have high price expectations buy more frequently and submit higher bids, and those who hold low price expectations sell more frequently and submit lower bids. Traders who have more accurate expectations achieve greater earnings. Simulations using only belief data reproduce the pricing patterns observed in the market well, indicating that the heterogeneity of expectations is a key to explaining market activity.
Note12 month embargo; published online: 18 December 2018
VersionFinal published version
SponsorsNational Research Fund of Luxembourg [F2R-368 LSF-PMA-13SYSB]