The purpose of this study is to examine how three factors, risk aversion, investment horizon, and information structure affect the variability of asset prices within an increasingly uncertain market environment. The laboratory research methodology that is employed avoids the use of strong stationarity assumptions which have been made in recent empirical variability studies. In addition, the laboratory methodology provides greater control over the numerous nonindependent factors which impact upon actual market prices. / Previous economic laboratory research has forcefully suggested that asset prices within competitive markets are efficient in that they converge quickly to their theoretical values. In contrast, the present study finds that, at times, prices do deviate consistently from equilibrium market values. It is found that the greater the uncertainty of an asset's value, the greater the probability of these "price bubbles" occurring. In particular, two market experiments utilize cyclical probabilistic payoffs within successive single period markets in testing for the effect of heterogeneous information and risk aversion. Two additional market experiments involving successive two-period probabilistic payoff returns test for the effects of reduced investment horizon and risk aversion. It is found that (1) the less risk averse an investor, the quicker he is to react to new information, and (2) a reduction in investment horizon leads some investors to concentrate on capital gains more than dividend income. Both of these factors can, depending upon the institutional framework, lead to the formation of "price bubbles" and increased asset price variability. / Source: Dissertation Abstracts International, Volume: 45-06, Section: A, page: 1828. / Thesis (D.B.A.)--The Florida State University, 1984.
| Identifer | oai:union.ndltd.org:fsu.edu/oai:fsu.digital.flvc.org:fsu_75341 |
| Contributors | SCHWARZ, THOMAS VERNON., Florida State University |
| Source Sets | Florida State University |
| Detected Language | English |
| Type | Text |
| Format | 230 p. |
| Rights | On campus use only. |
| Relation | Dissertation Abstracts International |
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