@article{97ce51439ccc412a9f6512be278d46de,
title = "Heterogeneity of beliefs and trade in experimental asset markets",
abstract = "We investigate the relationship between traders' expectations and market outcomes with experimental asset market data. The data show that those who have high price expectations buy more frequently and submit higher bids, and those who hold low price expectations sell more frequently and submit lower bids. Traders who have more accurate expectations achieve greater earnings. Simulations using only belief data reproduce the pricing patterns observed in the market well, indicating that the heterogeneity of expectations is a key to explaining market activity.",
author = "Carl{\'e}, {Tim A.} and Yaron Lahav and Tibor Neugebauer and Noussair, {Charles N.}",
note = "Funding Information: Carl{\'e} Tim A. Lahav Yaron Neugebauer Tibor Noussair Charles N. * 1 * Carl{\'e}, tim.a.carle@gmail.com , University of Luxembourg; Lahav, ylahav@som.bgu.ac.il , Ben-Gurion University of the Negev; Neugebauer, tibor.neugebauer@uni.lu , University of Luxembourg; and Noussair (corresponding author), cnoussair@email.arizona.edu , University of Arizona. 1 We gratefully acknowledge the comments of participants at the 2015 Experimental Finance Conference, the 2015 International Meeting on Experimental and Behavioral Sciences, the 2015 Thurgau Experimental Economics Meeting on Formation and Elicitation of Beliefs, and the 2017 Economic Science Association Meetings. We thank Iv{\'a}n Barreda-Tarrazona, Andreas Chouliaras, Sascha F{\"u}llbrunn, Nikolaos Georgantzis, Harry Grammatikos, Jarrad Harford (the editor), Ernan Haruvy, Cars Hommes, Julien Penasse, Marc-Oliver Rieger, and Jang Schiltz for their comments, which helped to improve the paper. The scientific research presented in this publication was financially supported by the National Research Fund of Luxembourg (F2R-368 LSF-PMA-13SYSB). Part of this paper was written while Neugebauer was at the University Jaume I, Castellon, Spain. 18 12 2018 02 2019 54 1 215 245 Copyright {\textcopyright} Michael G. Foster School of Business, University of Washington 2018 2018 Michael G. Foster School of Business, University of Washington We investigate the relationship between traders{\textquoteright} expectations and market outcomes with experimental asset market data. The data show that those who have high price expectations buy more frequently and submit higher bids, and those who hold low price expectations sell more frequently and submit lower bids. Traders who have more accurate expectations achieve greater earnings. Simulations using only belief data reproduce the pricing patterns observed in the market well, indicating that the heterogeneity of expectations is a key to explaining market activity. pdf S0022109018000571a.pdf Publisher Copyright: Copyright {\textcopyright} Michael G. Foster School of Business, University of Washington 2018.",
year = "2019",
month = feb,
day = "1",
doi = "10.1017/S0022109018000571",
language = "English (US)",
volume = "54",
pages = "215--245",
journal = "Journal of Financial and Quantitative Analysis",
issn = "0022-1090",
publisher = "Cambridge University Press",
number = "1",
}