We present a large-group experiment in which participants predict the price of an asset, whose realization depends on the aggregation of individual forecasts. The markets consist of 21 to 32 participants, a group size larger than in most experiments. Multiple large price bubbles occur in six out of seven markets. The bubbles emerge even faster than in smaller markets. Individual forecast errors do not cancel out at the aggregate level, but participants coordinate on a trend-following prediction strategy that gives rise to large bubbles. The observed price patterns can be captured by a behavioral heuristics switching model with heterogeneous expectations.

Bao, T., Hennequin, M., Hommes, C., Massaro, D., Coordination on bubbles in large-group asset pricing experiments, <<JOURNAL OF ECONOMIC DYNAMICS & CONTROL>>, 2020; 110 (110): N/A-N/A. [doi:10.1016/j.jedc.2019.05.009] [http://hdl.handle.net/10807/150726]

Coordination on bubbles in large-group asset pricing experiments

Massaro, Domenico
Ultimo
2020

Abstract

We present a large-group experiment in which participants predict the price of an asset, whose realization depends on the aggregation of individual forecasts. The markets consist of 21 to 32 participants, a group size larger than in most experiments. Multiple large price bubbles occur in six out of seven markets. The bubbles emerge even faster than in smaller markets. Individual forecast errors do not cancel out at the aggregate level, but participants coordinate on a trend-following prediction strategy that gives rise to large bubbles. The observed price patterns can be captured by a behavioral heuristics switching model with heterogeneous expectations.
Inglese
Bao, T., Hennequin, M., Hommes, C., Massaro, D., Coordination on bubbles in large-group asset pricing experiments, <<JOURNAL OF ECONOMIC DYNAMICS & CONTROL>>, 2020; 110 (110): N/A-N/A. [doi:10.1016/j.jedc.2019.05.009] [http://hdl.handle.net/10807/150726]
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/10807/150726
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