Workshop: Experimental Research in The Theory of Asset Pricing

研讨会：资产定价理论的实验研究

• 批准号: 1426408
• 负责人: Peter Bossaerts
• 金额: $ 2.16万
• 依托单位: University of Utah
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2014
• 资助国家: 美国
• 起止时间: 2014-09-01 至 2016-02-29
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=1426408&HistoricalAwards=false
• 关键词: Workshop; Experimental; Research; Theory; Asset

Asset pricing theory has recently been criticized for its inability to explain historical data from field markets. Yet its poor record does not mean that it is scientifically invalid. Our experience (as experimentalists) is that theorists are not aware of the scientific record of asset pricing theory (how well it works in a controlled setting). The aim of the workshop is to sensitize theorists to this record. It should make them aware not only of the successes (of the theory), but also of where the theory fails (and how the failures can be addressed). It is hoped that the workshop heralds a new era where theorists work in closer collaboration with experimentalists. The PIs have a long track record not only in financial markets experimentation, but also in the experimental method in general (having contributed successfully to neuroscience), and they have published in asset pricing theory. As such, they are uniquely positioned to moderate the proposed dialogue between theorists and experimentalists.Financial economics is rather abstract and mathematical, and its value is difficult to ascertain from merely observing real-world financial markets, which operate in a complex environment where many key variables either remain unobserved or cannot be measured reliably. In the last decade, however, tools have been developed to study financial markets in the laboratory, where real people trade for real money. The controlled setting is designed to emulate the theoretical context and as such has proven to be an ideal testing ground. The workshop aims at bringing together theorists and experimentalists in order to start a dialogue. Experimentalists are to be taught what aspects of the theory are defining, and hence, need to be tested, and theorists are to be encouraged to explain their models in terms of experiments with which to gauge scientific validity, which requires theorists to understand the experimental approach. We thereby import into finance a longstanding tradition from the physical sciences. The goal is to move finance to an evidence-based discipline. This will ultimately benefit financial markets policy formulation and rule making, which until now have primarily been model-based, or in the rare occasions where the data were available, informed only by empirical analysis of historical data.

最近，资产定价理论因无法解释现场市场的历史数据而受到批评。然而，它糟糕的记录并不意味着它在科学上是无效的。我们（作为实验主义者）的经验是，理论家并不了解资产定价理论的科学记录（在受控环境下它的效果如何）。讲习班的目的是使理论工作者认识到这一记录。它不仅应该让他们意识到（理论的）成功之处，而且应该让他们意识到理论的失败之处（以及如何解决这些失败）。人们希望，研讨会预示着一个新的时代，理论家在更密切的合作与实验。PI不仅在金融市场实验方面有着悠久的历史，而且在一般的实验方法方面也有着悠久的历史（成功地为神经科学做出了贡献），他们在资产定价理论中发表了文章。金融经济学是一个相当抽象和数学化的学科，它的价值很难仅仅通过观察现实世界的金融市场来确定，因为现实世界的金融市场是在一个复杂的环境中运行的，许多关键变量要么没有被观察到，要么无法可靠地测量。然而，在过去的十年里，已经开发出了在实验室中研究金融市场的工具，在实验室中，真实的人为真实的钱进行交易。受控设置旨在模拟理论背景，因此已被证明是理想的测试场所。讲习班的目的是将理论家和实验家聚集在一起，以便开始对话。实验主义者应该被教导理论的哪些方面是定义的，因此需要被测试，理论家应该被鼓励用实验来解释他们的模型，以衡量科学的有效性，这要求理论家理解实验方法。因此，我们将物理科学的一个悠久传统引入金融。目标是将金融学转变为一门以证据为基础的学科。这将最终有利于金融市场的政策制定和规则制定，到目前为止，这主要是基于模型的，或者在数据可用的罕见情况下，仅通过对历史数据的经验分析。