Showing 1 – 2 of 2 results.
Self-published
Data and Code for "Time pressure reduces financial bubbles: Evidence from a forecasting experiment" (ICPSR 238461)
Released/updated on: 2025-09-29
We investigate whether time pressure exacerbates or mitigates bubbles in laboratory experiments. We find that under high time pressure price volatility is lower and market prices are closer to their fundamental value. This is due to participants using simpler adaptive forecasting strategies, instead of the self-reinforcing extrapolative expectations that they use under low time pressure, and which are conducive to the emergence of bubbles. In addition, by substantially increasing the number of decision periods in our experiment, we find that in the long run prices eventually tend to converge to their fundamental value, also in the absence of time pressure.
Self-published
Replication data for: Evolutionary Selection of Individual Expectations and Aggregate Outcomes in Asset Pricing Experiments (ICPSR 114401)
Released/updated on: 2019-10-12
In recent "learning to forecast" experiments (Hommes et al. 2005), three different patterns in aggregate price behavior have been observed: slow monotonic convergence, permanent oscillations, and dampened fluctuations. We show that a simple model of individual learning can explain these different aggregate outcomes within the same experimental setting. The key idea is evolutionary selection among heterogeneous expectation rules, driven by their relative performance. The out-of-sample predictive power of our switching
model is higher compared to the rational or other homogeneous expectations benchmarks. Our results show that heterogeneity in expectations is crucial to describe individual forecasting and aggregate price behavior. (JEL C53, C91, D83, D84, G12)