*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))。
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.
- Ackert, Lucy F., Narat Charupat, Bryan K. Church, and Richard Deaves, 2001, Bubbles in experimental asset markets: Irrational exuberance no more, Federal Reserve Bank of Atlanta, Working paper 2002–2024.
- Blanchard, Olivier J., and Mark W. Watson, 1982, Bubbles, rational expectations and financial markets, in P. Wachtel, ed.: Crises in Economic and Financial Structure (Lexington Books, Lexington, MA, USA).
- Caginalp, Gunduz, David Porter, and Vernon Smith, 2000, Overreactions, momentum, liquidity, and price bubbles in laboratory and field stock markets, The Journal of Psychology and Financial Markets 1, 24–48.
- Camera, Gabriele, Charles Noussair, and Steven Tucker, 2003, Rate of return dominance and efficiency in an experimental economy, Economic Theory 22, 629–660.
- Camerer, Colin F., and Teck-Hua Ho, 1999, Experience-weighted attraction learning in normal form games, Econometrica 67, 827–874.
- Camerer, Colin F., Teck-Hua Ho, and Juin-Kuan Chong, 2004, A cognitive hierarchy model of one-shot games, Quarterly Journal of Economics 119, 861–898.
- DeLong, J. Bradford, Andrei Shleifer, Lawrence H. Summers, and Robert J. Waldmann, 1990, Positive feedback investment strategies and destabilizing rational speculation, Journal of Finance 45, 379–395.
- Diamond, Douglas W., and Robert E. Verrecchia, 1987, Constraints on short selling and asset price adjustment to private information, Journal of Financial Economics 18, 277–311.
- Diba, Behzad T., and Herschel I. Grossman, 1988, Explosive rational bubbles in stock prices? American Economic Review 78, 520–530.
- Dufwenberg, Martin, Tobias Lindqvist, and Evan Moore, 2005, Bubbles and experience: An experiment on speculation, American Economic Review 95, 1731–1737.
- Erev, Ido, and Alvin E. Roth, 1998, Predicting how people play games: Reinforcement learning in games with unique strategy equilibrium, American Economic Review 88, 848–881.
- Figlewski, Stephen, and Gwendolyn P. Webb, 1993, Options, short sales, and market completeness, Journal of Finance 48, 761–777.
- Fischbacher, Urs, 1999, z-Tree: A toolbox for readymade economic experiments, Working paper, Institute for Empirical Research in Economics, University of Zurich.
- Fisher, Eric, 1998, Explaining bubbles in experimental asset markets, Working paper, Ohio State University.
- Fisher, Eric, and Frank S. Kelly, 2000, Experimental foreign exchange markets, Pacific Economic Review 5, 365–387.
- Gneezy, Uri, Arie Kapteyn, and Jan Potters, 2003, Evaluation periods and asset prices in a market experiment, Journal of Finance 58, 821–837.
- Gneezy, Uri, and Jan Potters, 1997, An experimental test on risk taking and evaluation periods, Quarterly Journal of Economics 112, 631–645.
- Harris, Lawrence, and Eitan Gurel, 1986, Price and volume effects associated with changes in the Standard and Poor 500 list—New evidence for the existence of price pressures, Journal of Finance 41, 815–829.
- Harrison, J. Michael, and David M. Kreps, 1978, Speculative investor behavior in a stock market with heterogeneous expectations, Quarterly Journal of Economics 92, 323–336.
- Jarrow, Robert A., 1980, Heterogeneous expectations, restrictions on short sales, and equilibrium asset prices, Journal of Finance 35, 1105–1113.
- King, Ronald, Vernon Smith, Arlington Williams, and Mark Van Boening, 1993, The robustness of bubbles and crashes in experimental stock markets, in I. Prigogine, R. Day, and P. Chen, eds.: Nonlinear Dynamics and Evolutionary Economics (Oxford University Press, Oxford, UK).
- Lei, Vivian, Charles N. Noussair, and Charles R. Plott, 2001, Non-speculative bubbles in experimental asset markets: Lack of common knowledge of rationality vs. actual irrationality, Econometrica 69, 830–859.
- Marimon, Ramon, and Shyam Sunder, 1993, Indeterminacy of equilibria in a hyperinf lationary world: Experimental evidence, Econometrica 61, 1073–1108
- McKelvey, Richard, and Thomas Palfrey, 1995, Quantal response equilibria for normal form games, Games and Economic Behavior 10, 6–38.
Miller, Edward M., 1977, Risk, uncertainty and divergence of opinion, Journal of Finance 32, 1151–1168.
- Morris, Stephen, 1995, The common prior assumption in economic theory, Economics and Philosophy 11, 227–253.
- Morris, Stephen, 1996, Speculative investor behavior and learning, Quarterly Journal of Economics 111, 1111–1134.
- Nagel, Rosemary, 1995, Unraveling in guessing games: an experimental study, American Economic Review 85, 1313–1326.
- Noussair, Charles, and Charles Plott, 2006, Bubbles in Experimental Asset Markets: Common Knowledge Failure or Confusion, forthcoming in C. Plott and V. Smith, eds. Handbook of Experimental Economics Results (Elsevier Publishers, Amsterdam, The Netherlands).
- Noussair, Charles, Stephane Robin, and Bernard Ruffieux, 2001, Price bubbles in laboratory asset
markets with constant fundamental values, Experimental Economics 4, 87–105.
- Noussair, Charles, and Steven Tucker, 2003, Futures markets and bubble formation in experimental asset markets, Working paper, Emory University.
- Porter, David, and Vernon Smith, 1995, Futures contracting and dividend uncertainty in experimental asset markets, The Journal of Business 68, 509–541.
- Shiller, Robert J., 1981, Do stock prices move too much to be justified by subsequent changes in dividends? American Economic Review 71, 421–436.
- Shleifer, Andrei, 1986, Do demand curves for stocks slope down? Journal of Finance 41, 579–590.
- Smith, Vernon, 1962, An experimental study of competitive market behavior, Journal of Political Economy 70, 111–137.
- Smith, Vernon, 1994, Economics in the laboratory, Journal of Economic Perspectives 8, 113–131.
- Smith, Vernon, Gerry Suchanek, and Arlington Williams, 1988, Bubbles, crashes, and endogenous expectations in experimental spot asset markets, Econometrica 56, 1119–1151. [JSTOR]
- Smith, Vernon, Mark van Boening, and Charissa P. Wellford, 2000, Dividend timing and behavior in laboratory asset markets, Economic Theory 16, 567–583.
- Stahl, Dale, 1993, Evolution of smartn players, Games and Economic Behavior 5, 604–617.
- Van Boening, Mark, Arlington W. Williams, and Shawn LeMaster, 1993, Price bubbles and crashes in experimental call markets, Economic Letters 41, 179–185.
- West, Kenneth D., 1988, Bubbles, fads, and stock price volatility tests: A partial evaluation, Journal of Finance 43, 636–661.