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Learning from Unrealized versus Realized Prices
- Source :
- American Economic Journal: Microeconomics. 13:174-201
- Publication Year :
- 2021
- Publisher :
- American Economic Association, 2021.
-
Abstract
- Our experiments investigate the extent to which traders learn from the price, differentiating between situations where orders are submitted before versus after the price has realized. In simultaneous markets with bids that are conditional on the price, traders neglect the information conveyed by the hypothetical value of the price. In sequential markets where the price is known prior to the bid submission, traders react to price to an extent that is roughly consistent with the benchmark theory. The difference’s robustness to a number of variations provides insights about the drivers of this effect. (JEL D44, D82, D84, G12, G14)
- Subjects :
- Rational expectations
050208 finance
05 social sciences
Event study
TheoryofComputation_GENERAL
Information asymmetry
Benchmark (surveying)
0502 economics and business
Value (economics)
Econometrics
Economics
ComputingMilieux_COMPUTERSANDSOCIETY
Insider trading
050207 economics
Robustness (economics)
General Economics, Econometrics and Finance
Subjects
Details
- ISSN :
- 19457685 and 19457669
- Volume :
- 13
- Database :
- OpenAIRE
- Journal :
- American Economic Journal: Microeconomics
- Accession number :
- edsair.doi...........1481e6937338eba0f72bece011a88900