Experimental evidence on the ‘insidious’ illiquidity risk |
| |
| Institution: | 1. University of Paris 13 and CEPN, 99 rue Jean-Baptiste Clément, 93430, Villetaneuse, France;2. ESSEC Business School and THEMA, 105 Av. Bernard Hirsch, 95021 Cergy, France;1. Center for Experimental Social Science, New York University, United States;2. Department of Economics, New York University, United States;1. Dipartimento di Fisica and ICRA, Sapienza Universita'' di Roma, P.le Aldo Moro 5, I-00185 Rome, Italy;2. ICRANet, P.zza della Repubblica 10, I-65122 Pescara, Italy;3. ICRANet, University of Nice-Sophia Antipolis, 28 Av. de Valrose, 06103 Nice Cedex 2, France;4. Physical–Technical Faculty, Al-Farabi Kazakh National University, Al-Farabi ave. 71, 050040 Almaty, Kazakhstan;1. Department of Economics, Yale University, New Haven, CT 06520, USA;2. Department of Economics, Princeton University, Princeton, NJ 08544, USA;1. School of Energy and Power Engineering, Huazhong University of Science and Technology, Wuhan 430074, PR China;2. Department of Mechanical Engineering, Chung Yuan Christian University, 32023, Taiwan, ROC;3. Department of Mechanical Engineering, National Chung Hsing University, Taichung 402, Taiwan, ROC;4. Material and Chemical Research Laboratories, Industrial Technology Research Institute, Hsin-Chu 31040, Taiwan, ROC;5. Department of Mechanical Engineering, University of California at Berkeley, CA 94720, USA |
| |
| Abstract: | This paper introduces an experiment aiming to investigate the contribution of illiquidity risk to the total risk of a collective investment project. If implemented, the project succeeds with a known probability. Yet the project fails if the quota of investors is not reached in the first place. Hence strategic uncertainty compounds its effect with the “intrinsic risk” of the project. Results confirm the insidious nature of illiquidity: as long as a first collective default does not occur, investors accept high intrinsic risk projects. After a first default, they become extremely prudent and come back to market only gradually. After several defaults, private agents manage to coordinate on a relatively low intrinsic risk above which they refuse to participate in the project. Macroeconomic policy implications follow. |
| |
| Keywords: | Coordination game Illiquidity risk Threshold strategy Overconfidence |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
