Do financial professionals behave according to prospect theory? An experimental study
Do financial professionals behave according to prospect theory? An experimental study
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DOI：
10.1007/s11238-011-9282-3
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发表时间：
2013-03-01
影响因子：
0.8
通讯作者：
Kammoun, Hilda
中科院分区：
文献类型：
--
作者：
Abdellaoui, Mohammed;Bleichrodt, Han;Kammoun, Hilda
前景理论越来越多地被用来解释偏离传统理性主体范式的现象。对前景理论的实证支持主要来自使用学生样本的实验室实验。显然，重要的是要知道这种支持是否以及在多大程度上适用于更自然发生的情况。本文以私人银行家和基金经理为样本，探讨了这一问题并测量了前景理论。我们得到了明确的支持前景理论。我国金融从业人员的行为遵循前景理论，违背了期望效用最大化。他们对收益是风险厌恶的，对损失是风险寻求的，他们的效用对收益是凹的，对损失是（稍微）凸的。他们也厌恶损失，但不像实验室研究中普遍观察到的那样，也不像行为金融学中假设的那样。有相当一部分人只关注收益，而在很大程度上忽视了损失，这种行为让人想起了导致当前金融危机的原因。
Prospect theory is increasingly used to explain deviations from the traditional paradigm of rational agents. Empirical support for prospect theory comes mainly from laboratory experiments using student samples. It is obviously important to know whether and to what extent this support generalizes to more naturally occurring circumstances. This article explores this question and measures prospect theory for a sample of private bankers and fund managers. We obtained clear support for prospect theory. Our financial professionals behaved according to prospect theory and violated expected utility maximization. They were risk averse for gains and risk seeking for losses and their utility was concave for gains and (slightly) convex for losses. They were also averse to losses, but less so than commonly observed in laboratory studies and assumed in behavioral finance. A substantial minority focused on gains and largely ignored losses, behavior reminiscent of what caused the current financial crisis.