Information Processing Biases in Experimental Asset Markets

市场价格是对价值的良好估计吗？经济学家通常会给出肯定的回答，但其他社会和行为科学家就不那么确定了。心理学、政治学和社会学的大量文献发现，个体在处理信息的过程中存在判断偏差。这个项目考察了对资产价值的判断偏差是否会影响市场的交易行为。实验室实验被用来检验判断偏差的存在。开发了一种在实验室环境中测量判断偏差的成本的程序。在实际情况中，人们通常无法控制判断偏差的数量，因此需要在没有实验控制的情况下衡量判断偏差的成本。发展了这些实证方法，并使用了两种验证方法。在存在判断偏差的情况下，只要某些交易者消息灵通并充当套利者，市场价格就可能被正确确定。这种可能性作为实验设计的一部分进行了检验。市场准确预测未来事件的能力往往被经济学家视为理所当然，尽管心理学家证明，在执行市场有效运行所需的任务时，个人存在严重的判断偏差。对于经济学家来说，有关这些偏见的心理学证据往往难以令人信服。证明他们存在的实验研究经常使用被要求参与的无偿学生来获得课程学分。因此，参与者没有任何利害关系。如果这些偏见确实存在于个人层面，那么在个人拥有经济激励并可以获得经验以避免错误的市场环境中，它们还能坚持下去吗？最后，如果这些偏见确实存在，它们在任何有意义的意义上都很重要吗？如果判断偏差只让一个人付出1美分的代价，那么普遍存在判断偏差的持续统计证据就不那么重要了。这个项目很重要，因为它制定了判断偏差成本的严格衡量标准，并对试验性资产市场中是否存在重大判断偏差进行了测试。

Are market prices a good estimate of value? Economists routinely answer yes, but other social and behavioral scientists are less certain. An abundant literature in psychology, political science, and sociology finds judgement bias in the processing of information by individuals. This project examines whether judgement bias about the value of an asset can affect trading behavior in markets. Laboratory experiments are used to test for the existence of judgement bias. A procedure is developed for measuring the cost of judgement bias in a laboratory setting. In practical situations one normally would not be able to control the amount of judgement bias, hence there is a need for methods that measure the cost of judgement bias in the absence of experimental control. These empirical methods are developed and two methods of validation are used. Market prices might be correctly established in the presence of judgement bias as long as some group of traders are sufficiently well-informed and act as arbitragers. This possibility is examined as part of the experimental design. The ability of markets to accurately forecast future events is often taken for granted by economists despite demonstrations by psychologists of the existence of substantial judgement biases by individuals in performing the tasks necessary for the efficient operation of markets. To an economist, the psychological evidence about these biases is often unconvincing. The experimental studies which document their existence frequently use unpaid students who are required to participate to earn course credit. Thus participants have nothing at stake. If these biases do exist at the individual level, can they persist in a market setting where individuals have financial incentives and can gain experience to avoid mistakes? Finally, if these biases do exist are they important in any meaningful sense? Persistent statistical evidence of widespread judgement bias would be of little importance if judgement bias cost an individual only one cent. This project is important because it develops rigorous measures of the cost of judgement bias and tests for the presence of significant judgement bias in experimental asset markets.