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Risk attitude, beliefs updating and the information content of trades : an experiment

Abstract : We conduct a series of experiments that simulate trading in financial markets and which allows us to identify the different effects that subjects¿ risk attitudes and belief updating rules have on the information content of the order flow. We find that there are very few risk-neutral subjects and that subjects displaying risk aversion or risk-loving tend to ignore private information when their prior beliefs on the asset fundamentals are strong. Consequently, private information struggles penetra
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https://hal-hec.archives-ouvertes.fr/hal-00489272
Contributor : Antoine Haldemann <>
Submitted on : Friday, June 4, 2010 - 1:21:56 PM
Last modification on : Thursday, January 11, 2018 - 6:19:31 AM

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  • HAL Id : hal-00489272, version 1

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Stefano Lovo, Christophe Bisière, Jean-Paul Decamps. Risk attitude, beliefs updating and the information content of trades : an experiment. 2009. ⟨hal-00489272⟩

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