Peaks and Valleys: Experimental Asset Markets With Non-Monotonic Fundamentals

C.N. Noussair, O.R. Powell

Research output: Working paperDiscussion paperOther research output

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Abstract

We report the results of an experiment designed to measure how well asset market prices track fundamentals when the latter experience peaks and troughs. We observe greater price efficiency in markets in which fundamentals rise to a peak and then decline, than in markets in which fundamentals decline to a trough and undergo a subsequent increase. The findings demonstrate that the characteristics of the time path of the fundamental value can influence the degree of market efficiency.
Original languageEnglish
Place of PublicationTilburg
PublisherMicroeconomics
Number of pages41
Volume2008-49
Publication statusPublished - 2008

Publication series

NameCentER Discussion Paper`
Volume2008-49

Fingerprint

Experimental asset markets
Asset markets
Price efficiency
Experiment
Market efficiency
Fundamental values
Market price

Keywords

  • Bubble
  • Peak
  • Experiment

Cite this

Noussair, C. N., & Powell, O. R. (2008). Peaks and Valleys: Experimental Asset Markets With Non-Monotonic Fundamentals. (CentER Discussion Paper`; Vol. 2008-49). Tilburg: Microeconomics.
Noussair, C.N. ; Powell, O.R. / Peaks and Valleys : Experimental Asset Markets With Non-Monotonic Fundamentals. Tilburg : Microeconomics, 2008. (CentER Discussion Paper`).
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Noussair, CN & Powell, OR 2008 'Peaks and Valleys: Experimental Asset Markets With Non-Monotonic Fundamentals' CentER Discussion Paper`, vol. 2008-49, Microeconomics, Tilburg.

Peaks and Valleys : Experimental Asset Markets With Non-Monotonic Fundamentals. / Noussair, C.N.; Powell, O.R.

Tilburg : Microeconomics, 2008. (CentER Discussion Paper`; Vol. 2008-49).

Research output: Working paperDiscussion paperOther research output

TY - UNPB

T1 - Peaks and Valleys

T2 - Experimental Asset Markets With Non-Monotonic Fundamentals

AU - Noussair, C.N.

AU - Powell, O.R.

N1 - Pagination: 41

PY - 2008

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N2 - We report the results of an experiment designed to measure how well asset market prices track fundamentals when the latter experience peaks and troughs. We observe greater price efficiency in markets in which fundamentals rise to a peak and then decline, than in markets in which fundamentals decline to a trough and undergo a subsequent increase. The findings demonstrate that the characteristics of the time path of the fundamental value can influence the degree of market efficiency.

AB - We report the results of an experiment designed to measure how well asset market prices track fundamentals when the latter experience peaks and troughs. We observe greater price efficiency in markets in which fundamentals rise to a peak and then decline, than in markets in which fundamentals decline to a trough and undergo a subsequent increase. The findings demonstrate that the characteristics of the time path of the fundamental value can influence the degree of market efficiency.

KW - Bubble

KW - Peak

KW - Experiment

M3 - Discussion paper

VL - 2008-49

T3 - CentER Discussion Paper`

BT - Peaks and Valleys

PB - Microeconomics

CY - Tilburg

ER -

Noussair CN, Powell OR. Peaks and Valleys: Experimental Asset Markets With Non-Monotonic Fundamentals. Tilburg: Microeconomics. 2008. (CentER Discussion Paper`).