Risk attitude, beliefs updating and the information content of trades : an experiment - HEC Paris - École des hautes études commerciales de Paris Access content directly
Reports Year : 2009

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

Christophe Bisière
  • Function : Author
Jean-Paul Decamps
  • Function : Author

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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Dates and versions

hal-00489272 , version 1 (04-06-2010)

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  • HAL Id : hal-00489272 , version 1

Cite

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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