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Leverage and Asset Prices: An Experiment

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Authors and Corporations: Cipriani, Marco (Author), Fostel, Ana (Other), Houser, Daniel (Other)
Other Authors: Fostel, Ana [Other] • Houser, Daniel [Other]
Type of Resource: E-Book
Language: English
published:
[S.l.] SSRN [2012]
Series: GMU Working Paper in Economics
Source: Verbunddaten SWB
Lizenzfreie Online-Ressourcen
Description
Summary: This is the first paper to test the asset pricing implication of leverage in a laboratory. We show that as theory predicts, leverage increases asset prices: when an asset can be used as collateral (i.e., when the asset can be bought on margin), its price goes up. This increase is significant, and quantitatively close to what theory predicts. However, important deviations from the theory arise in the laboratory. First, the demand for the asset shifts when it can be used as a collateral, even though agents do not exhaust their purchasing power when collateralized borrowing is not allowed. Second, the spread between collateralizable and non-collateralizable assets does not increase during crises in contrast to what theory predicts
Item Description: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 7, 2012 erstellt
Physical Description: 1 Online-Ressource (38 p)
DOI: 10.2139/ssrn.2000466
Access: Open Access