Multi-period experimental asset markets with distinct fundamental value regimes
在统一框架下分析五种基础价值机制（递减、恒定、随机波动、递增）对多期实验资产市场价格调整过程的影响，发现恒定机制下定价有效，递减机制下高估，递增机制下低估，且买卖价差和价格波动与错误定价正相关。
Abstract In this methodological study we analyze price adjustment processes in multi-period laboratory asset markets with five distinct fundamental value (FV) regimes in a unified framework. Minimizing the effect of between-treatment variations we run markets with deterministically decreasing, constant, randomly fluctuating and—as main innovation—markets with deterministically increasing FVs. We find (i) efficient pricing in markets with constant FVs, (ii) overvaluation in markets with decreasing FVs, and (iii) undervaluation in markets with increasing FVs. (iv) Markets with randomly fluctuating fundamentals show overvaluation when FVs predominantly decline and undervaluation when FVs are mostly upward-sloping. Finally, we document that (v) bid-ask spreads and volatility of price changes are positively correlated with mispricing across regimes. The main contribution of the paper is to provide clean comparisons between distinct FV regimes, in particular between markets with increasing FVs and other regimes.