Doctoral Dissetation Improvement: A Laboratory Study of Asset Markets with Negotiation

博士论文改进：资产市场谈判的实验室研究

• 批准号: 9710048
• 负责人: Richard Day
• 金额: $ 0.51万
• 依托单位: University of Southern California
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 1997
• 资助国家: 美国
• 起止时间: 1997-09-01 至 1999-08-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=9710048&HistoricalAwards=false
• 关键词: Doctoral; Dissetation; Improvement; Laboratory; Study; Doctoral; Dissetation; Improvement; Laboratory; Study

Project abstract Households allocate their wealth between different classes of assets. One way to classify these assets is by the institution in which they trade. Some assets are traded in an auction institution, such as shares of a corporation, while others trade infrequently in an institution which involves search and bargaining. For ease of exposition, I refer to these classes as financial and real assets respectively. Inadequate data has prevented econometricians from decisively determining whether real assets should be considered a subset of the set of assets households use to optimize their portfolio or if they are a distinct type of good that does not belong in the finance paradigm. This question can be answered by looking at how the returns on real assets adjust to changes in real their per-period benefits given returns on financial assets. In the proposed study, subjects in the laboratory have the option of allocating their wealth between two types of assets. The first type has a rate of return which is exogenous of a subject's actions. The second type has a return based on an price changes. To examine the impact of institutions, the second type of asset is traded under two types of institutions. First, it is traded in a double auction institution, which is frequently used to organize trade of financial assets. This establishes a baseline of how well subjects are able to price an asset relative to a risk-neutral asset pricing formula in an institution previously shown to have superior performance characteristics. In another treatment, the asset trades under an institution similar to the one in which heterogeneous real goods general trade, such as homes and small businesses. The salient features of this institution are that sellers attract buyers by advertising a price, buyers and sellers negotiate by sending binding offers, and no absolute time restriction on bargaining is imposed. In the proposed implementation, the information available to subjects is similar to what is available in naturally occurring markets. This project has theoretical and policy implications. Theoretically, this experiment help us understand why real assets prices are not well explained by asset pricing models. This is typically attributed to a number of factors such as: the lumpiness of the asset, absence of futures contracts, incorrect expectations, and asymmetric information. This project isolates the impact of trading institutions as a possible explanation. This will also provide insight into how data are smoothed by real asset trading institutions. Laboratory data generated by this study will also help us understand the Real Estate cycle. Ultimately, better regional economic stabilization policy could result form a better understanding of how these asset markets work.

项目摘要家庭在不同类别的资产之间分配财富。对这些资产进行分类的一种方法是交易的机构。一些资产在拍卖机构（例如公司的股票）中进行交易，而另一些资产则很少在涉及搜索和讨价还价的机构中进行交易。为了易于说明，我将这些类别称为财务和真实资产。 不足的数据使计量经济学家无法决定是否应将实际资产视为家庭用来优化其投资组合的一组资产的子集，还是他们是不属于金融范式的独特商品。可以通过查看真实资产的回报如何适应实际的每期福利的变化来回答这个问题。在拟议的研究中，实验室中的受试者可以选择在两种类型的资产之间分配财富。第一种类型的回报率是受试者行为的外在的。第二种类型的基于价格变化的回报。为了检查机构的影响，第二类资产是在两种类型的机构下进行交易的。首先，它是在双重拍卖机构中进行的，该机构经常用于组织金融资产的贸易。这建立了一个基准，即受试者在以前证明具有较高绩效特征的机构中，相对于风险中性资产定价公式的资产价格的定价良好。在另一种待遇中，该资产在一个机构下进行的交易，类似于该机构，类似于该机构的贸易（例如，房屋和小型企业）。该机构的显着特征是，卖方通过宣传价格，买卖双方通过发送具有约束力的报价来吸引买家，并且没有对讨价还价的绝对时间限制。在拟议的实施中，受试者可用的信息类似于自然发生的市场中可用的信息。 该项目具有理论和政策的影响。从理论上讲，该实验有助于我们理解为什么资产定价模型无法很好地解释实际资产价格。这通常归因于许多因素，例如：资产的块，没有期货合约，不正确的期望和不对称信息。该项目将交易机构的影响隔离开来。这还将提供有关如何通过实际资产交易机构平滑数据的洞察力。 这项研究产生的实验室数据还将帮助我们了解房地产周期。 最终，更好的区域经济稳定政策可能会导致对这些资产市场的运作方式有更好的了解。