OxTalks will soon move to the new Halo platform and will become 'Oxford Events.' There will be a need for an OxTalks freeze. This was previously planned for Friday 14th November – a new date will be shared as soon as it is available (full details will be available on the Staff Gateway).
In the meantime, the OxTalks site will remain active and events will continue to be published.
If staff have any questions about the Oxford Events launch, please contact halo@digital.ox.ac.uk
Using a laboratory experiment, we investigate if contagion can emerge between two risky assets despite an absence of correlation among their fundamentals. To guide our experimental design, we use the ‘Two trees’ asset pricing model developed by Cochrane et al. (2007). The model makes time-series and cross-section return predictions following a shock to one of the assets’ dividend share. Consistent with the predictions of the model, we observe positive auto-correlation in the shocked asset, a positive contemporaneous correlation between the two risky assets, and time-series and cross-sectional return predictability using the dividend-price ratio. In line with the rational foundation of the model mechanics, the model’s predictions have higher support in markets with more sophisticated agents.
