Y2K Bibliography of Experimental Economics and Social Science
Asset Market Experiments

updated December 29, 1999
Charles A. Holt, cah2k@virginia.edu, suggestions and corrections welcome
(for online and personal use only)

Ackert, Lucy F., and Bryan K. Church (1998) “Information Dissemination and the Distribution of Wealth: Evidence from Experimental Asset Markets,” Journal of Economic Behavior and Organization, 37:3 (November), 357-371. Keywords: experiments, markets, asset markets, information aggregation, distribution of wealth, private information, experience effects, uninformed traders. Abstract: The paper uses experimental asset markets with insiders to evaluate the effects of experience on information aggregation. Private information is incomplete in the sense that it does not eliminate state uncertainty, and this information is fully disseminated, even with experienced traders. Insiders have higher earnings, but only in markets with inexperienced traders. Email Contact: lucy.ackert@atl.frb.org

Adams, Paul, Brian Kluger, and Mark McBride (1998) “Illustrating the Capital Asset Pricing Model: A Classroom Asset Market,” Miami University of Ohio, Discussion Paper, presented at the Fall 1998 ESA Meeting. Keywords: experiments, classroom games, asset markets, capital asset pricing. Email Contact: brian.kluger@uc.edu

Anderson, Scott, David Johnston, James Walker, and Arlington Williams (1991) “The Efficiency of Experimental Asset Markets: Empirical Robustness and Subject Sophistication,” in Research in Experimental Economics, Vol. 4, edited by R. M. Isaac, Greenwich, Conn.: JAI Press, 107-190. Keywords: experiments, markets, asset markets, experience effects, efficiency, perfect foresight equilibrium. Abstract This study replicates some early studies of asset market price convergence to rational expectations price predictions. Strong convergence is not obtained in a computerized environment unless subjects have considerable training and experience. Email Contact: walkerj@indiana.edu

Anderson, Matthew J., and Shyam Sunder (1995) “Professional Traders as Intuitive Bayesians,” Organizational Behavior and Human Decision Processes, 64185-202. Keywords: experiments, markets, asset markets, information processing, Bayes' rule. Email Contact: shyam.sunder@yale.edu

Anderson, Matthew J. (1999) “Replication in Laboratory Asset Markets,” Michigan State University, Keywords: experiments, markets, asset markets, Bayes' rule, video taping.

Ang, James S., and Thomas Schwarz (1985) “Risk Aversion and Information Structure: An Experimental Study of Price Volatility in the Securities Markets,” Journal of Finance, 40(July), 824-844*. Keywords: experiments, markets, asset markets, risk aversion, information.

Bagnoli, Mark, and Susan Watts (1997) “Prices and Market Making in Laboratory Order and Quote Driven Markets: The Private Information Case,” Purdue University, Discussion Paper. Keywords: experiments, markets, asset markets, orders, quotes, institutions, efficiency. Email Contact: mbagnoli@indiana.edu

Ball, Sheryl B., and Charles A. Holt (1998) “Classroom Games: Bubbles in an Asset Market,” Journal of Economic Perspectives, 12:1 (Winter), 207-218. Keywords: experiments, classroom games, asset markets, speculation, bubbles, discounting. Abstract: The classroom game describes a repeated asset market with stochastic dividends that can be used to motivate subsequent discussions of price bubbles, fundamental value, and expectations. Email Contact: sball@vt.edu

Banks, Jeffrey S. (1985) “Price-Conveyed Information vs. Observed Insider Behavior: A Note on Rational Expectations Convergence,” Journal of Political Economy, 93:4 807-815. Keywords: experiments, markets, asset markets, rational expectations, three state design. Email Contact: bnks@hss.caltech.edu

Bell, Christopher R. (1993) “Using a Noncomputerized Version of Williams and Walker's Stock Market Experiment in a Finance Course,” Journal of Economic Education, 24:4 (Fall), 317-323. Keywords: experiments, classroom games, markets, asset markets.

Berg, Joyce E., Robert Forsythe, and Thomas Rietz (1997) “The Iowa Electronic Market,” in The Blackwell Encyclopedic Distionary of Finance, edited by C. Cooper and C. Agyris, Oxford, U. K.: Blackwell, . Keywords: experiments, markets, asset markets, political stock markets. Email Contact: joyce-berg@uiowa.edu

Berg, Joyce E., Robert Forsythe, and Thomas Rietz (1997) “What Makes Markets Predict Well? Evidence From the Iowa Electronic Markets,” in Understanding Strategic Interaction: Essays in Honor of Reinhard Selden, edited by W. Albers, W. Guth, P. Hammerstein, B. Moldovanu and E. van Damme, Berlin: Springer, 441-463. Keywords: experiments, markets, asset markets, political stock markets, efficiency. Email Contact: joyce-berg@uiowa.edu

Biais, Bruno, and Sébastien Pouget (1999) “Learning Equilibrium in Experimental Financial Markets: Does Microstructure Matter?,” University of Toulouse, Discussion Paper, presented at the Fall 1999 European Regional ESA Meeting. Keywords: experiments, markets, asset markets, double auction, call market, differential information. Abstract: Asset market experiments with differential information about dividend payments are conducted under three institutions: double auction, call market, and "a preopening period" followed by a call market and then a double auction. The focus is on learning and information aggregation. Email Contact: pouget@gremaq.univ-tlse1.fr

Bienert, Horst, and Alexander Karmann (1998) “The Subscriber's Dilemma: Excess Demand in Experimental Stock Issuing,” Dresden, Discussion Paper, presented at the Summer 1998 ESA Meetings. Keywords: experiments, game theory, asset markets, stock issue, transactions costs, beauty contest guessing game. Abstract: Investors participating in an "oversubscribed" initital stock offering may have an incentive to overstate their intrinsic demands in order to obtain more shares if allocations are rationed in proportion to demand. The absence of a unique Nash equilibrium in this context is the motivation for the subscriber's dilemma experiments. Email Contact: karmann@rcs.urz.tu-dresden.de, horst.bienert@t-online.de

Bloomfield, Robert J. (1996) “The Interdependence of Reporting Discretion and Informational Efficiency in Laboratory Markets,” The Accounting Review, 71:4 493-511. Keywords: experiments, markets, information, asset markets, accounting. Email Contact: rjb9@cornell.edu

Bloomfield, Robert J. (1996) “Quotes, Prices and Estimates in a Laboratory Market,” Journal of Finance, 511791-1808. Keywords: experiments, markets, asset markets, auctions, dealer intermediation, price formation. Email Contact: rjb9@cornell.edu

Bloomfield, Robert J., and Maureen O'Hara (1998) “Does Order Preferencing Matter?,” Journal of Finance, 503-37. Keywords: experiments, markets, asset markets, auctions, dealers, order preferencing. Email Contact: rjb9@cornell.edu

Bloomfield, Robert J., and Marueen O'Hara (1999) “Market Transparency: Who Wins and Who Loses?,” Review of Financial Studies, 155-35. Keywords: experiments, markets, asset markets, dealers, price information, quote information. Email Contact: rjb9@cornell.edu

Bonssort, P., Charles R. Plott, and D. Kleiman (1998) “Experimental Tests of the CAPM as a Model of Equilibrium in Financial Markets,” California Institute of Technology, Working Paper #1032. Keywords: experiments, markets, asset markets, CAPM, risk aversion. Email Contact: cplott@hss.caltech.edu

Burton, F. Greg, and Brad Tuttle (1999) “Market Behavior Under Information Overload Conditions,” University of South Carolina, Discussion Paper, presented at the Fall 1999 European Regional ESA Meeting. Keywords: experiments, markets, asset markets, double auction, information. Abstract: Information cues were provided about the values of assets being traded in double auction experiments. The effect of increasing the number of information cues (information overload) is investigated. Email Contact: tuttle@darla.badm.sc.edu

Cadsby, Charles B., Murray Frank, and Vojislav Maksimovic (1992) “Equilibrium Dominance in Experimental Financial Markets,” University of Guelph, Discussion Paper. Keywords: experiments, game theory, equilibrium dominance, asset markets.

Cadsby, Charles B., and Elizabeth Maynes (1999) “Voluntary Contribution of Threshold Public Goods with Continuous Provisions: Experimental Evidence,” Journal of Public Economics, 71:1 (January), 53-73. Keywords: experiments, public, voluntary contributions, threshold public goods, step-level public goods. Abstract: The experiment allows a continuous division of assets between private and a threshold public good. This non-binary structure raises contributions, which also increase with 1) a reduced threshold, 2) a money-back guarantee, and 3) high rewards.

Caginalp, Gunduz, David Porter, and Vernon L. Smith (2000) “Momentum and Overreaction in Experimental Asset Markets,” International Journal of Industrial Organization, 18:1 (January), 187-204. Keywords: experiments, markets, asset markets, capital/asset ratio, bubbles. Email Contact: caginalp@vms.cis.pitt.edu

Calegari, M., and N. Fargher (1997) “Evidence that Prices Do Not Fully Reflect the Implications of Current Earnings for Future Earnings,” Contemporary Accounting Research, 14:3 397-433. Keywords: experiments, decisions, forecasting, asset markets, finance, accounting, information, Bayes' rule.

Camerer, Colin F. (1989) “Bubbles and Fads in Asset Prices,” Journal of Economic Surveys, 33-41. Keywords: experiments, markets, asset markets, bubbles, fads, biases. Email Contact: camerer@hss.caltech.edu

Camerer, Colin (1992) “The Rationality of Prices and Volume in Experimental Markets,” Organizational Behavior and Human Decision Processes, 51237-272. Keywords: experiments, markets, asset markets, price formation, volume. Email Contact: camerer@hss.caltech.edu

Cason, Timothy N. (1999) “The Opportunity for Conspiracy in Asset Markets Organized with Dealer Intermediaries,” Review of Financial Studies, forthcoming. Keywords: experiments, markets, asset markets, collusion, limit orders, asymmetric information, adverse selection, efficiency. Abstract: Traders in an asset market experiments place orders through dealers, who are able to reduce informational efficiency and widen spreads when they are able to collude between periods. Allowing traders to post limit orders tends to restore efficiency and narrow spreads, even when dealers collude. Email Contact: cason@mgmt.purdue.edu

Charness, Gary, and Nuno Garoupa (1998) “Reputation and Honesty in a Market for Information,” Pompeu Fabra University, Discussion Paper, presented at the Summer 1998 ESA Meetings. Keywords: experiments, information, mixed strategy Nash equilibrium, reputations. Abstract: Subjects placed in the role of financial advisors have a short-term incentive to provide false information when the asset value is low. Reputation effects in fixed-pairings produce a high degree of truthful advice. Email Contact: charness@upf.es

Cherry, Todd L., Thomas D. Crocker, and Jason F. Shogren (1999) “Rationality Spillovers,” University of Wyoming, Discussion Paper. Keywords: experiments, markets, asset markets, rationality, preference reversal, contingent valuation. Email Contact: tlcherry@uwyo.edu

Chewning, Eugene, Maribeth Coller, and Brad Tuttle (1999) “Are Market Prices Revealing? Evidence from the Laboratory,” University of South Carolina, Discussion Paper. Keywords: experiments, markets, asset markets, information. Email Contact: mbeth@darla.badm.sc.edu

Coller, Maribeth (1996) “Information, Noise, and Asset Prices: An Experimental Study,” Review of Accounting Studies, 131-46. Keywords: experiments, markets, asset markets, information. Email Contact: mbeth@darla.badm.sc.edu

Copeland, Thomas E., and Daniel Friedman (1987) “The Effect of Sequential Information Arrival on Asset Prices: An Experimental Study,” Journal of Finance, 42:6 (July), 763-798. Keywords: experiments, markets, asset markets, information. Email Contact: dan@cats.ucsc.edu

Copeland, Thomas E., and Daniel Friedman (1991) “Partial Revelation of Information in Experimental Asset Markets,” The Journal of Finance, 46:1 (March), 265-295*. Keywords: experiments, markets, asset markets, asymmetric information. Email Contact: dan@cats.ucsc.edu

Coursey, Donald L., and Edward A. Dyl (1986) “Trading Suspensions, Daily Price Limits, and Information Efficiency: A Laboratory Examination,” in Laboratory Market Research, edited by Shane Moriarity, Norman, Oklahoma: University of Oklahoma, Center for Econometrics and Management Research, 153-168. Keywords: experiments, markets, asset markets, trading suspensions, bubbles. Email

Coursey, Donald L., and Edward A. Dyl (1990) “Price Limits, Trading Suspension, and the Adjustment of Prices to New Information,” Review of Futures Markets, 9343-360. Keywords: experiments, markets, asset markets, trading suspension, price limits, information.

Davis, Douglas D., and Charles A. Holt (1994) “The Virginia Senate Market,” University of Virginia, Discussion Paper. Keywords: experiments, markets, asset markets, political stock market, information. Abstract: A collection of political stock markets were run on the internet during the primaries and final election in the 1995 Virginia Senate race. The paper analyzes the relationship between market prices and developments in this colorful four-way race. Simple calculations based on primary and general election markets show that traders believed James Miller III would have a better chance than Ollie North of beating the Democratic incumbent, but Miller's stock traded at a lower price because of his lower chances of winning the Republican nomination. Email Contact: ddavis@busnet.bus.vcu.edu

DeJong, Douglas V., Robert Forsythe, Russell Ludholm, and Susan Watts (1992) “Do Prices Convey Information? Further Empirical Evidence,” in Research in Experimental Economics, Vol. 5, edited by R. M. Isaac, Greenwich, Conn.: JAI Press, 61-79. Keywords: experiments, markets, asset markets, information, methodology, computerization, oral double auction, computerized double auction, rational expectations. Abstract This paper examines the extent to which prices convey information to uninformed traders in a rational expectations equilibrium. The rational expectations predictions were reasonable accurate relative to some alternatives, although convergence was slower in computerized markets that conceal information about traders' identities, etc. Email Contact: dejong@blue.weeg.uiowa.edu

Dopuch, Nicholas, Ronald R. King, and David E. Wallin (1989) “The Use of Experimental Markets in Auditing Research: Some Initial Findings,” Auditing: A Journal of Practice & Theory, 8:Supp. 98-127. Keywords: experiments, information, disclosure, asset markets, asymmetric information. Abstract: Seller verification and buyer report mechanisms tend to increase efficiency in laboratory markets with asymmetric information.

Duh, Rong Ruey, and Shyam Sunder (1986) “Incentives, Learning, and Processing of Information in a Market Environment: An Examination of the Base-Rate Fallacy,” in Laboratory Market Research, edited by S. Moriarty, Norman, Ok.: University of Oklahoma, Center for Economic and Management Research, . Keywords: experiments, markets, asset markets, probability judgement, base-rate fallacy, Bayes' rule. Email Contact: shyam.sunder@yale.edu

Duh, Rong Ruey, and Shyam Sunder (1994) “Economic Agents as Intuitive Bayesians: Experimental Evidence,” Cuadernos Economicos, 54101-128. Keywords: experiments, markets, asset markets, probability judgement, base-rate fallacy, Bayes' rule. Email Contact: shyam.sunder@yale.edu

Flood, M., R. Huisman, K. Koedijk, and R. Mahieu (1999) “Quote Disclosure and Price Discovery in Multiple Dealer Financial Markets,” Review of Financial Studies, 1237-59. Keywords: experiments, markets, asset markets, continuous double auctions, quote information, transparency, dealers, professionals as subjects, methodology.

Fong, Christina, and Kevin A. McCabe (1999) “Elicited Values for Risky Assets: An Experimental Investigation,” University of Arizona, Discussion Paper, presented at the Spring 1999 Public Choice Meetings. Keywords: experiments, decisions, elicitation, risky assets, uncertainty.

Forsythe, Robert, Thomas R. Palfrey, and Charles R. Plott (1982) “Asset Valuation in an Experimental Market,” Econometrica, 50:3 (May), 537-568. Keywords: experiments, markets, asset markets, rational expectations. Email Contact: robert_forsythe@uiowa.edu

Forsythe, Robert, Thomas R. Palfrey, and Charles R. Plott (1984) “Futures Markets and Informational Efficiency: A Laboratory Examination,” Journal of Finance, 39(September), 955-981*. Keywords: experiments, markets, asset markets, information. Email Contact: robert_forsythe@uiowa.edu

Forsythe, Robert, and Russell Lundholm (1990) “Information Aggregation in an Experimental Market,” Econometrica, 58:2 (March), 309-347. Keywords: experiments, information, asset markets, information aggregation. Email Contact: robert_forsythe@uiowa.edu

Forsythe, Robert, Forrest Nelson, George R. Neumann, and Jack Wright (1991) “The Explanation and Prediction of Presidential Elections: A Market Alternative to Polls,” in Laboratory Research in Political Economy, edited by T. R. Palfrey, Ann Arbor: University of Michigan Press, 69-112. Keywords: experiments, markets, asset markets, political stock markets, information aggregation. Email Contact: robert_forsythe@uiowa.edu

Forsythe, Robert, Robert Nelson, George Neumann, and Jack Wright (1991) “The Iowa Presidential Stock Market: A Field Experiment,” in Research in Experimental Economics, Vol. 4, edited by R. M. Isaac, Greenwich, Conn.: JAI Press, 1-43. Keywords: experiments, markets, asset markets, double auction, political stock market, Iowa Presidential Stock Market, polls, efficiency, information. Abstract This paper describes the 1988 Iowa Presidential Stock Market. Price movements are compared with shifts in the polls. The stock prices "called" the outcome relatively early and showed less volatility than the major polls. Markets seemed to be relatively efficient mechanisms for aggregating information. Email Contact: robert_forsythe@uiowa.edu

Forsythe, Robert, Forrest Nelson, George R. Neumann, and Jack Wright (1991) “Forecasting the 1988 Presidential Election: A Field Experiment,” in Research in Experimental Economics, Vol. 4, Greenwich, Conn.: JAI Press, 1-44. Keywords: experiments, markets, asset markets, political stock markets. Email Contact: robert_forsythe@uiowa.edu

Forsythe, Robert, M. Frank, V. Krishnamurthy, and Thomas W. Ross (1995) “Using Market Prices to Predict Election Results: The 1993 UBC Election Stock Market,” Canadian Journal of Economics, 28:4 (November), 770-793. Keywords: experiments, markets, asset markets, political stock markets, information aggregation. Email Contact: robert_forsythe@uiowa.edu

Forsythe, Robert, M. Frank, V. Krishnamurthy, and Thomas W. Ross (1998) “Markets as Predictors of Election Outcomes: Campaign Events and Judgement Bias in the 1993 UBC Election Stock Market,” Canadian Journal of Public Policy, 24239-251. Keywords: experiments, markets, asset markets, political markets, elections, judgement bias. Email Contact: robert_forsythe@uiowa.edu

Forsythe, Robert, Russell Ludholm, and Thomas Rietz (1999) “Cheap Talk, Fraud and Adverse Selection in Financial Markets: Some Experimental Evidence,” Review of Financial Studies, 12481-518. Keywords: experiments, markets, asset markets, cheap talk, adverse selection. Email Contact: robert_forsythe@uiowa.edu

Friedman, Daniel, Glenn W. Harrison, and Jon W. Salmon (1984) “The Informational Efficiency of Experimental Asset Markets,” Journal of Political Economy, 92:3 (June), 349-408. Keywords: experiments, markets, asset markets, market efficiency. Email Contact: dan@cats.ucsc.edu

Friedman, Daniel (1993) “Privileged Traders and Market Efficiency: A Laboratory Study,” Journal of Financial and Quantitative Analysis, 28515-534. Keywords: experiments, markets, asset markets. Email Contact: dan@cats.ucsc.edu

Friedman, Daniel (1993) “How Trading Institutions Affect Financial Market Performance: Some Laboratory Evidence,” Economic Inquiry, 31(July), 410-435. Keywords: experiments, markets, asset markets, institutions. Email Contact: dan@cats.ucsc.edu

Friedman, Daniel (1995) “How Trading Institutions Affect Financial Market Performance: Some Laboratory Evidence,” Economic Inquiry, 31:3 (July), 410-435. Keywords: experiments, markets, asset markets, institutions. Email Contact: dan@cats.ucsc.edu

Ganguly, Amanda R., John H. Kagel, and Donald V. Moser (1998) “Do Asset Market Prices Reflect Traders' Judgment Biases?,” University of Pittsburgh, Discussion Paper, presented at the Summer 1998 ESA Meetings. Keywords: experiments, markets, asset markets, judgement biases, Bayes' rule, base rate fallacy. Abstract: Subjects are provided with prior and sample information about asset dividends, and probabilities are elicited before asset market trading. The base rate fallacy (ignoring the prior probabilities) persists in the market when the base-rate-fallacy traders have higher expected dividend values than those of Bayesian traders. Email Contact: kagel+@pitt.edu

Gillette, Anne B., Douglas E. Stevens, Susan G. Watts, and Williams Arlington W. (1999) “Price and Volume Reactions to Public Information Releases: An Experimental Approach Incorporating Traders' Subjective Beliefs,” ***, forthcoming. Keywords: experiments, markets, asset markets, information, price formation, public information, call markets, double auction markets, rational expectations, elicitation, forecasts, no-trade theorem. Abstract: Call market and double auctions with long-lived assets are used to study individual forecast and trading decisions. Each asset share paid a dividend at the end of period 15 that was the sum of five random draws that are publicly revealed at pre-announced intervals between trading periods. Trade seems to be motivated by differential processing of public information and by short term speculation.` Email Contact: agillette@gsu.edu

Harrison, Glenn W. (1992) “Market Dynamics, Programmed Traders and Futures Markets: Beginning the Laboratory Search for a Smoking Gun,” Economic Record, Supplement46-62. Keywords: experiments, markets, asset markets, programmed traders, price formation, speculation, bubbles. Email Contact: harrison@darla.badm.sc.edu

Holt, Charles A. (1986) “Discussant's Comments on: Incentives, Learning, and Processing of Information in a Market Environment: An Examination of the Base-Rate Fallacy,” in Laboratory Market Research, edited by S. Moriarity, Norman, Ok.: University of Oklahoma, 80-85. Keywords: experiments, markets, asset markets, Bayes' rule, base rate bias, risk aversion. Email Contact: holt@virginia.edu

Johnson, Dean L., B. Patrick Joyce, and Steven Elliott (1998) “Asset Markets and Circuit Breakers,” Miami University of Ohio, Discussion Paper, presented at the Fall 1998 ESA Meeting. Keywords: experiments, markets, asset markets, bubbles. Email Contact: pjoyce@mtu.edu

Kagan, Gary, Herbert Mayo, and Robert Stout (1995) “Risk-Adjusted Returns and Stock Market Games,” Journal of Economic Education, 26:1 (Winter), 39-50. Keywords: experiments, classroom games, markets, asset markets, risk. Abstract: This paper discusses how to use risk reduction measures to reward students participating in a classroom stock market game.

King, Ronald R., Vernon L. Smith, Arlington W. Williams, and Mark Van Boening (1993) “The Robustness of Bubbles and Crashes in Experimental Stock Markets,” in Nonlinear Dynamics and Evolutionary Economics, edited by R.* Dall and P. Chen, Oxford, U.K.: Oxford University Press, 183-200. Keywords: experiments, markets, asset markets, speculative bubbles. Email Contact: vanboen@bus.olemiss.edu

Knez, Marc, and Vernon L. Smith (1987) “Hypothetical Valuations and Preference Reversals in the Context of Asset Trading,” in Laboratory Experimentation in Economics, Six Points of View, edited by A. E.. Roth, Cambridge: Cambridge University Press, 131-154. Keywords: experiments, decisions, incentives, preference reversals, willingness to pay, willingness to accept, markets, asset markets, double auctions, rationality, hypothetical valuations, dominance. Email

Knez, Marc, and Colin F. Camerer (1994) “Creating Experimental Assets in the Laboratory: Coordination in `Weakest-Link` Games,” Strategic Management Journal, 15101-119. Keywords: experiments, game theory, minimum effort game, coordination, asset markets.

Knoll, Yoram, Hiam Levy, and Amnon Rapoport (1988) “Experimental Tests of the Mean-Variance Model for Portfolio Selection,” Organizational Behavior and Human Decision Processes, 42388-410. Keywords: experiments, decisions, portfolio choice, mean-variance model, asset markets. Email Contact: amnon@aruba.u.arizona.edu

Knoll, Yoram, Hiam Levy, and Amnon Rapoport (1988) “Experimental Tests of the Separation Theorem and the Capital Asset Pricing Model,” American Economic Review, 78(June), 500-519. Keywords: experiments, markets, asset markets, capital asset pricing. Email Contact: amnon@aruba.u.arizona.edu

Kroll, Yoram, Haim Levy, and Amnon Rapoport (1988) “Experimental Tests of the Separation Theorem and the Capital Asset Pricing Model,” American Economic Review, 78:3 (June), 500-519. Keywords: experiments, markets, asset markets, portfolio choice. Email Contact: amnon@aruba.u.arizona.edu

Kroll, Yoram, Haim Levy, and Amnon Rapoport (1988) “Experimental Tests of the Mean-Variance Model for Portfolio Selection,” Organizational Behavior and Human Decision Processes, 42388-410. Keywords: experiments, markets, asset markets, portfolio choice, mean-variance model. Email Contact: amnon@aruba.u.arizona.edu

Kroll, Yoram, and Hiam Levy (1992) “Further Tests of the Separation Theorem and the Capital Asset Pricing Model,” American Economic Review, 82:3 (June), 664-670. Keywords: experiments, markets, asset markets, asset pricing, separation theorem, portfolio choice.

Lamoureux, C, and C. Schnitzlein (1997) “When Its Not the Only Game in Town (The Effect of Bilateral Search on the Quality of a Dealer Market),” Journal of Finance, 5683-712. Keywords: experiments, markets, asset markets, dealer intermediation, off floor search. Abstract: In an asset market experiment with competing dealers, a rule that allows traders to search "off floor" causes dealer bid-ask spreads to tighten, with the effect that dealer profits are reduced and price discovery is improved.

Lamoureux, C, and C. Schnitzlein (1997) “Herd Through the Grapevine: Winner's Curse in a Fragmented Asset Market,” University of Arizona, Discussion Paper. Keywords: experiments, markets, asset markets, dealer intermediation, off floor search, losses, experience. Abstract: In an asset market experiment with asymmetric information and competing dealers, a rule that allows traders to search "off floor" causes dealer bid-ask spreads to tighten, with the effect that dealer profits are reduced. These losses persist even after dealers have obtained considerable experience. Comparisons with the winner's curse are discussed.

Levy, Hiam (1994) “Absolute and Relative Risk Aversion: An Experimental Study,” Journal of Risk and Uncertainty, 8:3 (May), 289-307. Keywords: experiments, decisions, risk aversion, absolute risk aversion, relative risk aversion. Abstract: Subjects made portfolio choices between safe and risky assets, and under conditions of changing experiment income and outside real wealth. Portfolio choices provide evidence of decreasing absolute risk aversion, but the increasing relative risk aversion hypothesis is rejected. Decisions were more sensitive to laboratory wealth than to outside personal wealth, which had little effect.

Levy, Hiam (1997) “Risk and Return: An Experimental Analysis,” International Economic Review, 38:1 (February), 119-149. Keywords: experiments, markets, asset markets, portfolio choice, risk.

Lundholm, Russell J. (1986) “Information Asymmetry and Capital Market Behavior: Some Evidence from a Laboratory Setting,” in Laboratory Market Research, edited by S. Moriarty, Norman, Ok.: University of Oklahoma, Center for Economic and Management Research, . Keywords: experiments, markets, asset markets, information asymmetry. Email

Lundholm, Russell J. (1991) “What Affects the Efficiency of the Market? Some Answers from the Laboratory,” Accounting Review, 66486-515. Keywords: experiments, markets, asset markets, efficiency, information.

Martin, Rose, K. R Subrmanyam, and Charles Swenson (1998) “Does the Market Believe Earnings Announcements,” University of Southern California, Discussion Paper, presented at the Summer 1998 ESA Meetings. Keywords: experiments, markets, asset markets, information, announcements. Email Contact: cswenson@sba2.usc.edu

Mayhew, Brian W., Jeffrey W. Schatzberg, and Galen Sevcik (1998) “Auditor Choice, Retained Ownership, and Firm Risk in the Market for New Issues: Experimental Evidence,” University of Arizona, Discussion Paper, presented at the Summer 1998 ESA Meeting. Keywords: experiments, markets, accounting, information, asset markets, initial public offerings. Abstract: The theoretical model predicts that entrepreneurs orchestrating an initial public offering will prefer higher quality auditors as the value of the firm and firm-specific risk increase. Experiments support the model predictions and indicate that mixed results from empirical studies of IPOs may be due to differential litigation exposure for different locations. Email Contact: jschatzberg@bpa.arizona.edu

Noussair, Charles, Stephane Robin, and Bernard Ruffeux (1998) “Experimental Asset Markets with Constant Fundamental Values,” Purdue University, Discussion Paper, presented at the Summer 1998 ESA Meetings. Keywords: experiments, markets, asset markets, constant fundamental value, negative bubbles. Abstract: Traded assets pay random dividends with a zero expected value, so the fundamental asset value if flat over time. Prices typically begin below fundamental value and may rise above this value. Prices in final periods of trade are typically near fundamental value. Email Contact: noussair@mgmt.purdue.edu

O'Brien, John, and Sanjay Srivastava (1991) “Liquidity and Persistance of Arbitrage in Experimental Options Markets,” in The Double Auction Market; Institutions, Theories, and Evidence, edited by D. Friedman and J. Rust, New York: Addison-Wesley, . Keywords: experiments, markets, asset markets, liquidity, arbitrage. Email

O'Brien, John, and Sanjay Srivastava (1991) “Dynamic Stock Markets with Multiple Assets: An Experimental Analysis,” Journal of Finance, 461811-1838. Keywords: experiments, markets, asset markets.

Oehler, Andreas, and Matthias Unser (1998) “Information Intensity and Operational Efficiency in an Experimental Call Market,” Bramberg University, Discussion Paper, presented at the Summer 1998 ESA Meeting. Keywords: experiments, markets, call markets, asset markets, open and closed order books, volatility, efficiency. Abstract: The experiment is used to evaluate the effects of an open orderbook and information intensity in an asset market. The open orderbook does not increase informational efficiency and does increase price volatility. Email Contact: andreas.oehler@sowi.uni-bamberg.de

Parikh, David (1998) “Implications of a Posted-Offer-With-Negotiations Institution on Asset Markets: Efficiency, Market Clearing, and Strategic Behavior,” Discussion Paper, presented at the Fall 1998 ESA Meeting. Keywords: experiments, markets, asset markets, posted-offer, negotiations. Email Contact: dparikh@scf.usc.edu

Peterson, Steven P. (1993) “Forecasting Dynamics and Convergence to Market Fundamentals: Evidence from Experimental Asset Markets,” Journal of Economic Behavior and Organization, 22:3 (December), 269-284. Keywords: experiments, markets, asset markets, forecasting, convergence, fundamental value.

Peterson, Steven P. (1996) “Some Experimental Evidence on the Efficiency of Dividend Signaling in Resolving Information Asymmetries,” Journal of Economic Behavior and Organization, 29:3 (May), 373-388. Keywords: experiments, markets, asset markets, dividend signaling, asymmetric information.

Plott, Charles R., and Shyam Sunder (1982) “Efficiency of Experimental Security Markets with Insider Information: An Application of Rational-Expectations Models,” Journal of Political Economy, 90:4 (August), 663-698. Keywords: experiments, markets, asset markets, insider information, efficiency. Email Contact: cplott@hss.caltech.edu

Plott, Charles R., and Shyam Sunder (1988) “Rational Expectations and the Aggregation of Diverse Information in Laboratory Security Markets,” Econometrica, 56:5 (September), 1085-1118. Keywords: experiments, markets, asset markets, information, rational expectations. Email Contact: cplott@hss.caltech.edu

Porter, David P., and Vernon L. Smith (1994) “Stock Market Bubbles in the Laboratory,” Applied Mathematical Finance, 1111-127. Keywords: experiments, markets, asset markets, bubbles. Email Contact: vls@econlab.arizona.edu

Randall, A., J. P. Hoehn, and D. S. Brookshire (1983) “Contingent Valuation Surveys for Evaluating Environmental Assets,” Natural Resources Journal, 23:3 (July), 635-648. Keywords: experiments, decisions, elicitation, contingent valuation.

Rapoport, Amnon, Rami Zwick, and S. G. Funk (1988) “Selection of Portfolios with Risky and Riskless Assets: Experimental Tests of Two Expected Utility Models,” Journal of Economic Psychology, 9:2 (June), ***-***. Keywords: experiments, decisions, portfolio choice, lottery choice, risk preferences. Email Contact: arapoport@bpa.arizona.edu

Schnitzlein, C. (1996) “Call and Continuous Trading Mechanisms under Asymmetric Information: An Experimental Investigation,” Journal of Finance, 51:613-636 . Keywords: experiments, markets, asset markets, call markets, double auctions, asymmetric information.

Smith, Vernon L., Gerry L. Suchanek, and Arlington W. Williams (1988) “Bubbles, Crashes, and Endogenous Expectations in Experimental Spot Asset Markets,” Econometrica, 56:5 (September), 1119-1151. Keywords: experiments, markets, asset markets, bubbles, speculation, fundamental value. Email Contact: vls@econlab.arizona.edu

Sunder, Shyam, and Charles R. Plott (1988) “Rational Expectations and the Aggregation of Diverse Information in Laboratory Securities Markets,” Econometrica, 56(September), 1085-1118. Keywords: experiments, markets, asset markets, information aggregation, rational expectations. Email Contact: shyam.sunder@yale.edu

Sunder, Shyam (1995) “Experimental Asset Markets: A Survey,” in The Handbook of Experimental Economics, edited by J. H. Kagel and A. E. Roth, Princeton, N.J.: Princeton University Press, 445-500. Keywords: experiments, markets, asset markets, survey. Abstract This paper surveys the results of asset market experiments in economics and finance. Email Contact: shyam.sunder@yale.edu

Van Boening, Mark, Arlington W. Williams, and Shawn Lamaster (1993) “Price Bubbles and Crashes in Experimental Call Markets,” Economics Letters, 41179-185. Keywords: experiments, markets, asset markets, bubbles, crashes, call markets. Email Contact: vanboen@bus.olemiss.edu

Van Huyck, John B., Raymond C. Battalio, and Richard Biel (1993) “Asset Markets as an Equilibrium Selection Mechanism: Coordination Failure, Game Form Auctions, and Forward Induction,” Games and Economic Behavior, 5485-504. Keywords: experiments, game theory, forward induction, equilibrium selection, asset markets. Email Contact: john.vanhuyck@tamu.edu

Watts, Susan (1992) “Private Information, Prices, Asset Allocation, and Profits: Further Experimental Evidence,” in Research in Experimental Economics, Vol. 5, edited by R. M. Isaac, Greenwich, Conn.: JAI Press, 81-117. Keywords: experiments, markets, asset markets, asymmetric information, rational expectations equilibrium, insider information. Abstract This paper reports on asset market experiments in which a random device determined whether or not some traders would receive inside information, and the uninformed traders did not know whether or not others were informed. The results were somewhat supportive of the rational expectations predictions, but insiders made higher profits and convergence was more erratic than when insider information was common knowledge. One price bubble and some convergence failures were observed. Email Contact: swatts@memt.purdue.edu

Weber, Martin, and Colin Camerer (1998) “The Disposition Effect in Securities Trading,” Journal of Economic Behavior and Organization, 33:2 167-184. Keywords: experiments, markets, asset markets, biases.

Wood, William C., Sharon L. O'Hare, and Robert L. Andrews (1992) “The Stock Market Game: Classroom Use and Strategy,” Journal of Economic Education, 23:3 (Summer), 236-246. Keywords: experiments, classroom games, asset market. Abstract: The paper discusses a classroom stock market game based on using a hypothetical endowment to buy and sell stocks at prices quoted on securities exchanges. Feedback is based on the paper value of the portfolio.