TY - UNPB
T1 - The robustness of mispricing results in experimental asset markets
AU - Powell, Owen
AU - Shestakova, Natalia
PY - 2017/5
Y1 - 2017/5
N2 - Many experiments have been conducted on market mispricing, however there is a distinct lack of guidance over how mispricing should be measured. This raises concerns about the sensitivity of mispricing results to variations in the measurement procedure. In this paper, we investigate the robustness of previous results with respect to four variations: the choice of interval length, the use of the bid-ask spread as a price proxy, the choice of aggregation function, and controlling for observable market characteristics. While a majority of previous results are unaffected, roughly 30% do change significance.
AB - Many experiments have been conducted on market mispricing, however there is a distinct lack of guidance over how mispricing should be measured. This raises concerns about the sensitivity of mispricing results to variations in the measurement procedure. In this paper, we investigate the robustness of previous results with respect to four variations: the choice of interval length, the use of the bid-ask spread as a price proxy, the choice of aggregation function, and controlling for observable market characteristics. While a majority of previous results are unaffected, roughly 30% do change significance.
UR - http://EconPapers.repec.org/RePEc:vie:viennp:1702
M3 - Working paper
T3 - Working paper / The Vienna Institute for International Economic Studies (WIIW)
BT - The robustness of mispricing results in experimental asset markets
ER -