Individual Reaction to Past Performance Sequences: Evidence from a Real Marketplace

• 成果类型: Article
• 署名作者: Andrikogiannopoulou, Angie; Papakonstantinou, Filippos
• 署名单位: University of London; London School Economics & Political Science; Imperial College London
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2016.2636
• 发表日期: 2018
• 页码: 1957-1973
• 关键词: momentum; Individual decision making; Heterogeneity; Behavioral biases; sports betting

摘要

We use novel data on individual activity in a sports betting market to study the effect of past performance sequences on individual behavior in a real market. The idiosyncratic nature of risk in this market and the revelation of assets' true terminal values enables us to disentangle whether behavior is caused by sentiment or by superior information about market mispricings and to cleanly test two prominent theories of momentum and reversals-the regime-shifting model of Barberis et al. [Barberis N, Shleifer A, Vishny R (1998) A model of investor sentiment. J. Financial Econom. 49(3): 307-343] and the gambler's/hot-hand fallacy model of Rabin [Rabin M (2002) Inference by believers in the law of small numbers. Quart. J. Econom. 117(3): 775-816]. Furthermore, our long panel enables us to study the prevalence across individuals of each type of behavior. We find that (i) three-quarters of individuals exhibit trend-chasing behavior, (ii) seven times as many individuals exhibit behavior consistent with Barberis et al. (1998) as exhibit behavior consistent with Rabin (2002), and (iii) no individuals earn superior returns from momentum trading.