Asset Valuation in an Experimental Market

Robert Forsythe, Thomas R. Palfrey and Charles R. Plott (1982) “Asset Valuation in an Experimental Market." Econometrica, Vol. 50, No. 3 (May, 1982), pp. 537-567. JSTOR |via CYCU

==original abstract==

The time path of asset prices is studied within a stationary experimental environment. After several replications prices converge to a perfect foresight equilibrium. A sequential market having an “informational trap" and a futures market are also studied.

實驗簡述:

  • 對 certificate 雙邊喊價 (double-auction), 每人一開始持有若干 (2或3) 張 certificates
  • 持有股票, 可得股利;
    • 股利每年分兩期, A 和 B 期給付;
    • 但實驗中共有三種 type 的人; 每人在A、B期可獲之股利並不相同 (如 Table I 所示)
      原文:
      Because of these differences, there are gains from exchange with one individual selling the certificate to
      another. (註: 這樣設定也是為了形成負斜率的需求線, 見下圖)
  • 不能 short-sale
  • 可多次喊價
  • 共進行 5 場實驗 (Experiment 1-5); 每次 8-9 人

理論之均衡價格

(下面方程式最後之數字是 for Experiment 1 & 2)

  • equilibrium price in period B
    • PEB = max (dB) =300
  • naive price equilibrium
    • PNA = max (dA+dB) = 400
  • perfectly forecasted theoretical equilibrium
    • PFA = max (dA)+max(dB) = 600

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實驗 1 的結果

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實驗 2 的結果

 

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實驗 3 的結果

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實驗 4 的結果

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實驗 5 的結果

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實驗紀錄表

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廣告

A Summary for "Why Experimental Finance?"

By Shyam Sunder, Yale School of Management

International Conference on Experiments in Economic Sciences: New Approaches to Solve Real World Problems

Okayama, Japan, December 14-15, 2004.

這是耶魯大學管院 Shyam Sunder 的演講投影片, 我閱讀理解後所整理的重點摘要與注釋 (不全然是翻譯)。

1. Why Do We Need More Data from Experimental Markets?

Asset markets 中有很多 (交易) 資料, 但是缺乏「預期」(expectations) 的資料, 但這卻是眾多財務理論中重要的假設。另外在實驗中可以在控制的環境中設定 (已知) 的參數 (註: 例如資產報酬風險的大小),以利檢證財務理論。

2. What Can Simple Experiments Tell Us about Complex Markets?

科學的目標即是尋找「簡單的法則」,來預測大部份 (不是全部) 的有趣之真實世界之現象

3. Is This Behavioral Economics/Finance?

經濟 (財務) 實驗強調市場及其他相關制度的設計對交易者之影響,其研究重點是:

  • 制度與規則 (市場微結構 microstructures)
  • 基於已知的資訊,市場參與者如何思考與行動
  • 設計實驗以區別何種理論較符合市場運作現況
  • 便於當做測試不同制度下之風洞試驗場 (test beds)
  • 分析焦點是均衡、效率、價格、和分配
  • 可與「現地實證研究」 (field empirical research) 互補

4. What Have We Learned from Experiments?

實驗運用於財務領域大致是從 1980 年代前後開始 (我印象中也是 Vernon Smith 先開始的),也發掘了一些有趣,不可能單獨從「現地實證研究」中發現的財務市場現象。

Key findings:

  • Security markets can aggregate and disseminate information (efficient markets)
  • But they do not always do so (inefficiency)
  • Information dissemination, when it occurs, is rarely instantaneous or perfect (learning takes time)
  • Markets permit costly research to persist in equilibrium (why pay for research?)
  • Price, as well as bids, offers, timing, etc., transmit information (many channels for information flow)
  • Well-functioning derivative markets help improve the efficiency of primary markets
  • Most important: statistical efficiency or inability to make money from past data does not mean informational efficiency (“can’t make money” does not mean “the price is right”)

Efficient Markets: Information Dissemination

Plott and Sunder (Journal of Political Economy, 1982) established the basic proposition through a simple experiment :

  • Can markets disseminate information from those who know to those who don’t?
  • Could not be established from analysis of field data because we don’t know the distribution of information among investors?

主要實驗發現:

  • Markets can disseminate information from the informed to the uninformed investors
  • Dissemination can occur through trading, without exchange of verbal communication
  • Such markets can achieve high levels of informational efficiency
  • Securities end up in the hands of those who value them most

(待續…)

實驗課程: 財務 (1)

Strategic Financial Decisions Lab (MGT872)

這是 Yale 大學教授 Shyam Sunder 的財務實驗課程

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·                    Help understand dynamic interactions among financial decisions about

·                    Production

·                    Investment

·                    Dividend

·                    Managerial compensation

·                    Corporate governance

·                    Financial reporting

·                    Income management

·                    Capital structure

·                    Insider trading

·                    Issue of equity and debt securities

·                    Initial public offering

·                    Valuation of equity and debt securities, and

·                    Trading strategy in security markets.

課前準備

  • 讀背景資料
  • 寫預擬決策方式 (上課前上傳至網站) 和建模
  • 寫 lab report

評分方式

  • 50% 實驗報酬
  • 25% lab report
  • 25% written decision strategies, models and presentations