Doctoral Dissetation Improvement: A Laboratory Study of Asset Markets with Negotiation

家庭在不同类别的资产之间分配财富。对这些资产进行分类的一种方法是根据它们交易的机构进行分类。有些资产在拍卖机构中交易，例如公司的股票，而其他资产在涉及搜索和讨价还价的机构中不经常交易。为了便于说明，我将这两类分别称为金融资产和实物资产。由于数据不足，计量经济学家无法果断地确定实物资产是否应该被视为家庭用于优化其投资组合的资产集的子集，或者它们是否属于不属于金融范式的独特类型的商品。这个问题可以通过观察实物资产的回报如何根据金融资产回报的实际每期收益的变化进行调整来回答。在拟议的研究中，实验室中的受试者可以选择在两种类型的资产之间分配他们的财富。第一种类型的回报率是主体行为的外生。第二种是基于价格变化的回报。为了检验机构的影响，第二类资产在两类机构下进行交易。一是在双拍卖机构中进行交易，经常用于组织金融资产的交易。这就建立了一个基准，即在一个先前显示出具有优越业绩特征的机构中，受试者相对于风险中性资产定价公式对资产进行定价的能力。在另一种情况下，资产在一个类似于异质实物一般交易（如家庭和小企业）的机构下进行交易。这种制度的显著特征是卖方通过广告价格吸引买方，买方和卖方通过发送有约束力的报价进行谈判，并且没有对议价施加绝对的时间限制。在拟议的实施中，主体可获得的信息与自然发生的市场中可获得的信息相似。该项目具有理论和政策意义。从理论上讲，这个实验帮助我们理解为什么资产定价模型不能很好地解释实际资产价格。这通常归因于许多因素，如：资产的块状，期货合约的缺乏，不正确的预期和信息不对称。该项目将交易机构的影响作为一种可能的解释加以隔离。这也将让我们深入了解真实资产交易机构如何对数据进行平滑处理。本研究产生的实验室数据也将帮助我们了解房地产周期。最终，更好的地区经济稳定政策可能导致对这些资产市场如何运作的更好理解。

Project abstract Households allocate their wealth between different classes of assets. One way to classify these assets is by the institution in which they trade. Some assets are traded in an auction institution, such as shares of a corporation, while others trade infrequently in an institution which involves search and bargaining. For ease of exposition, I refer to these classes as financial and real assets respectively. Inadequate data has prevented econometricians from decisively determining whether real assets should be considered a subset of the set of assets households use to optimize their portfolio or if they are a distinct type of good that does not belong in the finance paradigm. This question can be answered by looking at how the returns on real assets adjust to changes in real their per-period benefits given returns on financial assets. In the proposed study, subjects in the laboratory have the option of allocating their wealth between two types of assets. The first type has a rate of return which is exogenous of a subject's actions. The second type has a return based on an price changes. To examine the impact of institutions, the second type of asset is traded under two types of institutions. First, it is traded in a double auction institution, which is frequently used to organize trade of financial assets. This establishes a baseline of how well subjects are able to price an asset relative to a risk-neutral asset pricing formula in an institution previously shown to have superior performance characteristics. In another treatment, the asset trades under an institution similar to the one in which heterogeneous real goods general trade, such as homes and small businesses. The salient features of this institution are that sellers attract buyers by advertising a price, buyers and sellers negotiate by sending binding offers, and no absolute time restriction on bargaining is imposed. In the proposed implementation, the information available to subjects is similar to what is available in naturally occurring markets. This project has theoretical and policy implications. Theoretically, this experiment help us understand why real assets prices are not well explained by asset pricing models. This is typically attributed to a number of factors such as: the lumpiness of the asset, absence of futures contracts, incorrect expectations, and asymmetric information. This project isolates the impact of trading institutions as a possible explanation. This will also provide insight into how data are smoothed by real asset trading institutions. Laboratory data generated by this study will also help us understand the Real Estate cycle. Ultimately, better regional economic stabilization policy could result form a better understanding of how these asset markets work.