Marco Andrey Cipriani

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We study herd behavior in a laboratory financial market with financial market professionals. An important novelty of the experimental design is the use of a strategy-like method. This allows us to detect herd behavior directly by observing subjects’ decisions for all realizations of their private signal. In the paper, we compare two treatments: one in which(More)
Imitative behavior and contagion are well-documented regularities of financial markets. We study whether they can occur in a two-asset economy where rational agents trade sequentially. When traders have gains from trade, informational cascades arise and prices fail to aggregate information dispersed among traders. During a cascade all informed traders with(More)
We develop a new methodology to estimate the importance of herd behavior in financial markets. We build a structural model of informational herding that can be estimated with financial transaction data. In the model, rational herd behavior arises because of informationevent uncertainty. We estimate the model using transaction data on a NYSE stock (Ashland(More)
he U.S. residential mortgage market has experienced significant turmoil in recent years, leading to important shifts in the way mortgages are funded. Mortgage securitization by private financial institutions declined to negligible levels during the financial crisis that began in August 2007, and remains low today. In contrast, throughout the crisis there(More)
This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate. We study herd behavior(More)
We study the effect of transaction costs (e.g., a trading fee or a transaction tax, like the Tobin tax) on the aggregation of private information in financial markets. We analyze a financial market à la Glosten and Milgrom, in which informed and uninformed traders trade in sequence with a market maker. Traders have to pay a cost in order to trade. We show(More)
Like Mother Like Son? Experimental Evidence on the Transmission of Values from Parents to Children This paper studies whether prosocial values are transmitted from parents to their children. We do so through an economic experiment, in which a group of Hispanic and African American families play a standard public goods game. The experimental data presents us(More)
This paper studies the mechanism through which dividend and corporate profit taxes affect investment and asset returns in a stochastic general equilibrium model. We find that proportional dividend taxes do not distort investment decisions, and have no impact on asset returns. By contrast, corporate profit taxes distort investment decisions, and introduce(More)