Do We Follow Others when We Should? A Simple Test of Rational Expectations

• 成果类型: Article
• 署名作者: Weizsaecker, Georg
• 署名单位: Leibniz Association; DIW Berlin - Deutsches Institut fur Wirtschaftsforschung
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.100.5.2340
• 发表日期: 2010
• 页码: 2340-2360
• 关键词: Information cascades; Internet experiment; Financial market; Herd behavior; aggregation

摘要

The paper presents a meta dataset covering 13 experiments on social learning games. It is found that in situations where it is empirically optimal to follow others and contradict one's own information, the players err in the majority of cases, forgoing substantial parts of earnings. The average player contradicts her own signal only if the empirical odds ratio of the own signal being wrong, conditional on all available information, is larger than 2:1, rather than 1:1 as would be implied by rational expectations. A regression analysis formulates a straightforward test of rational expectations which strongly rejects the null. (JEL D82, D83, D84)