摘要：We investigate expectation formation in a controlled experimental environment.
Subjects are asked to predict the price in a standard asset pricing
model. They do not have knowledge of the underlying market equilibrium equations,
but they know all past realized prices and their own predictions. Aggregate
demand of the risky asset depends upon the forecasts of the participants. The realized
price is then obtained from market equilibrium with feedback from individual
expectations. Each market is populated by six subjects and a small fraction of
fundamentalist traders. Realized prices differ significantly from fundamental values.
In some groups the asset price converges slowly to the fundamental price,
in other groups there are regular oscillations around the fundamental price. In
all groups participants coordinate on a common prediction strategy. The individual
prediction strategies can be estimated and correspond, for a large majority of
participants, to simple linear autoregressive forecasting rules.
