Collaborative Research: Perfect Rational Markets, Imperfectly Rational Traders: Theory and Experiment

合作研究：完美理性市场，不完美理性交易者：理论与实验

• 批准号: 0079299
• 负责人: William Zame
• 金额: $ 13.5万
• 依托单位: University of California-Los Angeles
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 2000
• 资助国家: 美国
• 起止时间: 2000-09-01 至 2004-08-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=0079299&HistoricalAwards=false
• 关键词: Collaborative; Research; Perfect; Rational; Markets

General equilibrium theory underlies our understanding of how complex economies manage risk. It is the basis of the tools used to make investment decisions and to guide policy in applications as diverse as regulated industries (utilities, telecommunications, etc.) and pension funds. In spite of this widespread use, scientific support for such applications has been mixed. The research proposed here seeks to build and test a more robust implementation of general equilibrium theory. Our work integrates theory, experiment, and econometrics in an essential way: experiments suggest the shape the theory should have, the theory suggests which further experiments should be carried out, experiments provide tests of the final theory; econometrics links theory and experiment in a formal way.We have developed and succesfully conducted laboratory experiments that test the principles of general equilibrium theory in the context of markets with risk. The model that guided our inference is the Capital Asset Pricing Model (CAPM). The experiments confirm the complex pricing relationships predicted by the theory. Since we used the same measurement tools as in the analysis of historical data in the field, our findings suggest that the controversy surrounding historical evidence need not be attributed to a failure of the basic principles of the theory, but to the auxiliary assumptions added to the models to make them testable on field data. Still, we reject the portfolio (allocation) implications of the same theory. The latter finding is particularly perplexing because the traditional theory that explains and supports the prices rests explicitly on the allocational predictions.Our theory explains the puzzle. It perturbs traditional general equilibrium models in ways that better accomodate the types of behavior of individuals when observed in isolation, away from markets. We provide a unified approach to study the effects of such perturbations. We show, for instance, that random perturbations need not always wash out in large economies; in the case of information aggregation, they cause clearcut biases. Preliminary experiments confirm our predictions. We plan to build on these initial successes, to further our understanding of pricing and allocation of risk in competitive markets. In addition, the theory suggests experiments that will uncover the origin of the perturbations that are needed to make general equilibrium models explain the data. One of these will determine whether risk is like any other commodity and that no special principles must be invoked in order to understand market behavior, a fundamental premise of extant theory. Actual attitudes towards and beliefs about risk may be at odds with this view.In addition to its scientific and policy implications, this proposal also has an important educational component. Our experiments are web-based and have involved many subjects from more than a dozen undergraduate, graduate, and professional schools across the country. These experiments provide the subjects with a unique educational experience. Our experiments have shown that access to such a large pool of subjects with diverse backgrounds is necessary to achieve results, and the theory explains why. At the same time, it provides exposure to complex financial markets to students who would otherwise not be given the opportunity, for various geographical and socio-economic reasons.This is a collaborative proposal involving Peter Bossaerts and Charles Plott (both of Caltech) and William Zame (of UCLA).

一般均衡理论是我们理解复杂经济体如何管理风险的基础。它是用于在各种受监管行业(公用事业、电信等)中做出投资决策和指导政策的工具的基础。和养老基金。尽管得到了广泛的应用，但对这类应用的科学支持却喜忧参半。这里提出的研究试图建立和测试一般均衡理论更稳健的实施。我们的工作以一种基本的方式将理论、实验和计量经济学结合在一起：实验建议理论应该具有的形式，理论建议应该进行哪些进一步的实验，实验提供对最终理论的检验；计量经济学以正式的方式将理论和实验联系起来。我们已经开发并成功地进行了实验室实验，在有风险的市场背景下测试一般均衡理论的原理。指导我们推断的模型是资本资产定价模型(CAPM)。实验证实了该理论所预测的复杂定价关系。由于我们使用了与现场历史数据分析相同的测量工具，我们的发现表明，围绕历史证据的争议不必归因于理论基本原则的失败，而是添加到模型中的辅助假设，以使它们可以在现场数据上进行检验。尽管如此，我们拒绝接受同样理论的投资组合(配置)含义。后一种发现尤其令人困惑，因为解释和支持价格的传统理论明确地依赖于配置预测。我们的理论解释了这个谜题。它扰乱了传统的一般均衡模型，使之更好地适应了孤立观察、远离市场时个人的行为类型。我们提供了一种统一的方法来研究这种扰动的影响。例如，我们表明，在大型经济体中，随机扰动不一定总是被冲走；在信息聚集的情况下，它们会导致明显的偏差。初步实验证实了我们的预测。我们计划在这些初步成功的基础上，进一步了解竞争市场中的定价和风险分配。此外，该理论建议进行实验，以揭示使一般均衡模型解释数据所需的扰动的根源。其中之一将决定风险是否像任何其他商品一样，并且不一定要援引特殊原则来理解市场行为，这是现有理论的基本前提。对风险的实际态度和信念可能与这一观点不符。除了科学和政策方面的影响外，这项建议还具有重要的教育意义。我们的实验是基于网络的，涉及全国十几所本科生、研究生和专业学校的许多学科。这些实验为受试者提供了独特的教育体验。我们的实验表明，接触到如此多具有不同背景的受试者对于取得结果是必要的，这一理论解释了为什么。与此同时，它为那些因各种地理和社会经济原因而无法获得机会的学生提供了接触复杂金融市场的机会。这是一项由加州理工大学的彼得·博萨尔特和查尔斯·普洛特以及加州大学洛杉矶分校的威廉·扎姆共同参与的合作计划。