Bubbles, crashes, and endogenous uncertainty in linked asset and product markets

• Autores: Taylor Jaworski, Erik O. Kimbrough
• Localización: International economic review, ISSN-e 1468-2354, Vol. 57, Nº. 1, 2016, págs. 155-176
• Idioma: inglés
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• Resumen

  • In laboratory asset markets, subjects trade shares of a firm whose profits in a linked product market determine dividends. Treatments vary whether dividend information is revealed once per period or in real time and whether the firm is controlled by a profit-maximizing robot or human subject. The latter variation induces uncertainty about firm behavior, bridging the gap between laboratory and field markets. Our data replicate well-known features of laboratory asset markets (e.g., bubbles), suggesting these are robust to a market-based dividend process. Compared to a sample of previous experiments, both real-time information revelation and endogenous uncertainty impede the bubble-mitigating impact of experience.