Asset Characteristics and Boom and Bust Periods: An Experimental Study
通过实验研究交易成本、卖空限制和资产可分性对市场效率的影响，发现交易成本减少泡沫幅度，卖空限制延长泡沫，而房地产市场的价格偏离更大。
We examine the impact of transaction costs, short selling restrictions and divisibility of assets on market efficiency in experimental asset markets. We find that transaction costs do not exacerbate the inefficiency of the market. They reduce the magnitude of bubbles and push prices closer to fundamentals. More divisible assets exhibit smaller deviations of prices from fundamentals. Short selling restrictions contribute to prolonged bubbles, while relaxing them increases the occurrence of “bust cycles.” We also find that experimental real estate markets display larger deviations of prices from fundamental values, longer boom and bust cycles and smaller turnover than experimental financial markets.