Forecasting Skills in Experimental Markets: Illusion or Reality?

• 成果类型: Article
• 署名作者: Corgnet, Brice; Deck, Cary; DeSantis, Mark; Porter, David
• 署名单位: Centre National de la Recherche Scientifique (CNRS); Ecole Normale Superieure de Lyon (ENS de LYON); Universite Claude Bernard Lyon 1; Universite Jean Monnet; Universite Lyon 2; emlyon business school; University of Alabama System; University of Alabama Tuscaloosa; Chapman University System; Chapman University; Chapman University System; Chapman University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2021.4160
• 发表日期: 2022
• 页码: 5216-5232
• 关键词: Forecasting; Experimental asset markets; Theory of mind; manipulativeness; cognitive skills

摘要

There is an ongoing debate regarding the degree to which a forecaster's ability to draw correct inferences from market signals is real or illusory. This paper attempts to shed light on the debate by examining how personal characteristics do or do not affect forecaster success. Specifically, we investigate the role of fluid intelligence, manipulativeness, and theory of mind on forecast accuracy in experimental asset markets. We find that intelligence improves forecaster performance when market mispricing is low, manipulativeness improves forecaster performance when mispricing is high, and the degree to which theory of mind skills matter depends on both the level of mispricing and how information is displayed. All three of these results are consistent with hypotheses derived from the previous literature. Additionally, we observe that male forecasters outperform female forecasters after controlling for intelligence, manipulativeness, and theory of mind skills as well as risk aversion. Interestingly, we do not find any evidence that forecaster performance improves with experience across markets or within markets.