We report results from an asset market experiment, in which we investigate the relationship between traders’ risk aversion, loss aversion, and cognitive ability and their trading behavior and market outcomes. Greater average risk aversion on the part of traders in the market predicts lower market prices. The greater the level of loss aversion of the trader cohort, the lower the quantity traded. The greater the average cognitive reflection test score, the smaller the differences between market prices and fundamental values. Different treatments enable us to study how the time path of the fundamental value trajectory affects the level of adherence to fundamentals. We compare the level of mispricing between decreasing and increasing fundamental value trajectories. We find evidence for closer adherence to fundamental values when the trajectory follows a decreasing, than when it has an increasing, trend.