A test of the Modigliani-Miller theorem, dividend policy and algorithmic arbitrage in experimental asset markets
通过实验检验莫迪利亚尼-米勒定理，发现当两只资产的股利支付顺序独立时，一价定律失效，除非有算法套利者参与。
Modigliani and Miller showed the market value of the company is independent of its capital structure, and suggested that dividend policy makes no difference to this law of one price. We experimentally test the Modigliani-Miller theorem in a complete market with two simultaneously traded assets, employing two experimental treatment variations. The first variation involves the dividend stream. According to this variation the dividend payment order is either identical or independent. The second variation involves the market participation, or not, of an algorithmic arbitrageur. We find that Modigliani-Miller’s law of one price can be supported on average with or without an arbitrageur when dividends are identical. The law of one price breaks down when dividend payment order is independent unless there is arbitrageur participation.