On booms that never bust: ambiguity in experimental asset markets with bubbles
Article
Corgnet, B., Hernan-Gonzalez, R. and Kujal, P. 2020. On booms that never bust: ambiguity in experimental asset markets with bubbles. Journal of Economic Dynamics and Control. 110. https://doi.org/10.1016/j.jedc.2019.103754
Type | Article |
---|---|
Title | On booms that never bust: ambiguity in experimental asset markets with bubbles |
Authors | Corgnet, B., Hernan-Gonzalez, R. and Kujal, P. |
Abstract | We study the effect of ambiguity on the formation of bubbles and crashes in experimental asset markets à la Smith, Suchanek, and Williams (1988) by allowing for ambiguity in the fundamental value of the asset. Although bubbles form in both the ambiguous and the risky environments we find that asset prices tend to be lower when the fundamental value is ambiguous than when it is risky. Bubbles do not crash in the ambiguous case whereas they do so in the risky one. These findings, regarding depressed prices and the absence of crashes in the presence of ambiguity, are in line with recent theoretical work stressing the crucial role of ambiguity to account for surprisingly low equity prices (high returns) as well as herding in asset markets. |
Publisher | Elsevier |
Journal | Journal of Economic Dynamics and Control |
ISSN | 0165-1889 |
Publication dates | |
Online | 17 Sep 2019 |
01 Jan 2020 | |
Publication process dates | |
Deposited | 20 Sep 2019 |
Accepted | 15 Sep 2019 |
Output status | Published |
Accepted author manuscript | License |
Copyright Statement | © 2019. This author's accepted manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/ |
Digital Object Identifier (DOI) | https://doi.org/10.1016/j.jedc.2019.103754 |
Language | English |
https://repository.mdx.ac.uk/item/88750
Download files
Accepted author manuscript
47
total views17
total downloads1
views this month0
downloads this month