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    Heterogeneity of Beliefs and Trade in Experimental Asset Markets

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    Author
    Carlé, Tim A.
    Lahav, Yaron
    Neugebauer, Tibor
    Noussair, Charles N.
    Affiliation
    Univ Arizona
    Issue Date
    2019-02
    
    Metadata
    Show full item record
    Publisher
    CAMBRIDGE UNIV PRESS
    Citation
    Carlé, 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
    Journal
    JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS
    Rights
    © Michael G. Foster School of Business, University of Washington 2018
    Collection Information
    This 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 repository@u.library.arizona.edu.
    Abstract
    We 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.
    Note
    12 month embargo; published online: 18 December 2018
    ISSN
    0022-1090
    1756-6916
    DOI
    10.1017/S0022109018000571
    Version
    Final published version
    Sponsors
    National Research Fund of Luxembourg [F2R-368 LSF-PMA-13SYSB]
    Additional Links
    https://www.cambridge.org/core/product/identifier/S0022109018000571/type/journal_article
    ae974a485f413a2113503eed53cd6c53
    10.1017/S0022109018000571
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