Asset price volatility and investment horizons: An experimental investigation
| Autor: | Mikhail Anufriev, Aleksei Chernulich, Jan Tuinstra |
|---|---|
| Přispěvatelé: | Faculteit Economie en Bedrijfskunde, Equilibrium, Expectations & Dynamics / CeNDEF (ASE, FEB), Behavioural Economics |
| Jazyk: | angličtina |
| Rok vydání: | 2022 |
| Předmět: |
Organizational Behavior and Human Resource Management
Economics and Econometrics Horizon (archaeology) Economics Experimental economics Investment (macroeconomics) Behavioral economics Econometrics Capital asset pricing model Statistical dispersion Asset (economics) Volatility (finance) 1401 Economic Theory 1402 Applied Economics 1403 Econometrics |
| Zdroj: | Journal of Economic Behavior and Organization, 193, 19-48. Elsevier |
| ISSN: | 0167-2681 |
| Popis: | We study the effects of the investment horizon on asset price volatility using a Learning to Forecast laboratory experiment. We find that, for short investment horizons, participants coordinate on self-fulfilling trend-extrapolating predictions. Price deviations are then reinforced and amplified, possibly leading to large bubbles and crashes in asset prices. For longer investment horizons such bubbles do not emerge and price volatility tends to be lower. This is due to the fact that, for longer horizons, there is more dispersion in participants’ forecasts, and participants extrapolate trends in past prices to a lesser extent. We also show that, independent of the investment horizon, if the initial history of asset prices is already relatively stable before participants start their prediction task, price volatility remains small, with prices close to their fundamental values for the duration of the experiment. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|
Full Text from ScienceDirect