Why Does the Law of One Price Fail? An Experiment on Index Mutual Funds

James J. Choi, David Laibson, Brigitte C. Madrian

NBER Working Paper No. 12261
Issued in May 2006

---- Acknowledgements -----

We are indebted to Anna Blank, David Borden, Carlos Caro, Ananya Chakravarti, Keith Ericson, Christina Jenq, Shih En Lu, Dina Mishra, Kelly Shue, Dmitry Taubinsky, Chelsea Zhang, Fan Zhang, and Eric Zwick for their excellent research assistance. We are grateful to Sally Zeckhauser, John W. Nolan, Ken Toy, and Thomas E. Vautin for facilitating the experiment with Harvard staff. We thank Jeff Brown, Gideon Saar, and seminar participants at the Boston Fed, NBER, University of Connecticut, University of Maryland, University of Pennsylvania, and Yale for helpful comments. We acknowledge individual and collective financial support from the National Institute on Aging (grants R01-AG021650 and T32-AG00186) and the U.S. Social Security Administration through grant #10- P-98363-2 to the National Bureau of Economic Research as part of the SSA Retirement Research Consortium. The findings and conclusions expressed are solely those of the authors and do not represent the views of NIA, SSA, any other agency of the Federal Government, or the NBER. Choi acknowledges financial support from the Mustard Seed Foundation.

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