Narrative Expectations in Financial Forecasting
Narrative Expectations in Financial Forecasting
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DOI：
10.1002/bdm.2245
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发表时间：
2021-03
影响因子：
2
通讯作者：
S. Johnson;D. Tuckett
中科院分区：
文献类型：
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作者：
S. Johnson;D. Tuckett
人们如何形成对未来的期望？我们使用业余投资者和专家投资者对金融资产价格的预期来研究这个问题。三个实验将新古典经济学的理性预期假设（投资者根据新古典金融理论进行预测）与两种心理学理论进行了对比：预期-形成-行为-知情预期（投资者理解经验市场异常并预期这些异常发生）和叙事预期（投资者使用叙事思维来预测未来价格）。新古典金融理论认为，过去的公开信息不能用来预测未来的价格，而参与者使用的公司业绩信息之前透露的基准价格报价预测未来的价格趋势后，报价（实验1），矛盾的理性预期。重要的是，当信息涉及对公司未来业绩的预测时，这些预测更强，而不是关于其过去业绩的实际数据，这表明人们不仅依赖于财务无关（但naradically相关）的信息来进行预测，而且错误地将时间顺序强加给这些信息。这些有偏见的预测有下游的后果，资产配置的选择（实验2），这些选择的一部分是由情感反应的公司业绩的消息（实验3）。专业知识有一些轻微的影响，但总体而言，叙事的影响似乎是一致的，在所有级别的专业知识研究，包括专业的金融分析师。最后，我们讨论了选择的叙事理论，提供了新的微观基础的经济行为的见解的前景。
How do people form expectations about the future? We use amateur and expert investors’ expectations about financial asset prices to study this question. Three experiments contrast the rational expectations assumption from neoclassical economics (investors forecast according to neoclassical financial theory) against two psychological theories of expectation-formation—behaviorally-informed expectations (investors understand empirical market anomalies and expect these anomalies to occur) and narrative expectations (investors use narrative thinking to predict future prices). Whereas neoclassical financial theory maintains that past public information cannot be used to predict future prices, participants used company performance information revealed before a base price quotation to project future price trends after that quotation (Experiment 1), contradicting rational expectations. Importantly, these projections were stronger when information concerned predictions about a company’s future performance rather than actual data about its past performance, suggesting that people not only rely on financially irrelevant (but narratively relevant) information for making predictions, but erroneously impose temporal order on that information. These biased predictions had downstream consequences for asset allocation choices (Experiment 2) and these choices were driven in part by affective reactions to the company performance news (Experiment 3). There were some mild effects of expertise, but overall the effects of narrative appear to be consistent across all levels of expertise studied, including professional financial analysts. We conclude by discussing the prospects for a narrative theory of choice that provide new micro-foundational insights about economic behavior.