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|Title:||An experimental test on asset pricing and consumption smoothing||Authors:||Ding, Lu
|Keywords:||DRNTU::Business::Finance::Asset allocation||Issue Date:||2015||Abstract:||Our research is intended to demonstrate how one could implement consumption-based asset pricing models in the controlled conditions of the laboratory. We wish to inform the literature about which naturally occurring markets are more prone to experience “mis-pricing” in asset markets. We want to understand whether markets with a high concentration of speculators, focused primarily on capital gains derived from expected price movements, are most likely to give rise to asset bubbles, while markets with a large number of individuals who trade at least in part for life-cycle consumption-smoothing purposes are less likely to bubble. We are also interested in understanding the role played by the asset market in the facilitation of consumption smoothing by the market participants. We have the following two broad research questions: What are the effects on asset prices and allocations of having different proportion of traders who differ in their induced motive for inter-temporal consumption smoothing, and which markets are more suitable for consumption smoothers and what role does the uncertainty in prices and dividend process play in facilitation or hindering of consumption smoothing?||URI:||http://hdl.handle.net/10356/63110||Rights:||Nanyang Technological University||Fulltext Permission:||restricted||Fulltext Availability:||With Fulltext|
|Appears in Collections:||HSS Student Reports (FYP/IA/PA/PI)|
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|An Experimental Test on Asset Pricing and Consumption Smoothing.pdf|
|Main article||1.83 MB||Adobe PDF||View/Open|
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