Asparouhova, Elena (University of Utah) ; Bossaerts, Peter (University of Utah and University of Melbourne) ; Roy, Nilanjan (City University of Hong Kong) ; Zame, William (University of California, Los Angeles)
http://www.saet.uiowa.edu/Papers2013/Zame-McKenzie%20Lecture.pdf
Takes a while to load. Forthcoming in the Journal of Finance
"The Lucas asset pricing model is studied here in a controlled setting. Participants could trade two long-lived securities in a continuous open-book system. The experimental design emulated the stationary, infinite-horizon setting of the model and incentivized participants to smooth consumption across periods."