MARKET EFFICIENCY: EVIDENCE FROM A NO-BUBBLE ASSET MARKET EXPERIMENT

被引：32
|
作者：
Lei, Vivian [1 ,2 ]
Vesely, Filip
机构：
[1] Univ Wisconsin, Dept Econ, Milwaukee, WI 53201 USA
[2] City Univ Hong Kong, Hong Kong, Hong Kong, Peoples R China
来源：
PACIFIC ECONOMIC REVIEW | 2009年 / 14卷 / 02期
关键词：
CAPITAL-MARKETS; RATIONALITY; CRASHES;
D O I：
10.1111/j.1468-0106.2009.00444.x
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We report the results of an experiment that demonstrates that market experience is not necessary to eliminate bubbles in the type of asset markets studied in Smith et al. (1988). We introduce a pre-market phase in which subjects experience a dividend flow themselves by literally observing and receiving dividends for 12 periods. The robust bubble-crash phenomenon never occurs in our experiment. Our results provide strong evidence that so long as a majority of the subjects have full understanding of the structure of the dividend, market efficiency can be ensured.
引用
收藏
页码：246 / 258
页数：13
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