Asset Valuation in an Experimental Market

Robert Forsythe, Thomas R. Palfrey and Charles R. Plott (1982) "Asset Valuation in an Experimental Market." Econometrica, Vol. 50, No. 3 (May, 1982), pp. 537-567. JSTOR |via CYCU

==original abstract==

The time path of asset prices is studied within a stationary experimental environment. After several replications prices converge to a perfect foresight equilibrium. A sequential market having an "informational trap" and a futures market are also studied.

實驗簡述:

  • 對 certificate 雙邊喊價 (double-auction), 每人一開始持有若干 (2或3) 張 certificates
  • 持有股票, 可得股利;
    • 股利每年分兩期, A 和 B 期給付;
    • 但實驗中共有三種 type 的人; 每人在A、B期可獲之股利並不相同 (如 Table I 所示)
      原文:
      Because of these differences, there are gains from exchange with one individual selling the certificate to
      another. (註: 這樣設定也是為了形成負斜率的需求線, 見下圖)
  • 不能 short-sale
  • 可多次喊價
  • 共進行 5 場實驗 (Experiment 1-5); 每次 8-9 人

理論之均衡價格

(下面方程式最後之數字是 for Experiment 1 & 2)

  • equilibrium price in period B
    • PEB = max (dB) =300
  • naive price equilibrium
    • PNA = max (dA+dB) = 400
  • perfectly forecasted theoretical equilibrium
    • PFA = max (dA)+max(dB) = 600

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實驗 1 的結果

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實驗 2 的結果

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實驗 3 的結果

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實驗 4 的結果

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實驗 5 的結果

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實驗紀錄表

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