Learning to Wait: A Laboratory Investigation

• 成果类型: Article
• 署名作者: Oprea, Ryan; Friedman, Daniel; Anderson, Steven T.
• 署名单位: United States Department of the Interior; United States Geological Survey
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1111/j.1467-937X.2009.00543.x
• 发表日期: 2009
• 页码: 1103-1124
• 关键词: Valuation

摘要

Human subjects decide when to sink a fixed cost C to seize an irreversible investment opportunity whose value V is governed by Brownian motion. The optimal policy is to invest when V first crosses a threshold V* = (1 + w*)C, where the wait option premium w* depends on drift, volatility, and expiration hazard parameters. Subjects in the Low w* treatment on average invest at values quite close to optimum. Subjects in the two Medium and the High w* treatments invested at values below optimum, but with the predicted ordering, and values approached the optimum by the last block of 20 periods.