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

博士论文改进：资产市场谈判的实验室研究

• 批准号: 9710048
• 负责人: Richard Day
• 金额: $ 0.51万
• 依托单位: University of Southern California
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 1997
• 资助国家: 美国
• 起止时间: 1997-09-01 至 1999-08-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=9710048&HistoricalAwards=false
• 关键词: Doctoral; Dissetation; Improvement; Laboratory; Study

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.

项目抽象家庭在不同类别的资产之间分配他们的财富。对这些资产进行分类的一种方法是根据它们进行交易的机构。一些资产在拍卖机构进行交易，如公司的股票，而另一些资产则不经常在涉及搜索和讨价还价的机构进行交易。为便于阐述，我将这些类别分别称为金融资产和实物资产。不充分的数据使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来优化投资组合的资产集的子集，或者它们是否是一种不属于金融范式的独特类型的商品。这个问题可以通过考察实际资产的回报如何根据实际收益的变化进行调整来回答，因为在金融资产回报的情况下，它们的每期收益。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受试者行为的外生性。第二种类型有基于价格变化的回报。为了考察机构的影响，第二类资产在两种类型的机构下交易。首先，它在双向拍卖机构进行交易，该机构经常被用来组织金融资产交易。这建立了一个基准，表明在一家此前被证明具有卓越业绩特征的机构中，相对于风险中性的资产定价公式，主体能够对一项资产进行多好的定价。在另一种处理方法中，资产在一个类似于住宅和小企业等各种实物一般交易的机构下交易。这一制度的显著特点是，卖家通过广告价格吸引买家，买家和卖家通过发送具有约束力的报价进行谈判，讨价还价没有绝对的时间限制。在拟议的实施中，受试者可获得的信息类似于自然发生的市场中可获得的信息。这一项目具有理论和政策意义。从理论上讲，这个实验有助于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，例如：资产的块状、期货合约的缺失、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。这也将为真实资产交易机构如何平滑数据提供洞察。这项研究产生的实验室数据也将帮助我们理解房地产周期。归根结底，更好的区域经济稳定政策可能源于对这些资产市场如何运作的更好理解。