Asset price volatility and investment horizons: An experimental investigation
(2021)
Journal Article
Anufriev, M., Chernulich, A., & Tuinstra, J. (2022). Asset price volatility and investment horizons: An experimental investigation. Journal of Economic Behavior and Organization, 193, 19-48. https://doi.org/10.1016/j.jebo.2021.11.019
We study the effects of the investment horizon on asset price volatility using a Learning to Forecast laboratory experiment. We find that, for short investment horizons, participants coordinate on self-fulfilling trend-extrapolating predictions. Pric... Read More about Asset price volatility and investment horizons: An experimental investigation.