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Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : European Economic Review, Volume 53, Issue 4, May 2009, Pages 401–416
We report two experiments which investigate whether experience of decision making in repeated markets purges behaviour of preference reversals. We investigate two behavioural mechanisms that may be shaping bids in repeated auctions: A tendency to adjust bids towards previously observed market prices, and a tendency to reduce bids following bad market outcomes. We find little support for the former but strong support for the latter. Also, whilst ‘just enough’ market exposure eliminates the typical preference reversal phenomenon, continued exposure fosters the mirror image anomaly. Therefore, although market experience shapes behaviour, in our experiments, it does not generally promote consistency with standard preference theory.
نتیجه گیری انگلیسی
There is voluminous evidence that choice behaviour deviates in predictable ways from basic assumptions of standard preference theory. Set against this, accumulating evidence indicates that some anomalies in stated preference decay when preferences are elicited in repeated markets. Close reading of this evidence, however, suggests that it is not market experience per se that has these effects, but some aspects of experience which are associated with some market types and not others. The new studies reported here explore two research questions prompted by this evidence. The first is: Can we identify specific mechanisms that promote changes in stated preference in some markets?. If we can, a second question arises: Can we determine whether those mechanisms are ‘refining’. That is, do any of these mechanisms have some general tendency to promote greater consistency between behaviour and standard preference theory? We suggest that the pursuit of these questions is an important endeavour for those seeking to understand the significance of preference anomalies for behaviour in real markets and the welfare evaluation of their outcomes. In this paper, we have focussed on understanding the dynamics of risk preference in repeated markets. We proposed two behavioural mechanisms which might organise features of the prior evidence: The price following hypothesis and the loss experience hypothesis. We then presented the results of two experiments intended to test them. While our results provide only modest support for the price following hypothesis, we find strong evidence consistent with the loss experience hypothesis. Our experiments produce particularly clear evidence of a direct loss experience effect. This is revealed as a tendency for subjects to reduce stated valuations for a lottery following the experience of holding it and losing. Since we do not find similarly strong (indirect) effects when subjects simply observe others losing on bets, this direct loss experience effect cannot be straightforwardly understood as learning about probabilities. Our results also suggest that loss experience is not the only mechanism at work and an interesting but tentative finding is that experiencing positive lottery outcomes can promote higher lottery valuations. We believe that our experiments are the first to identify the effects of loss experience in experimental markets and we conjecture that its operation may have important implications for the understanding of naturally occurring markets. For example, the presence of a corresponding behavioural effect in financial markets might contribute to an explanation of phenomena such as stock market crashes and, in particular, the initiation of financial crises such as those in the mid 1990s, which were characterised by the selling of stocks following bad market outcomes, despite market fundamentals remaining strong. Loss experience might also have implications for insurance markets. For example, if individuals become more risk averse as they experience losses, this raises a question about whether there may be some tendency for under-insurance against low probability losses. Perhaps our most surprising findings relate to the refining properties of market experience. Experiment B examined the extent to which Vickrey auctions erode perhaps the most infamous challenge to choice theory, the preference reversal phenomenon. A main finding is that in the absence of lottery feedback, PR exists and persists in the market; and while feedback has a definite effect, with enough feedback, the mirror image anomaly emerges in which non-standard reversals predominate. So our results do not show that repeated market experience eliminates PR: We find that it eliminates standard PR but only to replace it with a non-standard variety. Of course our findings are based on behaviour in a particular environment involving 10 repetitions of a random-price Vickrey auction and it may be worthwhile for future research to examine the robustness and generalisability of our results. Natural extensions to our work might investigate other variants of the Vickrey auction and larger amounts of repeated market experience. Nevertheless, our findings add to the evidence against the general presumption that market experience is refining and provide further motivation for deepening our understanding of the mechanisms that promote changes in stated preference.