Essays on Behavioral Finance

这项研究有助于行为金融学的两个核心原则：专业交易者套利的限制和个人投资者的认知偏差。它包括三个项目。第一个项目提供了一个创新的解释，持续的错误定价，突出的困难，专业交易员面临的同步纠正交易活动。价格调整被推迟，因为如果其他人决定推迟交易，没有个人交易者愿意提前交易。在这种情况下，行为交易者（他们的交易是由心理因素驱动的）将对价格过程产生影响，因为他们的行为不会立即被专业交易者撤销。第二个项目着眼于一种特殊形式的错误定价：不断增长的泡沫。这是一项实验研究，旨在验证理性仲裁者宁愿乘坐泡沫而不愿逆泡沫交易的预测。本项目还试图分析订单流和交易量的市场透明度对错误定价持续性的影响程度。这个实验室实验的新奇在于，与以前的文献相比，我们预计即使在受试者对游戏变得更加熟悉之后，泡沫也不会消失。第三个项目明确地模拟了一些行为偏差。这项研究为“处置效应”提供了一个新的微观基础解释，即个人投资者不愿意实现损失。这项研究将表明，对于那些对资本收益和损失具有时间不一致偏好的人来说，这种不情愿是很自然的。我们的方法的优点是它更简洁，因此更容易测试。这项研究具有重要的规范意义。错误定价，特别是泡沫，不仅造成了数十亿美元的重新分配，而且泡沫的破裂还造成了市场的不确定性，甚至可能导致经济衰退。纳斯达克市场最近的科技泡沫生动地提醒人们这些风险。拟议的项目将通过审查推动金融市场的理性和心理力量以及强调交易透明度的重要性来提高我们的知识水平。

This research contributes to the two central tenets of behavioral finance: limits to arbitrage by professional traders, and cognitive biases of individual investors. It consists of three projects. The first project provides an innovative explanation for the persistence of mispricing by highlighting the difficulty professional traders face in synchronizing their corrective trading activity. Price correction is delayed because no individual trader wants to trade early if others decide to postpone their trade. In this setting, behavioral traders (whose trading is driven by psychological factors) will have an effect on the price process because their actions are not immediately undone by professional traders. The second project looks at a special form of mispricing: a growing bubble. It is an experimental study that tests the prediction that rational arbitrageurs would rather ride a bubble than trade against it. This project also attempts to analyze the extent to which market transparency of order flow and trading volume affects the persistence of mispricing. The novelty of this laboratory experiment is that, in contrast to the previous literature, we expect that bubbles will not die away even after subjects have become more familiar with the game. The third project explicitly models some behavioral biases. The study provides a new microfoundations based explanation for the "disposition effect" which states that individual investors are reluctant to realize losses. The study will show that this reluctance follows naturally for individuals with time-inconsistent preferences over capital gains and losses. The advantage of our approach is that it is more parsimonious and hence is easier to test.This research has significant normative implications. Mispricing in general, and bubbles in particular, are not only responsible for the redistribution of billions of dollars, but their bursting causes market uncertainty and can even lead to recessions. The recent technology bubble on the NASDAQ market is a vivid reminder of these risks. The proposed projects will enhance the state of our knowledge by scrutinizing rational and psychological forces that drive financial markets and by highlighting the importance of transparency of trades.