Dynamic Inconsistency in Risky Choice: Evidence from the Lab and Field

• 成果类型: Article
• 署名作者: Heimer, Rawley; Iliewa, Zwetelina; Imas, Alex; Weber, Martin
• 署名单位: Arizona State University; Arizona State University-Tempe; University of Bonn; University of Chicago; University of Mannheim
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20210307
• 发表日期: 2025
• 页码: 330-363
• 关键词: myopic loss aversion; prospect-theory; disposition; BEHAVIOR; Consistency; SALIENCE; performance; preference; fallacy

摘要

We document a robust dynamic inconsistency in risky choice. Using a unique brokerage dataset and a series of experiments, we compare people's initial risk-taking plans to their subsequent decisions. Across settings, people accept risk as part of a loss-exit strategy-planning to continue taking risk after gains and stopping after losses. Actual behavior deviates from initial strategies by cutting gains early and chasing losses. More people accept risk when offered a commitment to their initial strategy. Our results help reconcile seemingly contradictory findings on risk-taking in static versus dynamic contexts. We explore implications for theory and welfare. ( JEL D81, G13, G24, G41)