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Evaluation Periods and Asset Prices in a Market Experiment 总被引:6,自引:0,他引:6
We test whether the frequency of feedback information about the performance of an investment portfolio and the flexibility with which the investor can change the portfolio influence her risk attitude in markets. In line with the prediction of myopic loss aversion (Benartzi and Thaler (1995)), we find that more information and more flexibility result in less risk taking. Market prices of risky assets are significantly higher if feedback frequency and decision flexibility are reduced. This result supports the findings from individual decision making, and shows that market interactions do not eliminate such behavior or its consequences for prices. 相似文献
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Summary We present the results of a survey-experiment – using a representative sample of the Dutch population – in which we relate
respondents’ opinion about a restriction of the tax deductibility of mortgages to their estimates about other people’s opinions.
We find a strong consensus effect; meaning that respondents’ estimates of others’ opinions are related to their own opinion.
Furthermore, we find that the size of the effect is not affected by the ambiguity of the question posed. The provision of
arguments pro and contra the tax provision and monetary incentives for accuracy reduce the consensus effect, but only so in
conjunction. Finally, we find that house owners display a significantly stronger consensus effect. Our results suggest that
both cognitive and motivational factors are responsible for the consensus effect. Aside from the consensus effect, our survey
gives interesting insights into people’s opinion on tax deductibility of mortgages. A majority consider a general restriction
to be unfair, but a proposal to restrict only mortgages as of a certain size meets with much more approval.
We thank Marcel Das and Corrie Vis of CentERdata for their excellent support in conducting the survey-experiment and two referees of this journal and Dirk Engelmann for helpful
comments. Financial support from the Faculty of Economics and Business administration is gratefully acknowledged. 相似文献
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When truth conflicts with efficiency, can verbal communication destroy efficiency? Or are lies or vagueness used to hide inconvenient truths? We consider a sequential 2-player public good game in which the leader has private information about the value of the public good. This value can be low, high, or intermediate, the latter case giving rise to a prisoners? dilemma. Without verbal communication, efficiency is achieved, with contributions for high or intermediate values. When verbal communication is added, the leader has an incentive to hide the precise truth when the value is intermediate. We show experimentally that, when communication must be precise, the leader frequently lies, preserving efficiency by exaggerating. When communication can be vague, the leader turns to vague messages when the value is intermediate. Thus, she implicitly reveals all values. Interestingly, efficiency is preserved, since the follower does not seem to realize that vague messages hide inconvenient truths. 相似文献
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We study experimental two-sided markets in which the information structure is endogenous. When submitting an offer, a trader decides which other traders will be informed about the offer. This setup allows both a decentralized bargaining market (Chamberlin, J. Polit. Econ. 56 (1948) 95), and a double auction market (Smith J. Polit. Econ. 70 (1962) 111) as special cases. The results show that offers are typically directed to all traders of the other side of the market, but to none of the traders of the same side of the market. Even though traders receive much less information, the resulting market institution leads to the same outcomes in terms of prices and efficiency as a double auction market. In two additional treatments we examine the robustness of these results. First, it is found that the market institution adapts predictably, but not necessarily efficiently, to the imposition of transaction costs. Second, we find that the preference of sellers to conceal offers from competitors is strict. At the same time, sellers benefit collectively when they reveal offers to each other. 相似文献
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Stock prices are observed to be random walks in time despite a strong, long-term memory in the signs of trades (buys or sells). Lillo and Farmer have recently suggested that these correlations are compensated by opposite long-ranged fluctuations in liquidity, with an otherwise permanent market impact, challenging the scenario proposed in Quantitative Finance, 2004, 4, 176, where the impact is instead transient, with a power-law decay in time. The exponent of this decay is precisely tuned to a critical value, ensuring simultaneously that prices are diffusive on long time scales and that the impact function is nearly lag independent. We provide new analysis of empirical data that confirm and make more precise our previous claims. We show that the power-law decay of the bare impact function comes both from an excess flow of limit order opposite to the market order flow, and to a systematic anti-correlation of the bid–ask motion between trades, two effects that create a ‘liquidity molasses’ which dampens market volatility. 相似文献
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We set out to test whether the effect of promises on trustworthiness derives from the fact that they are made (internal consistency) or that they are received (social obligation). The results of an experimental trust game appeared at first to support the former mechanism. Even when trustee messages are not delivered to trustors, trustees who make a promise are more likely to act trustworthy than those who do not make a promise. However, we subsequently ran a control treatment with restricted (non-promise) communication to examine whether the correlation between promises and trustworthiness is causal. The results show that the absence of promises does not decrease average cooperation rates. This indicates that promises do not induce trustworthiness, they are just more likely to be sent by cooperators than by non-cooperators. 相似文献