BUBBLES, CRASHES, AND ENDOGENOUS UNCERTAINTY IN LINKED ASSET AND PRODUCT MARKETS
In laboratory asset markets, subjects trade shares of a firm whose profits in a linked product market determine dividends. Treatments vary whether dividend information is revealed once per period or in real time and whether the firm is controlled by a profit-maximizing robot or human subject. The la...
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| Published in | International economic review (Philadelphia) Vol. 57; no. 1; pp. 155 - 176 |
|---|---|
| Main Authors | , |
| Format | Journal Article |
| Language | English |
| Published |
Philadelphia
Blackwell Publishing Ltd
01.02.2016
Wiley Periodicals, Inc |
| Subjects | |
| Online Access | Get full text |
| ISSN | 0020-6598 1468-2354 |
| DOI | 10.1111/iere.12151 |
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| Abstract | In laboratory asset markets, subjects trade shares of a firm whose profits in a linked product market determine dividends. Treatments vary whether dividend information is revealed once per period or in real time and whether the firm is controlled by a profit-maximizing robot or human subject. The latter variation induces uncertainty about firm behavior, bridging the gap between laboratory and field markets. Our data replicate well-known features of laboratory asset markets (e.g., bubbles), suggesting these are robust to a market-based dividend process. Compared to a sample of previous experiments, both real-time information revelation and endogenous uncertainty impede the bubble-mitigating impact of experience. |
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| AbstractList | In laboratory asset markets, subjects trade shares of a firm whose profits in a linked product market determine dividends. Treatments vary whether dividend information is revealed once per period or in real time and whether the firm is controlled by a profit-maximizing robot or human subject. The latter variation induces uncertainty about firm behavior, bridging the gap between laboratory and field markets. Our data replicate well-known features of laboratory asset markets (e.g., bubbles), suggesting these are robust to a market-based dividend process. Compared to a sample of previous experiments, both real-time information revelation and endogenous uncertainty impede the bubble-mitigating impact of experience. [web URL: http://onlinelibrary.wiley.com/doi/10.1111/iere.12151/abstract] In laboratory asset markets, subjects trade shares of a firm whose profits in a linked product market determine dividends. Treatments vary whether dividend information is revealed once per period or in real time and whether the firm is controlled by a profit-maximizing robot or human subject. The latter variation induces uncertainty about firm behavior, bridging the gap between laboratory and field markets. Our data replicate well-known features of laboratory asset markets (e.g., bubbles), suggesting these are robust to a market-based dividend process. Compared to a sample of previous experiments, both real-time information revelation and endogenous uncertainty impede the bubble-mitigating impact of experience. |
| Author | Jaworski, Taylor Kimbrough, Erik O. |
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| Cites_doi | 10.1515/9780691233376 10.1257/aer.101.2.927 10.1016/S0014-2921(02)00239-8 10.1111/1475-679X.12020 10.1073/pnas.95.2.756 10.1006/game.1995.1027 10.1007/PL00020943 10.1515/9780691213255-008 10.1086/296675 10.1093/ei/cbj014 10.1111/j.1468-0106.2006.00308.x 10.1257/000282805775014362 10.2307/1911361 10.3386/w0945 10.1162/rest.90.3.414 10.1016/j.jebo.2005.05.012 10.1016/0165-1765(93)90194-H 10.1111/j.1540-6261.1988.tb04596.x 10.1093/ei/cbg002 10.1111/j.1468-0262.2004.00544.x 10.1257/aer.97.5.1901 10.1111/j.1540-6261.1991.tb03752.x 10.1016/S0167-7187(99)00039-9 10.1257/aer.98.3.924 10.1111/j.1540-6261.1987.tb04585.x 10.1257/aer.96.5.1720 10.1111/1468-0262.00222 10.2307/2325486 10.1257/aer.102.2.865 10.1007/s10683-010-9241-9 10.1006/game.1993.1026 10.1073/pnas.1115742109 10.1111/j.1540-6261.2006.00868.x 10.1007/s10683-011-9290-8 10.1287/mnsc.1110.1365 |
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| Copyright | 2016 Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association (2016) by the Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association Copyright Blackwell Publishing Ltd. Feb 2016 |
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| Notes | ark:/67375/WNG-DHXKM8H1-6 istex:A4633965F31731803BD45E014BA4048A3125F12F Additional Appendices Social Sciences and Humanities Research Council of Canada International Foundation for Research in Experimental Economics Small Grants Program ArticleID:IERE12151 ekimbrough@gmail.com An earlier version of this article was circulated under the title “An Experimental Examination of Asset Pricing under Market Uncertainty.” The authors thank the International Foundation for Research in Experimental Economics Small Grants Program for providing funding for a preliminary version of this project and providing useful comments on our ideas, and we thank the Economic Science Institute at Chapman University for the use of their laboratory during those early stages. We also thank the Social Sciences and Humanities Research Council of Canada for funding. We received numerous helpful comments from three anonymous referees and the editor, Hanming Fang, as well as Cary Deck, Martin Dufwenberg, Shengle Lin, Ryan Oprea, Dave Porter, Andrew Smyth, and participants in seminars at the Southern Economic Association Annual Conference and the Luxembourg School of Finance. We acknowledge the able assistance of Kyle Bjordahl and Andriy Baranskyy for programming (and reprogramming) our software, and we thank Yiqing (Phyllis) Zhou for excellent research assistance. All remaining errors are our own. Please address correspondence to: Erik O. Kimbrough, Department of Economics, Simon Fraser University, 8888 University Drive ‐ WMC 4663, Burnaby, BC V5A 1S6, Canada. E‐mail SourceType-Scholarly Journals-1 ObjectType-Feature-1 content type line 14 ObjectType-Article-1 ObjectType-Feature-2 content type line 23 |
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| References_xml | – reference: Van Boening, M. V., A. W. Williams, and S. LaMaster, "Price Bubbles and Crashes in Experimental Call Markets," Economics Letters 41 (1993), 179-85. – reference: Huber, J., and M. Kirchler, "The Impact of Instructions and Procedure on Reducing Confusion and Bubbles in Experimental Asset Markets," Experimental Economics 15 (2012), 89-105. – reference: Smith, V. L., G. L. Suchanek, and A. W. Williams, "Bubbles, Crashes, and Endogenous Expectations in Experimental Spot Asset Markets," Econometrica (1988), 1119-51. – reference: Van Huyck, J. B., R. C. Battalio, and R. O. Beil, "Asset Markets as an Equilibrium Selection Mechanism: Coordination Failure, Game Form Auctions, and Tacit Communication," Games and Economic Behavior 5 (1993), 485-504. – reference: Dufwenberg, M., T. Lindqvist, and E. Moore, "Bubbles and Experience: An Experiment," American Economic Review 95 (2005), 1731-37. – reference: Sutter, M., J. Huber, and M. Kirchler, "Bubbles and Information: An Experiment," Management Science 58 (2012), 384-93. – reference: Shiller, R. J., "Do Stock Prices Move Too Much to Be Justified by Subsequent Changes in Dividends?" American Economic Review 71 (1981), 421-36. – reference: Copeland, T. E., and D. Friedman, "Partial Revelation of Information in Experimental Asset Markets," Journal of Finance 46 (1991), 265-95. – reference: Haruvy, E., Y. Lahav, and C. N. Noussair, "The Effect of Short Selling on Bubbles and Crashes in Experimental Spot Asset Markets," Journal of Finance 61 (2006), 1119-57. – reference: Kirchler, M., J. Huber, and T. Stöckl, "Thar She Bursts: Reducing Confusion Reduces Bubbles," American Economic Review 102 (2012), 865-83. – reference: Berg, J., J. Dickhaut, and K. McCabe, "Trust, Reciprocity, and Social History," Games and Economic Behavior 10 (1995), 122-42. – reference: Cameron, A. C., J. B. Gelbach, and D. L. Miller, "Bootstrap-Based Improvements for Inference with Clustered Errors," Review of Economics and Statistics 90 (2008), 414-27. – reference: Diba, B. T., and H. I. Grossman, "Explosive Rational Bubbles in Stock Prices?" American Economic Review 78 (1988), 520-30. – reference: Copeland, T. E., and D. Friedman, "The Effect of Sequential Information Arrival on Asset Prices: An Experimental Study," Journal of Finance 42 (1987), 763-97. – reference: Davis, D. D., and C. A. Holt, Experimental Economics (Princeton, NJ: Princeton University Press, 1993). – reference: Dickhaut, J., S. Lin, D. Porter, and V. Smith, "Commodity Durability, Trader Specialization, and Market Performance," Proceedings of the National Academy of Sciences 109 (2012), 1425-30. – reference: Lei, V., C. N. Noussair, and C. R. Plott, "Nonspeculative Bubbles in Experimental Asset Markets: Lack of Common Knowledge of Rationality vs. Actual Irrationality," Econometrica 69 (2001), 831-59. – reference: Stöckl, T., J. Huber, and M. Kirchler, "Bubble Measures in Experimental Asset Markets," Experimental Economics 13 (2010), 284-98. – reference: Porter, D. P., and V. L. Smith, "Futures Contracting and Dividend Uncertainty in Experimental Asset Markets," Journal of Business 68 (1995), 509-41. – reference: Deck, C. A., and B. J. Wilson, "Tracking Customer Search to Price Discriminate," Economic Inquiry 44 (2006), 280-95. – reference: Haruvy, E., and C. N. Noussair, "Traders' Expectations in Asset Markets: Experimental Evidence," American Economic Review 97 (2007), 1901-20. – reference: Kogan, S., A. M. Kwasnica, and R. A. Weber, "Coordination in the Presence of Asset Markets," American Economic Review 101 (2011), 927-47. – reference: Morris, S., and H. S. Shin, "Coordination Risk and the Price of Debt," European Economic Review 48 (2004), 133-53. – reference: Noussair, C., and S. Tucker, "Futures Markets and Bubble Formation in Experimental Asset Markets," Pacific Economic Review 11 (2006), 167-84. – reference: Angeletos, G.-M., and I. Werning, "Crises and Prices: Information Aggregation, Multiplicity, and Volatility," American Economic Review 96 (2006), 1720-36. – reference: Hussam, R. N., D. Porter, and V. L. Smith, "Thar She Blows: Can Bubbles Be Rekindled with Experienced Subjects?" American Economic Review 98 (2008), 924-37. – reference: Fama, E. F., "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance 25 (1970), 383-417. – reference: Caginalp, G., D. Porter, and V. L. Smith, "Momentum and Overreaction in Experimental Asset Markets," International Journal of Industrial Organization 18 (2000), 187-204. – reference: Qu, H., "How Do Market Prices and Cheap Talk Affect Coordination," Journal of Accounting Research 51 (2013), 1221-60. – reference: Deck, C. A., and B. J. Wilson, "Automated Pricing Rules in Electronic Posted Offer Markets," Economic Inquiry 41 (2003), 208-23. – reference: Heinemann, F., R. Nagel, and P. Ockenfels, "The Theory of Global Games on Test: Experimental Analysis of Coordination Games with Public and Private Information," Econometrica 72 (2004), 1593-99. – reference: Huber, J., M. Kirchler, and M. Sutter, "Is More Information Always Better? Experimental Financial Markets with Cumulative Information," Journal of Economic Behavior & Organization 65 (2008), 86-104. – reference: Caginalp, G., D. Porter, and V. L. Smith, "Initial Cash/Asset Ratio and Asset Prices: An Experimental Study," Proceedings of the National Academy of Sciences 95 (1998), 756-61. – reference: Smith, V. L., M. Van Boening, and C. P. Wellford, "Dividend Timing and Behavior in Laboratory Asset Markets," Economic Theory 16 (2000), 567-83. – reference: West, K. 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| SubjectTerms | Asset markets Comparative analysis Dividends Economic bubbles Economic crisis Economic expectations Economic uncertainty Fundamental value Laboratories Market prices Monopoly Prices Product markets Profitability Securities markets Studies |
| Title | BUBBLES, CRASHES, AND ENDOGENOUS UNCERTAINTY IN LINKED ASSET AND PRODUCT MARKETS |
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