The Robustness of Mispricing Results in Experimental Asset Markets

38 Pages Posted: 30 Jan 2017 Last revised: 13 May 2017

See all articles by Owen Powell

Owen Powell

University of Vienna - Department of Economics; Vienna Center for Experimental Economics

Natalia Shestakova

University of Vienna - Department of Economics

Date Written: May 12, 2017

Abstract

Many experiments have been conducted on market mispricing, however there is a distinct lack of guidance over how mispricing should be measured. This raises concerns about the sensitivity of mispricing results to variations in the measurement procedure. In this paper, we investigate the robustness of previous results with respect to four variations: the choice of interval length, the use of the bid-ask spread as a price proxy, the choice of aggregation function, and controlling for observable market characteristics. While a majority of previous results are unaffected, roughly 30% do change significance.

Keywords: Asset markets, Meta-study, Mispricing

JEL Classification: C43, C90, D49, D84, G14

Suggested Citation

Powell, Owen and Shestakova, Natalia, The Robustness of Mispricing Results in Experimental Asset Markets (May 12, 2017). Available at SSRN: https://ssrn.com/abstract=2907963 or http://dx.doi.org/10.2139/ssrn.2907963

Owen Powell (Contact Author)

University of Vienna - Department of Economics ( email )

Bruennerstrasse 72
Vienna, A-1210
Austria

Vienna Center for Experimental Economics ( email )

Oskar-Morgenstern-Platz 1
Vienna, Vienna 1090
Austria

Natalia Shestakova

University of Vienna - Department of Economics ( email )

Oskar-Morgenstern-Platz 1
Vienna, A-1090
Austria

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