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Rational expectations in an experimental asset market with shocks to market trends

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  • Marquardt, Philipp
  • Noussair, Charles N
  • Weber, Martin

Abstract

We construct an experimental asset market in which the time trend of the fundamental value is subject to a shock. The design of the experiment allows testing of whether prices adhere to Rational Expectations levels, and whether there is over- or under-reaction to new information. We find that prices conform closely to Rational Expectations and episodes of mispricing are rare. A meta-analysis allows us to update our beliefs about whether experimental asset markets exhibit a generic tendency to misprice, particularly in bearish environments.

Suggested Citation

  • Marquardt, Philipp & Noussair, Charles N & Weber, Martin, 2019. "Rational expectations in an experimental asset market with shocks to market trends," European Economic Review, Elsevier, vol. 114(C), pages 116-140.
    • Handle: RePEc:eee:eecrev:v:114:y:2019:i:c:p:116-140
    DOI: 10.1016/j.euroecorev.2019.01.009
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    More about this item

    Keywords

    Experimental asset markets; News reactions; Price discovery; Rational expectations;
    All these keywords.

    JEL classification:

    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G40 - Financial Economics - - Behavioral Finance - - - General

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