I work on applied microeconomics. I typically use microeconometrics methods, including ordinary regressions, panel data methods, and structural estimation. I am interested in empirical industrial organization, macroeconomic experiments and investment decisions.
Price Dynamics and Trader Overconfidence
Overconfidence is one of the most important biases in financial markets and commonly associated with excessive trading and asset market bubbles. So far, most of the finance literature takes overconfidence as a given, “static” personality trait. In this paper we introduce a novel experimental design which allows us to track different measures of overconfidence during an asset market bubble. The results show that overconfidence co-moves with asset prices and points towards a feedback loop in which overconfidence adds fuel to the flame of existing bubbles.
Certainty and Decisions in Experimental Asset Markets
This paper examines how expectations are formed in experimental asset markets where bubbles are known to occur frequently. Expectations are recorded by asking participants to forecast future prices as a discrete probability mass distribution. Although there is a known fundamental value, participants certainty in forecast about future prices differ greatly, suggesting different levels of confidence in expectations. While the level of confidence is measured on an individual level, we examine to what extend the market sentiment affect market outcomes.
experimental finance, experimental asset markets, expectations, endogenous news
Durable investments and subsidies: The case of Danish wind turbines
I propose a model for investment in green technology. In each period, investors have the option to invest in a new piece of capital. The expected value is a function of market prices, policy and the quality of the capital. In addition, capital investment can be delayed, given rise to a real option interpretation of the problem.
The impact of macroeconomic uncertainty on demand: A case study of demand for the us Airline Industry
The impact of uncertainty on economic performance is an ongoing research area. This paper empirically examines how economic uncertainty may affect the demand decisions of consumers using us micro demand data. I find that the elasticity of uncertainty on overall is economically and statistically significant.
You can contact me by sending an email to rasmus at pank.eu.