Pricing Indefinitely Lived Assets: Experimental Evidence

42 Pages Posted: 16 Jul 2019 Last revised: 9 Sep 2021

See all articles by John Duffy

John Duffy

University of California, Irvine

Janet Jiang

Bank of Canada

Huan Xie

Concordia University

Multiple version iconThere are 2 versions of this paper

Date Written: July 9, 2019


We study indefinitely-lived assets in experimental markets and find that the traded prices of these assets are on average about 40\% of the risk neutral fundamental value. Neither uncertainty about the value of total dividend payments nor horizon uncertainty about the duration of trade can account for this low traded price, while the temporal resolution of payoff uncertainty plays a crucial role. We show that an Epstein and Zin (1989) recursive preference specification together with probability weighting can rationalize the low traded prices observed in our indefinite-horizon asset markets, while risk attitudes do not play such an important role.

Keywords: asset pricing, behavioral finance, experiments, indefinite horizon, random termination, risk and uncertainty, expected utility, Epstein-Zin recursive preferences, probability weighting

JEL Classification: C91, C92, D81, G12

Suggested Citation

Duffy, John and Jiang, Janet and Xie, Huan, Pricing Indefinitely Lived Assets: Experimental Evidence (July 9, 2019). Available at SSRN: or

John Duffy

University of California, Irvine ( email )

Department of Economics
3151 Social Science Plaza
Irvine, CA 92697
United States
949-824-8341 (Phone)

Janet Jiang (Contact Author)

Bank of Canada ( email )

234 Wellington St.
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Huan Xie

Concordia University ( email )

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Montreal, Quebec H3G 1M8

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