Do Survey Probabilities Match Financial Market Beliefs?
Do Survey Probabilities Match Financial Market Beliefs?
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DOI：
10.1080/15427560.2017.1376330
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发表时间：
2017-11
影响因子：
1.9
通讯作者：
R. Lumsdaine;Rogier Jan Dave Potter van Loon
中科院分区：
文献类型：
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作者：
R. Lumsdaine;Rogier Jan Dave Potter van Loon
摘要 本文考虑了调查受访者对股指回报率超过特定阈值的可能性的看法是否与具有类似阈值的行使价的指数期权所表明的市场观点具有可比性。其动机是观察到在有关预期未来回报的调查中用于引发主观信念的措辞类似于看涨期权购买者可能提出的问题。在这种关联的基础上，作者记录了调查受访者的观点与通过看涨期权衡量的金融市场参与者的观点之间的相似性，尽管这种关联不是一对一的。他们发现，那些对概率定律有更好理解的人之间存在更密切的联系，这表明计算能力会影响引发反应的准确性。
ABSTRACT This article considers whether survey respondents' views regarding the likelihood of stock index returns exceeding specific thresholds are comparable to market views indicated by index options with strikes at analogous thresholds. It is motivated by the observation that the wording used to elicit subjective beliefs in surveys about expected future returns resembles the question a purchaser of a call option might ask. Building on this association, the authors document a similarity between the views of survey respondents and those of financial market participants as measured through call options, although the association is not 1-for-1. They find a closer association for those demonstrating a better understanding of the laws of probability, suggesting that numeracy affects the accuracy of an elicited response.