University of Melbourne
Institutional Affiliation: University of Melbourne
Information about this author at RePEc
NBER Working Papers and Publications
|May 2013||'Lucas' In The Laboratory|
with Elena Asparouhova, Nilanjan Roy, William Zame: w19068
This paper reports on experimental tests of an instantiation of the Lucas asset pricing model with heterogeneous agents and time-varying private income streams. Central features of the model (infinite horizon, perishability of consumption, stationarity) present difficult challenges and require a novel experimental design. The experimental evidence provides broad support for the qualitative pricing and consumption predictions of the model (prices move with fundamentals, agents smooth consumption) but sharp differences from the quantitative predictions emerge (asset prices display excess volatility, agents do not hedge price risk). Generalized Method of Moments (GMM) tests of the stochastic Euler equations yield very different conclusions depending on the instruments chosen. It is suggest...
Published: ELENA ASPAROUHOVA & PETER BOSSAERTS & NILANJAN ROY & WILLIAM ZAME, 2016. "“Lucas” In The Laboratory," The Journal of Finance, , pages n/a-n/a.
|November 2012||Using Neural Data to Test a Theory of Investor Behavior: An Application to Realization Utility|
with Cary Frydman, Nicholas Barberis, Colin Camerer, Antonio Rangel: w18562
We use measures of neural activity provided by functional magnetic resonance imaging (fMRI) to test the "realization utility" theory of investor behavior, which posits that people derive utility directly from the act of realizing gains and losses. Subjects traded stocks in an experimental market while we measured their brain activity. We find that all subjects exhibit a strong disposition effect in their trading, even though it is suboptimal. Consistent with the realization utility explanation for this behavior, we find that activity in the ventromedial prefrontal cortex, an area known to encode the value of options during choices, correlates with the capital gains of potential trades; that the neural measures of realization utility correlate across subjects with their individual tendency ...
Published: Using Neural Data to Test a Theory of Investor Behavior: An Application to Realization Utility CARY FRYDMAN, NICHOLAS BARBERIS, COLIN CAMERER, PETER BOSSAERTS andANTONIO RANGEL† Article first published online: 17 MAR 2014 DOI: 10.1111/jofi.12126 © 2014 the American Finance Association Issue The Journal of Finance The Journal of Finance Volume 69, Issue 2, pages 907–946, April 2014