Understanding misunderstanding in experimental asset markets
通过实验室市场实验，研究了交易者自身误解（一阶误解）和利用他人误解（高阶误解）对资产错误定价的影响，发现两者均与错误定价相关。
Trader misunderstanding is believed to contribute to mispricing in experimental asset markets. However, it remains unclear to what degree mispricing is driven by traders’ own misunderstanding (‘first-order misunderstanding’) and/or their attempts to capitalize on beliefs of others’ misunderstanding (‘higher-order misunderstanding’). In a laboratory market setting, we pair a standard double auction market design using a declining-value asset accompanied with questions prompting traders for forecasts of both future intrinsic cash flows and future bid and ask values. We observe that traders frequently forecast different values for future intrinsic cash flows than for future bids and asks. Many traders who provide accurate intrinsic cash flow forecasts nevertheless purchase assets above their forecasts. When doing so, these traders generally express expectations of future bids that exceed forecasted intrinsic cash flows. We also observe that both trader’s first-order misunderstanding of asset fundamentals and higher-order beliefs of other traders’ misunderstanding are separately related to mispricing.