Do option-like incentives induce overvaluation? Evidence from experimental asset markets

被引：22

作者：

Holmen, Martin ^{[1
,2
]}

Kirchler, Michael ^{[1
,3
]}

Kleinlercher, Daniel ^{[3
]}

机构：

[1] Univ Gothenburg, Dept Econ, Ctr Finance, S-40530 Gothenburg, Sweden

[2] Hanken Sch Econ, Dept Finance & Stat, Helsinki 00101, Finland

[3] Univ Innsbruck, Dept Banking & Finance, A-6020 Innsbruck, Austria

来源：

JOURNAL OF ECONOMIC DYNAMICS & CONTROL | 2014年 / 40卷

基金：

奥地利科学基金会;

关键词：

Mispricing; Incentives; Market efficiency; Experimental finance; BUBBLES; EXPECTATIONS; CRASHES;

D O I：

10.1016/j.jedc.2014.01.002

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

One potential reason for bubbles evolving prior to the financial crisis was excessive risk taking stemming from option-like incentive schemes in financial institutions. By running laboratory asset markets, we investigate the impact of option-like incentives on price formation and trading behavior. The main results are that (i) we observe significantly higher market prices with option-like incentives than linear incentives. (ii) We further find that option-like incentives provoke subjects to behave differently and to take more risk than subjects with linear incentives. (iii) We finally show that trading at inflated prices is rational for subjects with option-like incentives since it increases their expected payout. (C) 2014 Elsevier B.V. All rights reserved.

引用

页码：179 / 194

页数：16

共 30 条

[1] Margin, short selling, and lotteries in experimental asset markets [J].