An Experimental Investigation of Asset Pricing in Segmented Markets
Economics, Finance, & Quantitative Analysis
This article reports the results of experimental asset markets in which participants trade two assets with distinct dividend claims. Some traders are able to transact in the markets for both assets, whereas others can trade in only one market. When some are restricted from transacting in one market, the ineligible asset that cannot be traded by all commands a super risk premium. Without this premium, unrestricted investors would not hold all the available shares of the ineligible asset. In addition, we find that although unrestricted traders have the opportunity to remove all risk, few take advantage of this hedging opportunity.
Southern Economic Journal
Digital Object Identifier (DOI)
Ackert, F. Lucy, Stefano Mazzotta, and Li Qi. "An Experimental Investigation of Asset Pricing in Segmented Markets." Southern Economic Journal 77.3 (2010): 585-598.