کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5066783 1476791 2015 19 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The “inflow-effect”-Trader inflow and price efficiency
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
The “inflow-effect”-Trader inflow and price efficiency
چکیده انگلیسی

We investigate the impact of cash and trader inflow on price efficiency in multi-period experimental asset markets. Implementing eight treatments with 672 subjects, we find that (i) the joint inflow of cash and traders triggers strong overvaluation and massive price run-ups (inflow-effect). Remarkably, the effect occurs in almost all of the 30 markets with joint cash and trader inflow and is very robust. The effect even prevails in markets with complete and symmetric fundamental information. We further show that (ii) in treatments with the joint inflow of cash and traders, prices crash to fundamentals towards maturity of the asset. The analysis of traders׳ beliefs reveals that (iii) despite fundamental values staying constant, beliefs about fundamentals co-move with upwardly trending prices. Finally, we report a speculative motive only among the optimists in treatments where we observe the inflow-effect.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Economic Review - Volume 77, July 2015, Pages 1-19
نویسندگان
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