The paper asserts that the misperceptions of noise traders are a behavioral bias characterized by overreactions. By introducing the overreaction coefficient, we provide an explanation for the volatility of asset price...The paper asserts that the misperceptions of noise traders are a behavioral bias characterized by overreactions. By introducing the overreaction coefficient, we provide an explanation for the volatility of asset prices and bubbles in a simplified framework that is similar to the DSSW （1990a） model. When the underlying asset is involved with a fundamental shock, noise traders will generally overreact to it, which creates an ＂overreaction risk＂. This kind of risk will make the asset prices more volatile, and even make up asset bubbles. Therefore, asset bubbles can be regarded as a psychological phenomenon, and are actually the results of the psychological changing process of noise traders.展开更多
This study examines the role of market sentiment in predicting the price bubbles of four strategic metal commodities(gold,silver,palladium,and platinum)from January 1985 to August 2020.It is the first to investigate t...This study examines the role of market sentiment in predicting the price bubbles of four strategic metal commodities(gold,silver,palladium,and platinum)from January 1985 to August 2020.It is the first to investigate this topic using sentiment indices,including news-based economic and consumer-based sentiments developed using different methods.We observed the role of sentiment as a reliable indicator of future bubbles for some metal commodities and found that bubbles were regularly concomi-tant with bearish sentiments for gold and platinum.Moreover,gold and palladium were the only commodities that experienced a bubble during the COVID-19 pandemic.Overall,our findings suggest inclusion of sentiment to the model that predicts the price bubbles of precious metals.展开更多
We explore the effects of competitive incentives and of their time horizon on the evolution of both asset prices and trading activity in experimental asset markets.We compare(i)a no-bonus treatment;(ii)a short-term bo...We explore the effects of competitive incentives and of their time horizon on the evolution of both asset prices and trading activity in experimental asset markets.We compare(i)a no-bonus treatment;(ii)a short-term bonus treatment in which bonuses are assigned to the best performers at the end of each trading period;(iii)a long-term bonus treatment in which bonuses are assigned to the best performers at the end of the 15 periods of the market.We find that the existence of bonus contracts does not increase the likelihood of bubbles but it affects their severity,depending on the time horizon of bonuses.Markets with longterm bonus contracts experience lower price deviations and a lower turnover of assets than markets with either no bonuses or long-term bonus contracts.Short-term bonus contracts increase price deviations but only when markets include a higher share of male traders.At the individual level,the introduction of bonus contracts increases the trading activity of males,probably due to their higher competitiveness.展开更多
文摘The paper asserts that the misperceptions of noise traders are a behavioral bias characterized by overreactions. By introducing the overreaction coefficient, we provide an explanation for the volatility of asset prices and bubbles in a simplified framework that is similar to the DSSW （1990a） model. When the underlying asset is involved with a fundamental shock, noise traders will generally overreact to it, which creates an ＂overreaction risk＂. This kind of risk will make the asset prices more volatile, and even make up asset bubbles. Therefore, asset bubbles can be regarded as a psychological phenomenon, and are actually the results of the psychological changing process of noise traders.
基金financed by United Arab Emirates University(Grand Number 31B135-UPAR-3-2020)。
文摘This study examines the role of market sentiment in predicting the price bubbles of four strategic metal commodities(gold,silver,palladium,and platinum)from January 1985 to August 2020.It is the first to investigate this topic using sentiment indices,including news-based economic and consumer-based sentiments developed using different methods.We observed the role of sentiment as a reliable indicator of future bubbles for some metal commodities and found that bubbles were regularly concomi-tant with bearish sentiments for gold and platinum.Moreover,gold and palladium were the only commodities that experienced a bubble during the COVID-19 pandemic.Overall,our findings suggest inclusion of sentiment to the model that predicts the price bubbles of precious metals.
基金Financial support from Agence Nationale de la Recherche[Grant No.ANR BLAN07-3_185547,EMIR project]is gratefully acknowledgedThis project has been performed in the framework of the LABEX CORTEX[ANR-11-LABX-0042]of Universite de Lyon,within the program Investissements d’Avenir[ANR-11-IDEX-007]operated by Agence Nationale de la Recherche(ANR).
文摘We explore the effects of competitive incentives and of their time horizon on the evolution of both asset prices and trading activity in experimental asset markets.We compare(i)a no-bonus treatment;(ii)a short-term bonus treatment in which bonuses are assigned to the best performers at the end of each trading period;(iii)a long-term bonus treatment in which bonuses are assigned to the best performers at the end of the 15 periods of the market.We find that the existence of bonus contracts does not increase the likelihood of bubbles but it affects their severity,depending on the time horizon of bonuses.Markets with longterm bonus contracts experience lower price deviations and a lower turnover of assets than markets with either no bonuses or long-term bonus contracts.Short-term bonus contracts increase price deviations but only when markets include a higher share of male traders.At the individual level,the introduction of bonus contracts increases the trading activity of males,probably due to their higher competitiveness.
