Price bubbles sans dividend anchors: Evidence from laboratory stock markets

Shinichi Hirota*, Shyam Sunder

*この研究の対応する著者

研究成果: Article査読

40 被引用数 (Scopus)

抄録

We experimentally explore how investor decision horizons influence the formation of stock prices. We find that in long-horizon sessions, where investors collect dividends till maturity, prices converge to the fundamental levels derived from dividends through backward induction. In short-horizon sessions, where investors exit the market by receiving the price (not dividends), price levels and paths become indeterminate and lose dividend anchors; investors tend to form their expectations of future prices by forward, not backward, induction. These laboratory results suggest that investors' short horizons and the consequent difficulty of backward induction are important contributors to the emergence of price bubbles.

本文言語English
ページ(範囲)1875-1909
ページ数35
ジャーナルJournal of Economic Dynamics and Control
31
6
DOI
出版ステータスPublished - 2007 6月

ASJC Scopus subject areas

  • 経済学、計量経済学
  • 制御と最適化
  • 応用数学

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