Asset pricing experiments

摘要: In this paper we report the findings of an asset pricing experiment. our experiment use same setup as in Brock and Hommes (1997). The participants had to predict price period t+1 at time t given all previous prices up till t-1. rational or fundamental pt* is by discounted sum future dividends. Participants are motivated forecasting accuracy. theoretical model there 'bubble solutions' growing risk free rate return 1+r. These bubble solutions perfect foresight thus equally attractive solution. We find that significantly different from particular experimental market seems be undervalued. Another result was variance much higher than under expectations, which might explanation excess volatility observed real financial markets.