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)
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"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."