Stock Market Expectations and Risk Perception of Professionals: Difference between Asking for Price Levels and Asking for Returns

近几十年来，经济学研究开始深入分析经济行为人的预期对经济结果的作用。学术研究承认，一条信息与随后的市场发展之间的联系不可避免地是经济行为者对信息的感知及其决策。关于理性预期形成和决策的规范理论假设人们有明确的主观信念，这些信念在信息的呈现方式和信息的引出方式方面是不变的。然而，违反这两个假设的不变性，表示为框架效应，是记录在大量的文献。在这个项目的范围内，我们将集中在股票市场预期的差异时，个人被要求预测股票价格水平或股票回报。关于回报和价格水平的问题具有很高的生态有效性，因为它们都用于定期的现实世界调查，并且通常被认为在实践和研究中可以互换。然而，最近的实验证据表明，这两个问题导致显着不同的预测，此外，对主观风险感知的影响。基于ZEW金融市场调查的初步验证表明，这种效应不仅仅是学生实验研究的产物，而且在考虑股票市场专业人士的期望时是一个相关问题。因此，这些结果激发了对本建议中所建议的效果的进一步研究。该效应的现实意义可能涵盖从基于调查的情绪指标的有效性和可靠性到投资决策的偏差以及金融市场变量。本项目将研究在现实世界中要求股票价格水平和要求回报之间的差异，并将分析影响的决定因素，以得出其影响范围的结论。此外，该项目还将从一段时间内的预报质量和横截面的角度对两种预报模式进行评估。最后但并非最不重要的是，我们将分析哪些表示形式-水平与回报-个人会选择内生不同的任务（预测和投资决策）。我们将解决这些研究问题，首先在ZEW金融市场调查小组参与者进行的季度重复现场实验范围内，其次，通过实验室实验和两个互联网实验范围内收集的实验数据，与商业学生和从业者。

In the recent decades, economic research has begun to intensively analyze the role of agents' expectations for economic outcomes. Academic studies acknowledge that the link between a piece of information and subsequent market development is inevitably the perception of information by economic actors and their decision making. Normative theories on rational expectation formation and decision making assume that people have clear subjective beliefs, which are invariant with respect to the manner in which information is represented and the manner in which they are elicited. However, violations of the two assumptions of invariance, denoted as framing effect, are documented in an extensive body of literature. Within the scope of this project we will focus on the difference in stock market expectations arising when individuals are asked to forecast the stock price level or the stock return. Questions on returns and price levels are of high ecological validity as they are both used in regular real-world surveys and are typically regarded as interchangeable in practice as well as in research. Recent experimental evidence, however, suggests that these two questions result in significantly different forecasts and, furthermore, have an impact on subjective risk perception. An initial validation based on the ZEW Financial Market Survey suggests that the effect is more than an artifact of experimental studies with students and is a relevant issue when considering expectations of stock market professionals. The results thus motivate further research on the effect as suggested in this proposal. The real-world implications of the effect may span from the validity and reliability of survey-based sentiment indicators to biases in investment decisions and hence financial market variables. This project will examine the difference between asking for stock price levels and asking for returns in a real-world setting and will analyze the determinants of the effect in order to draw conclusions on the scope of its impact. Furthermore, the project will evaluate both forecasts modes in terms of forecast quality over time and in a cross-section. Last but not least, we will analyze which representation form - levels vs. returns - would individuals choose endogenously for different tasks (forecasting and investment decisions). We will address these research questions firstly within the scope of a quarterly repeated field experiment conducted with the participants in the panel of ZEW Financial Market Survey and secondly, by means of experimental data which will be collected within the scope of a lab experiment and two internet experiments with both business students and practitioners.