| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP2626 |
| DP2626 Tax Policy, Venture Capital and Entrepreneurship | |
| Soren Bo Nielsen; Christian Keuschnigg | |
| 发表日期 | 2000-11-28 |
| 出版年 | 2000 |
| 语种 | 英语 |
| 摘要 | We report on six large-scale financial markets experiments that were designed to test two of the most basic propositions of modern asset pricing theory, namely, that the interaction between risk averse agents in a competitive market leads to equilibration, and that, in equilibrium, risk premia are solely determined by covariance with aggregate risk. We designed the experiments within the framework suggested by two theoretical models, namely, Arrow and Debreu's complete-markets model, and the Sharpe-Lintner-Mossin Capital Asset Pricing Model (CAPM). This framework enabled us to measure how far our markets were from equilibrium at any point in time, thereby allowing us to gauge the success of the models. The distance measures do not require knowledge of the (uncontrollable) level and dispersion of risk aversion among subjects, and adjust for the impact of progressive trading on the eventual equilibrium. Unlike in our earlier, thin-markets experiments, we discovered swift convergence towards equilibrium prices of Arrow and Debreu's model or the CAPM. This discovery is significant, because subjects always lacked the information to deliberately set asset prices using either model. Sometimes, however, the equilibrium was not found to be robust, with markets readily veering away, apparently as a result of deviations of subjective beliefs from objective probabilities. Still, we find evidence that this did not destroy the tendency for markets to equilibrate as predicted by the theory. In each experiment, we formally test and reject the hypothesis that prices are a random walk, in favour of stochastic convergence towards CAPM and Arrow-Debreu equilibrium. |
| 主题 | Financial Economics |
| 关键词 | Asset pricing General equilibrium Experimental finance Capm Arrow-debreu equilibrium |
| URL | https://cepr.org/publications/dp2626 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/531691 |
| 推荐引用方式 GB/T 7714 | Soren Bo Nielsen,Christian Keuschnigg. DP2626 Tax Policy, Venture Capital and Entrepreneurship. 2000. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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