Insider trading and portfolio structure in experimental asset markets with a long lived asset
- We report results of a series of nine market experiments with asymmetric information and a fundamental value process that is more "realistic" than those in previous experiments. Both a call market institution and a continuous double auction mechanism are employed. We find considerable pricing inefficiencies that are only partially exploited by insiders. The magnitude of insider gains is analyzed separately for each experiment. We find support for the hypothesis that the continuous double auction leads to more efficient outcomes. Finally, we present evidence of an endowment effect: the initial portfolio structure influences the final asset holdings of experimental subjects.
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| Author: | Jan Pieter KrahnenORCiDGND, Christian Rieck, Erik TheissenORCiDGND |
|---|---|
| URN: | urn:nbn:de:hebis:30:3-551564 |
| URL: | https://www.econbiz.de/archiv/f/uf/finanzierung/long_lived_asset.pdf |
| Parent Title (English): | Universität Frankfurt am Main. Fachbereich Wirtschaftswissenschaften: [Working paper series / Finance and accounting] Working paper series, Finance & Accounting ; No. 1 |
| Series (Serial Number): | Working paper series / Johann-Wolfgang-Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften : Finance & Accounting (1) |
| Publisher: | Johann-Wolfgang-Goethe-Universität, Frankfurt am Main, Fachbereich Wirtschaftswissenschaften |
| Place of publication: | Frankfurt am Main |
| Document Type: | Working Paper |
| Language: | English |
| Year of Completion: | 1997 |
| Year of first Publication: | 1997 |
| Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Release Date: | 2020/08/31 |
| Tag: | endowment effect; experimental asset markets; market efficiency; market institutions |
| GND Keyword: | Börsenkurs; Kapitalmarkt; Experimentelle Wirtschaftsforschung; Markteffizienz; Kapitalmarkteffizienz; Asymmetrische Information; Insidergeschäft; Kapitalanlage; Auktionstheorie |
| Page Number: | 41 |
| First Page: | 1 |
| HeBIS-PPN: | 469939931 |
| Institutes: | Wirtschaftswissenschaften / Wirtschaftswissenschaften |
| Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Sammlungen: | Universitätspublikationen |
| Licence (German): |  Deutsches Urheberrecht |
