Cash inflow and trading horizon in asset markets

被引：21

作者：

Razen, Michael ^{[1
]}

Huber, Juergen ^{[1
]}

Kirchler, Michael ^{[1
,2
]}

机构：

[1] Univ Innsbruck, Dept Banking & Finance, Univ Str 15, A-6020 Innsbruck, Austria

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

来源：

EUROPEAN ECONOMIC REVIEW | 2017年 / 92卷

关键词：

Experimental finance; Cash inflow; Trading horizon; Backward induction; Asset market; Price efficiency; RATIONAL-EXPECTATIONS; PRICE EFFICIENCY; SECURITY MARKETS; STOCK-PRICES; BUBBLES; CRASHES; INFORMATION; RISK; BEHAVIOR; TRADERS;

D O I：

10.1016/j.euroecorev.2016.11.010

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

It is conjectured that one of the major ingredients of historic financial bubbles was the inflow of money in various forms. We run 36 laboratory asset markets to investigate the joint effect of cash inflow and trading horizon on price efficiency. We show that markets with cash inflow and long trading horizon exhibit bubbles and crashes. We also observe that markets with extended trading horizon but without cash inflow and markets with shorter trading horizon do not trigger bubbles. Finally, we report that beliefs about prices and, importantly, about (constant) fundamentals follow bubble patterns as well.

引用

页码：359 / 384

页数：26

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