讲座时间：2018年6月28日(周四)，14:00-15:30
讲座地点：理科大楼 A302会议室（中北校区）
讲座人：Huan Xie (Concordia University)
讲座题目：Experimental Asset Markets with An Indefinite Horizon
讲座主持人：龚冰琳
论文提要：We study the pricing and trade of indefinitely lived assets in experimental markets. Our experimental design disentangles several confounding factors in such markets: (1) payoff uncertainty about the asset's dividend payments; (2) horizon uncertainty about the duration of trade in the asset, and (3) the assumption that agents are risk neutral expected utility maximizers. In a baseline treatment with all of these features or assumptions in place, we find that trading prices are on average more than 40% below the risk-neutral fundamental value, and decrease further as traders gain experience. In the two other treatments, we separate trade in the asset from dividend realizations. While there continues to exist uncertainty in the number of dividend payments, coupled with or without the uncertainty in the length of the trading horizon, we find that market prices in the latter two treatments are not significantly different from the asset's risk-neutral fundamental value. We therefore conclude that the low trading prices observed in our baseline, indefinite-horizon market cannot be explained by assuming risk neutral expected utility maximizers. By contrast, an Epstein-Zin recursive preference specification that allows risk preferences to be disentangled from preferences for certainty can account for the low trading prices observed in our baseline treatment. Indeed, a further contribution of our paper is that we propose a method to calculate the risk-adjusted market fundamental value of the asset under expected utility or under Epstein-Zin preferences, respectively.
演讲人简介：Huan Xie，加拿大康考迪亚大学副教授，美国匹兹堡大学经济学博士。研究方向为实验经济学、应用微观经济学、博弈理论和公共经济学。