Do behavioral biases affect prices?

• 成果类型: Article
• 署名作者: Coval, JD; Shumway, T
• 署名单位: Harvard University; University of Michigan System; University of Michigan
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2005.00723.x
• 发表日期: 2005
• 页码: 1-34
• 关键词: Loss aversion; MARKET; PSYCHOLOGY; outcomes; RISK; too

摘要

This paper documents strong evidence for behavioral biases among Chicago Board of Trade proprietary traders and investigates the effect these biases have on prices. Our traders appear highly loss-averse, regularly assuming above-average afternoon risk to recover from morning losses. This behavior has important short-term consequences for afternoon prices, as losing traders actively purchase contracts at higher prices and sell contracts at lower prices than those that prevailed previously. However, the market appears to distinguish these risk-seeking trades from informed trading. Prices set by loss-averse traders are reversed significantly more quickly than those set by unbiased traders.