Coordination of Expectations in Asset Pricing Experiments
通过实验研究参与者如何在没有市场均衡方程知识的情况下形成价格预期，发现实际价格偏离基本面并呈现振荡或缓慢收敛，且参与者会协调采用共同的预测策略。
We investigate expectation formation in a controlled experimental environment. Subjects are asked to predict the price in a standard asset pricing model. They do not have knowledge of the underlying market equilibrium equations, but they know all past realized prices and their own predictions. Aggregate demand for the risky asset depends upon the forecasts of the participants. The realized price is then obtained from market equilibrium with feedback from six individual expectations. Realized prices differ significantly from fundamental values and typically exhibit oscillations around, or slow convergence to, this fundamental. In all groups participants coordinate on a common prediction strategy. Copyright 2005, Oxford University Press.