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首页> 外文期刊>Journal of Economic Dynamics and Control >Underreaction To Fundamental Information And Asymmetry In Mispricing Between Bullish And Bearish Markets. An Experimental Study
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Underreaction To Fundamental Information And Asymmetry In Mispricing Between Bullish And Bearish Markets. An Experimental Study

机译：牛市和熊市之间对基本信息的反应不足和不对称。实验研究

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摘要

In contrast to existing literature we implement experimental asset markets with fluctuating fundamental values following a stochastic process. Therefore we can measure traders' behavior in both bullish and bearish markets. We observe underreaction of price changes to changes in fundamental value which induces overvaluation in bearish and undervaluation in bullish markets. We also find an asymmetry between markets with bullish fundamental values and those with bearish ones as the former markets show a higher degree of informational efficiency. The reason for the observed underreaction lies in the relatively large volatility of the underlying fundamental value process.
机译：与现有文献相反，我们通过随机过程实现具有波动的基本价值的实验性资产市场。因此，我们可以衡量在看涨和看跌市场中交易者的行为。我们观察到价格变化对基本价值变化的反应不足，从而导致空头高估和看涨市场低估。我们还发现基本价值看涨的市场与看跌基本价值的市场之间存在不对称，因为以前的市场显示出更高的信息效率。观察到的反应不足的原因在于潜在的基础价值过程的相对较大的波动性。

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