Multi-period experimental asset markets with distinct fundamental value regimes

摘要

In this methodological study we analyze price adjustment processes in multi-period laboratory asset markets with five distinct fundamental value regimes in a unified framework. Minimizing the effect of between-treatment variations we run markets with deterministically decreasing, constant, randomly fluctuating and-as main innovation-markets with deterministically increasing s. We find (i) efficient pricing in markets with constant s, (ii) overvaluation in markets with decreasing s, and (iii) undervaluation in markets with increasing s. (iv) Markets with randomly fluctuating fundamentals show overvaluation when s predominantly decline and undervaluation when s are mostly upward-sloping. Finally, we document that (v) bid-ask spreads and volatility of price changes are positively correlated with mispricing across regimes. The main contribution of the paper is to provide clean comparisons between distinct regimes, in particular between markets with increasing s and other regimes.