It is Not Just Confusion! Strategic Uncertainty in an Experimental Asset Market

Eizo Akiyama (1) , Nobuyuki Hanaki (2) , Ryuichiro Ishikawa (1)

1 Faculty of Engineering, Information and Systems [Tsukuba]
2 GREDEG - Groupe de Recherche en Droit, Economie et Gestion

To what extent is the observed mispricing in experimental asset markets caused by strategic uncertainty and by confusion? We address this question by comparing subjects' initial price forecasts in two market environments: one with six human traders, and the other with one human and five computer traders. We find that both strategic uncertainty and confusion contribute equally to the median initial forecast deviation from the fundamental value. The effect of strategic uncertainty is greater for subjects with a perfect score in the Cognitive Reflection Test, and it is not significant for those with low scores.

Mots clés: Bounded rationality; Experiment; Strategic uncertainty; Asset markets; Computer traders; Cognitive Reflection Test

Domaines: Economies et finances

Eizo Akiyama, Nobuyuki Hanaki, Ryuichiro Ishikawa. It is Not Just Confusion! Strategic Uncertainty in an Experimental Asset Market. The Economic Journal, 2017, 127, pp.F563-F580. ⟨10.1111/ecoj.12338⟩. ⟨halshs-01294917⟩