EXPERIMENTS WITH FINANCIAL MARKETS: IMPLICATIONS FOR ASSET PRICING THEORY

摘要

This article surveys financial markets experiments from a particular vantage point, namely, asset pric- ing theory. The goal is to assess to what extent these experiments have (and could)shed light on the validity of the basic principles of asset pricing theory, namely(i)that markets equilibrate to the point that expected returns are proportional to covariance whit aggregate risk,(ii)that markets aggregate dis- persed information. There appears to be solid support for(i), yet the evidence regarding (ii)is mixed.