Underreaction to fundamental information and asymmetry in mispricing between bullish and bearish markets. An experimental study

DOI10.1016/J.JEDC.2008.08.002MaRDI QIDQ2271645zbMATH OpenOpenAlexFDO

Authors Michael Kirchler

Publication date 7 August 2009

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2008.08.002

zbMATH Keywords

asset marketsbubblesexperimentunderreaction

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

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Cites work

• An experimental examination of the house money effect in a multi-period setting
• Continuous Auctions and Insider Trading
• Dividend timing and behavior in laboratory asset markets
• Fat tails and volatility clustering in experimental asset markets
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• Informed Speculation with Imperfect Competition
• Market for Information: Experimental Evidence
• Price bubbles in laboratory asset markets with constant fundamental values
• Rational expectations equilibrium with conditioning on past prices: A mean-variance example
• VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS

Cited in

(9)

• Bubble measures in experimental asset markets
• Number sense, trading decisions and mispricing: an experiment
• Bounded rationality, asymmetric information and mispricing in financial markets
• Asset price response to new information. The effects of conservatism bias and representativeness heuristic
• Individual expectations, limited rationality and aggregate outcomes
• Asymmetric guessing games
• On the ingredients for bubble formation: informed traders and communication
• Do factor models capture both sentiment and limited attention?
• A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation

Describes a project that uses

Uses Software

• Z-Tree

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