藝廊

The Effect of Short Selling on Bubbles and Crashes in Experimental Spot Asset Markets (2006, JF)

*Ernan Haruvy and Charles N. Noussair (2006) “The Effect of Short Selling on Bubbles and Crashes in Experimental Spot Asset Markets." Journal of Finance, Volume 61, Issue 3, pages 1119–1157, June 2006. http://dx.doi.org/10.1111/j.1540-6261.2006.00868.x

Summary by yinung

在這些實驗中的資產市場 (laboratory asset market) 通常可觀察到價格泡沫 (price bubble) 的現象: 資產交易的價格都先超過理論值, 在接近資產到期之期末, 價格才回跌接近理論值 (see, e.g., King et al. (1993), Van Boening, Williams, and
LeMaster (1993), Porter and Smith (1995), Fisher and Kelly (2000), Noussair,
Robin, and Ruffieux (2001), Lei, Noussair, and Plott (2001), Ackert et al. (2001),
Dufwenberg, Lindqvist, and Moore (2002))。

original ABSTRACT

A series of experiments illustrate that relaxing short-selling constraints lowers prices in experimental asset markets, but does not induce prices to track fundamentals. We argue that prices in experimental asset markets are influenced by restrictions on short-selling capacity and limits on the cash available for purchases. Restrictions on short sales in the form of cash reserve requirements and quantity limits on short positions behave in a similar manner. A simulation model, based on [[DeLong et al. (1990)]], generates average price patterns that are similar to the observed data.

[category:experiment]
[category:MLA]
[category:loss aversion]
[category:實驗]

References:

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