2024-03-29T08:12:36Zhttps://repositori.uji.es/oai/requestoai:repositori.uji.es:10234/1692832022-10-28T14:25:50Zcom_10234_8643com_10234_9col_10234_8644
Repositori UJI
author
Colasante, Annarita
author
Palestrini, Antonio
author
Russo, Alberto
author
Gallegati, Mauro
2017-10-10T11:19:46Z
2017-10-10T11:19:46Z
2017-10
COLASANTE, Annarita, et al. Adaptive expectations versus rational expectations: Evidence from the lab. International Journal of Forecasting, 2017, vol. 33, no 4, p. 988-1006.
http://hdl.handle.net/10234/169283
https://doi.org/10.1016/j.ijforecast.2017.06.003
The aim of the present work is to shed light on the extensive debate about expectations in financial markets. We analyze the behaviors of subjects in an experimental environment in which it is possible to observe expectations directly, since the sole task of each player is to predict the future price of an asset. We investigate the mechanism of expectation formation in two different contexts: first, where the fundamental value is constant; second, where the fundamental price increases over repetitions. First of all, we look at whether there is a convergence to the rational equilibrium even if agents have adaptive expectations, according to the main results of Palestrini and Gallegati (2015). Moreover, we concentrate on the accuracy of aggregate forecasts compared with individual forecasts. We find that there is collective rationality instead of individual rationality. In the context of an increasing fundamental value, contrary to theoretical predictions, players are able to capture the trend, but underestimate that value. This implies that there is no full convergence to the rational expectations equilibrium if all agents make their forecasts according to an adaptive scheme.
eng
© 2017 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.
price forecasting
financial market
experiment
panel data
forecasting practice
Adaptive expectations versus rational expectations: Evidence from the lab
info:eu-repo/semantics/article
TElDRU5DSUEgREUgRElTVFJJQlVDScOTTiBOTyBFWENMVVNJVkEKCkFjZXB0YW5kbyBlc3RhIGxpY2VuY2lhLCB1c3RlZCAoZWwgYXV0b3IvZXMgbyBlbCBwcm9waWV0YXJpby9zIGRlIGxvcyBkZXJlY2hvcyBkZSBhdXRvcikKZ2FyYW50aXphIGEgbGEgVW5pdmVyc2l0YXQgSmF1bWUgSSBlbCBkZXJlY2hvIG5vIGV4Y2x1c2l2byBkZSBhcmNoaXZhcgplbiBlbCBSZXBvc2l0b3JpbyBVSkksIHJlcHJvZHVjaXIgKGNvbW8gc2UgZGVmaW5lIG3DoXMgYWJham8pLApjb211bmljYXIgeS9vIGRpc3RyaWJ1aXIgc3UgZG9jdW1lbnRvIG11bmRpYWxtZW50ZSBlbiBmb3JtYXRvIGVsZWN0csOzbmljby4KClRhbWJpw6luIGVzdMOhIGRlIGFjdWVyZG8gY29uIHF1ZSBsYSBVbml2ZXJzaXRhdCBKYXVtZSBJIHB1ZWRhIGNvbnNlcnZhciAKbcOhcyBkZSB1bmEgY29waWEgZGUgZXN0ZSBkb2N1bWVudG8sIHksIHNpbiBhbHRlcmFyIHN1IGNvbnRlbmlkbywKdHJhbnNmb3JtYXJsbyBhIG90cm9zIGZvcm1hdG9zLCBhcG95b3MgbyBtZWRpb3MgcGFyYSBnYXJhbnRpemFyCmxhIHNlZ3VyaWRhZCwgcHJlc2VydmFjacOzbiB5IGFjY2Vzby4KCkRlY2xhcmEgcXVlIGVsIGRvY3VtZW50byBlcyB1biB0cmFiYWpvIG9yaWdpbmFsIHN1eW8geS9vIHRpZW5lIGVsIGRlcmVjaG8KcGFyYSBvdG9yZ2FyIGxvcyBkZXJlY2hvcyBjb250ZW5pZG9zIGVuIGVzdGEgbGljZW5jaWEuClRhbWJpw6luIGRlY2xhcmEgcXVlIHN1IGRvY3VtZW50byBubyBpbmZyaW5nZSBsb3MgZGVyZWNob3MKZGUgYXV0b3IgZGUgb3RyYSBwZXJzb25hIG8gZW50aWRhZC4KClNpIGVsIGRvY3VtZW50byBjb250aWVuZSBtYXRlcmlhbGVzIGRlIGxvcyBjdWFsZXMgbm8gdGllbmUgZGVyZWNob3MgZGUgYXV0b3IsCmRlY2xhcmEgcXVlIGhhIG9idGVuaWRvIGVsIHBlcm1pc28gbmVjZXNhcmlvIHBhcmEgb3RvcmdhciBhIGxhIFVuaXZlcnNpdGF0IEphdW1lIEkKbG9zIGRlcmVjaG9zIHJlcXVlcmlkb3MgcG9yIGxhIHByZXNlbnRlIGxpY2VuY2lhLCB5IHF1ZSBlbCBtYXRlcmlhbCBjb24gZGVyZWNob3MKZGUgdGVyY2Vyb3MgZXN0w6EgY2xhcmFtZW50ZSBpZGVudGlmaWNhZG8geSByZWNvbm9jaWRvIGVuIGVsIGNvbnRlbmlkbwpkZWwgZG9jdW1lbnRvIGVudHJlZ2Fkby4KClNpIGVsIGRvY3VtZW50byBzZSBiYXNhIGVuIHVuYSBvYnJhIHF1ZSBoYSBzaWRvIHBhdHJvY2luYWRhIG8gYXBveWFkYQpwb3IgdW5hIG9yZ2FuaXphY2nDs24gZGlmZXJlbnRlIGVuIGxhIFVuaXZlcnNpdGF0IEphdW1lIEksIApzZSBwcmVzdXBvbmUgcXVlIHNlIGhhIGN1bXBsaWRvIGNvbiBjdWFscXVpZXIgZGVyZWNobyBkZSByZXZpc2nDs24KdSBvdHJhcyBvYmxpZ2FjaW9uZXMgcmVxdWVyaWRhcyBwb3IgZXN0ZSBjb250cmF0byBvIGFjdWVyZG8uCgpMYSBVbml2ZXJzaXRhdCBKYXVtZSBJIGlkZW50aWZpY2Fyw6EgY2xhcmFtZW50ZSBzdS9zIG5vbWJyZS9zIGNvbW8gYXV0b3IvcwpvIHByb3BpZXRhcmlvL3MgZGUgbG9zIGRlcmVjaG9zIGRlIGV4cGxvdGFjacOzbiB5IG5vIGhhcsOhIG5pbmd1bmEgYWx0ZXJhY2nDs24KZGUgc3UgZG9jdW1lbnRvIGRpZmVyZW50ZSBhIGxhcyBwZXJtaXRpZGFzIGVuIGVzdGEgbGljZW5jaWEuCgpMYSBVbml2ZXJzaXRhdCBKYXVtZSBJIGFzaWduYXLDoSBhIHN1IGRvY3VtZW50bywgZW4gY2FzbyBxdWUgYXPDrSBsbyBoYXlhIGluZGljYWRvLApsYSBsaWNlbmNpYSBDcmVhdGl2ZSBDb21tb25zICBjb3JyZXNwb25kaWVudGUgcGFyYSBwcm90ZWdlciBsYSBwcm9waWVkYWQgaW50ZWxlY3R1YWwKZGVsIGF1dG9yIHkgZ2FyYW50aXphciBzdSByZXV0aWxpemFjacOzbiBlbiBsYXMgY29uZGljaW9uZXMgZXN0YWJsZWNpZGFzLiAK
URL
https://repositori.uji.es/xmlui/bitstream/10234/169283/1/colssante_2017.pdf
File
MD5
c3b517d2dc84cfa0070de77e4bab6f55
669102
application/pdf
colssante_2017.pdf
URL
https://repositori.uji.es/xmlui/bitstream/10234/169283/9/colssante_2017.pdf.txt
File
MD5
e067614060ee80ccc153188e41c482da
69738
text/plain
colssante_2017.pdf.txt