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

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。它是用于制定投资决策和指导各种应用程序中的政策的工具的基础，这些应用程序包括受监管的行业（公用事业、电信等）和养老基金。尽管这种应用得到了广泛的应用，但对这种应用的科学支持却褒贬不一。这里提出的研究旨在建立和测试一般均衡理论的更稳健的实施。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状，理论建议应该进行哪些进一步的实验，实验提供最终理论的测试；计量经济学将理论与实验形式化地联系起来。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。指导我们推理的模型是资本资产定价模型（CAPM）。实验证实了该理论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，我们的研究结果表明，围绕历史证据的争议不需要归因于理论基本原则的失败，而是归因于添加到模型中的辅助假设，以使其在现场数据上可测试。尽管如此，我们拒绝同一理论的投资组合（配置）含义。后一项发现尤其令人困惑，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，以更好地适应个体在远离市场孤立观察时的行为类型。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，随机扰动不一定总能在大型经济体中消失；在信息聚合的情况下，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，该理论还建议通过实验来揭示扰动的起源，这些扰动是建立一般平衡模型来解释数据所必需的。其中之一将决定风险是否像任何其他商品一样，以及为了理解市场行为，不需要援引任何特殊原则，这是现存理论的一个基本前提。对风险的实际态度和信念可能与这种观点不一致。除了科学和政策方面的影响外，这一建议还具有重要的教育成分。我们的实验是基于网络的，涉及了来自全国十多个本科、研究生和专业学校的许多受试者。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，要取得成果，有必要接触这么多背景各异的研究对象，这一理论解释了其中的原因。与此同时，它为学生提供了接触复杂金融市场的机会，否则由于各种地理和社会经济原因，这些学生将没有机会接触复杂的金融市场。这是一个由Peter Bossaerts和Charles Plott（加州理工学院）以及William Zame（加州大学洛杉矶分校）共同提出的合作方案。

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).