Toulouse 1 Capitole Publications

Asset pricing and risk sharing in a complete market: An experimental investigation

Biais, Bruno, Mariotti, Thomas, Moinas, Sophie and Pouget, Sébastien (2017) Asset pricing and risk sharing in a complete market: An experimental investigation. TSE Working Paper, n. 17-798, Toulouse

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Official URL: http://tse-fr.eu/pub/28546

Abstract

We design an experiment that closely emulates and tests the standard model of complete competitive markets, without imposing parametric restrictions on preferences. Consistent with theory, aggregated elicited supply and demand curves cross at the expected dividend when there is no aggregate risk, and at a lower price when there is aggregate risk. In contradiction with theory, individual participants frequently make choices that violate ?rst order stochastic dominance. We propose a random choice model which reconciles the above mentioned ?ndings and is also consistent with additional features of the data, such as, e.g., large mistakes being less frequent than smaller ones.

Item Type: Monograph (Working Paper)
Language: English
Date: April 2017
Place of Publication: Toulouse
Subjects: B- ECONOMIE ET FINANCE
Divisions: Toulouse School of Economics - TSE
Institution: Université Toulouse 1 Capitole
Site: UT1
Date Deposited: 20 Apr 2017 09:47
Last Modified: 20 Apr 2017 09:47
OAI ID: oai:tse-fr.eu:28546
URI: http://publications.ut-capitole.fr/id/eprint/23736

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