Do investors trade too much? A laboratory experiment

Article, Preprint English OPEN
Challet , Damien ; Batista , João da Gama ; Bouchaud , Jean-Philippe ; Hommes , Cars ; Massaro , Domenico (2017)
  • Publisher: Elsevier
  • Related identifiers: doi: 10.1016/j.jebo.2017.05.013
  • Subject: excessive trading | [ QFIN.PM ] Quantitative Finance [q-fin]/Portfolio Management [q-fin.PM] | [ QFIN.GN ] Quantitative Finance [q-fin]/General Finance [q-fin.GN] | Experimental markets | JEL : G - Financial Economics/G.G1 - General Financial Markets/G.G1.G11 - Portfolio Choice • Investment Decisions | clustering | price expectations | Quantitative Finance - General Finance

We run experimental asset markets to investigate the emergence of excess trading and the occurrence of synchronised trading activity leading to crashes in the artificial markets. The market environment favours early investment in the risky asset and no posterior trading... View more
  • References (29)
    29 references, page 1 of 3

    Hommes, C., Sonnemans, J., Tuinstra, J., and Van de Velden, H. (2005). Coordination of expectations in asset pricing experiments. Review of Financial Studies, 18(3):955{ 980.

    Hommes, C., Sonnemans, J., Tuinstra, J., and van de Velden, H. (2008). Expectations and bubbles in asset pricing experiments. Journal of Economic Behavior & Organization, 67(1):116{133.

    Hussam, R. N., Porter, D., and Smith, V. L. (2008). Thar she blows: Can bubbles be rekindled with experienced subjects? American Economic Review, 98(3):924{37.

    Jackson, A. (2003). The aggregate behaviour of individual investors. Available at SSRN 536942.

    Jondeau, E. and Rockinger, M. (2003). Testing for di erences in the tails of stockmarket returns. Journal of Empirical Finance, 10(5):559{581.

    Kaniel, R., Saar, G., and Titman, S. (2008). Individual investor trading and stock returns. The Journal of Finance, 63(1):273{310.

    Keller, C. and Siegrist, M. (2006). Investing in stocks: The in uence of nancial risk attitude and values-related money and stock market attitudes. Journal of Economic Psychology, 27(2):285{303.

    King, R. R. (1991). Private Information Acquisition In Experimental Markets Prone To Bubble And Crash. Journal of Financial Research, 14(3):197{206.

    Lei, V., Noussair, C. N., and Plott, C. R. (2001). Nonspeculative bubbles in experimental asset markets: Lack of common knowledge of rationality vs. actual irrationality. Econometrica, pages 831{859.

    Lei, V. and Vesely, F. (2009). Market e ciency: Evidence from a no-bubble asset market experiment. Paci c Economic Review, 14(2):246{258.

  • Related Research Results (1)
  • Metrics
    No metrics available
Share - Bookmark