• Medientyp: E-Artikel
  • Titel: Bubbles, Crashes, and Endogenous Expectations in Experimental Spot Asset Markets
  • Beteiligte: Smith, Vernon L.; Suchanek, Gerry L.; Williams, Arlington W.
  • Erschienen: The Econometric Society, 1988
  • Erschienen in: Econometrica, 56 (1988) 5, Seite 1119-1151
  • Sprache: Englisch
  • ISSN: 0012-9682; 1468-0262
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  • Beschreibung: Spot asset trading is studied in an environment in which all investors receive the same dividend from a known probability distribution at the end of each of T = 15 (or 30) trading periods. Fourteen of twenty-two experiments exhibit price bubbles followed by crashes relative to intrinsic dividend value. When traders are experienced this reduces, but does not eliminate, the probability of a bubble. The regression of changes in mean price on lagged excess bids (number of bids minus the number of offers in the previous period), P"t - P"t-1 = @a = @b(B"t"-"1 - O"t"-"1), supports the hypothesis that -@a = E(d), the one-period expected value of the dividend, and that @b > O, where excess bids is a surrogate measure of excess demand arising from homegrown capital gains (losses) expectations. Thus when (B"t"-"1 - O"t"_"1) goes to zero we have convergence to rational expectations in the sense of Fama (1970), that arbitrage becomes unprofitable. The observed bubble phenomenon can also be interpreted as a form of temporary myopia (Tirole, 1982) from which agents learn that capital gains expectations are only temporarily sustainable, ultimately inducing common expectations, or "priors" (Tirole, 1982). Four of twenty-six experiments, all using experienced subjects, yield outcomes that appear to the "chart's eye" to converge "early" to rational expectations, although even in these cases we get @b > O, and small price fluctuations of a few cents that invite "scalping."