Risk Attitude, Beliefs Updating, and the Information Content of Trades: An Experiment

• 成果类型: Article
• 署名作者: Bisiere, Christophe; Decamps, Jean-Paul; Lovo, Stefano
• 署名单位: Universite de Toulouse; Universite Toulouse 1 Capitole; Centre National de la Recherche Scientifique (CNRS); Toulouse School of Economics; Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; Centre National de la Recherche Scientifique (CNRS); Hautes Etudes Commerciales (HEC) Paris
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2013.1886
• 发表日期: 2015
• 页码: 1378-1397
• 关键词: behavior under uncertainty; risk attitude; Belief updating; financial market efficiency; laboratory experiment

摘要

We conduct a series of experiments that simulate trading in financial markets. We find that the information content of the order flow varies with the strength of subjects' prior beliefs about fundamentals. The presence of intrinsic uncertainty about the asset's fundamentals reduces informational efficiency. This originates from subjects' risk attitudes and biases in the way some subjects update their beliefs. The behavior of approximately 63% of the subjects is consistent with the expected utility maximization. These subjects are either risk averse (52%) or risk loving (11%). About 22% of the subjects display non-Bayesian updating of beliefs: underconfidence emerges for weak prior beliefs, and confirmation bias occurs for strong prior beliefs. Non-Bayesian belief updating reduces market efficiency when subjects' prior beliefs are weak and increases it when the prior beliefs are strong. Data, as supplemental material, are available at http://dx.doi.org/10.1287/mnsc.2013.1886.