Coordination on Bubbles In Large-Group Asset Pricing Experiments

We present a large-group experiment in which participants predict the price of an asset, whose realization depends on the aggregation of individual forecasts. The markets consist of 21 to 32 participants, a group size larger than in most experiments. Multiple large price bubbles occur in six out of...

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Main Authors: Bao, Te, Hennequin, Myrna, Hommes, Cars, Massaro, Domenico
Other Authors: School of Social Sciences
Format: Article
Language:English
Published: 2022
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Online Access:https://hdl.handle.net/10356/154889
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Institution: Nanyang Technological University
Language: English
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spelling sg-ntu-dr.10356-1548892022-01-13T03:13:08Z Coordination on Bubbles In Large-Group Asset Pricing Experiments Bao, Te Hennequin, Myrna Hommes, Cars Massaro, Domenico School of Social Sciences Social sciences::Economic theory Experimental Economics Asset Price Bubbles We present a large-group experiment in which participants predict the price of an asset, whose realization depends on the aggregation of individual forecasts. The markets consist of 21 to 32 participants, a group size larger than in most experiments. Multiple large price bubbles occur in six out of seven markets. The bubbles emerge even faster than in smaller markets. Individual forecast errors do not cancel out at the aggregate level, but participants coordinate on a trend-following prediction strategy that gives rise to large bubbles. The observed price patterns can be captured by a behavioral heuristics switching model with heterogeneous expectations. Ministry of Education (MOE) Te Bao thanks the financial support from the Tier 1 Grant from the Ministry of Education of Singapore (RG68/16). 2022-01-13T03:13:07Z 2022-01-13T03:13:07Z 2020 Journal Article Bao, T., Hennequin, M., Hommes, C. & Massaro, D. (2020). Coordination on Bubbles In Large-Group Asset Pricing Experiments. Journal of Economic Dynamics and Control, 110, 103702-. https://dx.doi.org/10.1016/j.jedc.2019.05.009 0165-1889 https://hdl.handle.net/10356/154889 10.1016/j.jedc.2019.05.009 2-s2.0-85066813375 110 103702 en RG68/16 Journal of Economic Dynamics and Control © 2019 Elsevier B.V. All rights reserved.
institution Nanyang Technological University
building NTU Library
continent Asia
country Singapore
Singapore
content_provider NTU Library
collection DR-NTU
language English
topic Social sciences::Economic theory
Experimental Economics
Asset Price Bubbles
spellingShingle Social sciences::Economic theory
Experimental Economics
Asset Price Bubbles
Bao, Te
Hennequin, Myrna
Hommes, Cars
Massaro, Domenico
Coordination on Bubbles In Large-Group Asset Pricing Experiments
description We present a large-group experiment in which participants predict the price of an asset, whose realization depends on the aggregation of individual forecasts. The markets consist of 21 to 32 participants, a group size larger than in most experiments. Multiple large price bubbles occur in six out of seven markets. The bubbles emerge even faster than in smaller markets. Individual forecast errors do not cancel out at the aggregate level, but participants coordinate on a trend-following prediction strategy that gives rise to large bubbles. The observed price patterns can be captured by a behavioral heuristics switching model with heterogeneous expectations.
author2 School of Social Sciences
author_facet School of Social Sciences
Bao, Te
Hennequin, Myrna
Hommes, Cars
Massaro, Domenico
format Article
author Bao, Te
Hennequin, Myrna
Hommes, Cars
Massaro, Domenico
author_sort Bao, Te
title Coordination on Bubbles In Large-Group Asset Pricing Experiments
title_short Coordination on Bubbles In Large-Group Asset Pricing Experiments
title_full Coordination on Bubbles In Large-Group Asset Pricing Experiments
title_fullStr Coordination on Bubbles In Large-Group Asset Pricing Experiments
title_full_unstemmed Coordination on Bubbles In Large-Group Asset Pricing Experiments
title_sort coordination on bubbles in large-group asset pricing experiments
publishDate 2022
url https://hdl.handle.net/10356/154889
_version_ 1722355313550557184