Data for: The “inflow-effect”—Trader inflow and price efficiency

Abstract of associated article: We investigate the impact of cash and trader inflow on price efficiency in multi-period experimental asset markets. Implementing eight treatments with 672 subjects, we find that (i) the joint inflow of cash and traders triggers strong overvaluation and massive price run-ups (inflow-effect). Remarkably, the effect occurs in almost all of the 30 markets with joint cash and trader inflow and is very robust. The effect even prevails in markets with complete and symmetric fundamental information. We further show that (ii) in treatments with the joint inflow of cash and traders, prices crash to fundamentals towards maturity of the asset. The analysis of traders׳ beliefs reveals that (iii) despite fundamental values staying constant, beliefs about fundamentals co-move with upwardly trending prices. Finally, we report a speculative motive only among the optimists in treatments where we observe the inflow-effect.

关联论文摘要：我们探究了多期实验资产市场（experimental asset markets）中，现金与交易者流入对价格效率（price efficiency）的影响。本研究共设置8组实验处理，招募672名被试，研究结果显示：（1）现金与交易者的联合流入会引发显著的估值过高与大规模价格飙升（即“流入效应”）。值得注意的是，该效应在30个存在现金与交易者联合流入的市场中几乎均有出现，且稳健性极强；即便市场中已披露完全对称的基本面信息（fundamental information），该效应依然存在。（2）在现金与交易者联合流入的实验处理组中，资产到期前价格会逐步回落至基本面价值（fundamental value）。对交易者信念的分析表明：（3）尽管基本面价值始终保持恒定，但交易者对基本面的信念会随价格上行趋势同向变动。最后，我们发现仅在观测到“流入效应”的实验处理组中，乐观交易者存在投机动机。