Learning from Unrealized versus Realized Prices

• 成果类型: Article
• 署名作者: Ngangoue, M. Kathleen; Weizsaecker, Georg
• 署名单位: New York University; Humboldt University of Berlin
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MICROECONOMICS
• ISSN/ISSBN: 1945-7669
• DOI: 10.1257/mic.20180268
• 发表日期: 2021
• 页码: 174-201
• 关键词: winners curse; bounded rationality; Preference reversal; trading mechanisms; INFORMATION; predictions; auctions; thinking; MARKETS; uncertainty

摘要

Our experiments investigate the extent to which traders learn from the price, differentiating between situations where orders are submitted before versus after the price has realized. In simultaneous markets with bids that are conditional on the price, traders neglect the information conveyed by the hypothetical value of the price. In sequential markets where the price is known prior to the bid submission, traders react to price to an extent that is roughly consistent with the benchmark theory. The difference's robustness to a number of variations provides insights about the drivers of this effect.