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金融市场中过度自信和有限理性的区分：理论及实验结果
Shimon Kogan2 Haas School of Business University of California at Berkeley November 18, 2004
Abstract
This paper studies the causal e¤ect of individuals’overcon…dence and bounded rationality on asset markets. To do that, we combine a new market mecha- nism with an experimental design, where (1) players’interaction is centered on the inferences they make about each others’information, (2) overcon…- dence in private information is controlled by the experimenter (i.e., used as a treatment), and (3) natural analogs to prices, returns and volume exist. We …nd that in sessions where subjects are induced to be overcon…dent, volume, price errors and volatility analogs are higher than predicted by the fully-rational model. However, qualitatively similar results are obtained in sessions where there is no aggregate overcon…dence. To explain this, we suggest an observationally equivalent possibility: participants strategically respond to the errors contained in others’actions by rationally discounting the informativeness of these actions. Estimating a structural model of in- dividuals’decisions that allows for both overcon…dence and errors, we are able to separate these two channels. We …nd that about 40% of excess vol- ume is attributable to strategic response to errors, while the remaining is attributable to overcon…dence. If one looks at price errors or price volatil- ity, similar results are obtained. Further, we show that the distribution of estimated individual level overcon…dence is linked to the observed price reversals, present only in the overcon…dence-induced sessions. Additional …ndings are discussed.
[此贴子已经被作者于2005-2-23 13:14:27编辑过]
[Princeton ]Illiquid Assets and Self-Control.
Sebastian Ludmer∗ Princeton University Department of Economics November 22, 2004
Abstract
This paper analyzes the general equilibrium impact of satisfying time-inconsistent ("hyperbolic-discounting") individuals’ demand for commitment devices. The first finding is that the availability of such devices decreases welfare from the perspective of initial tastes (which are the ones that commitment purportedly favors), even though commitment is individually desirable, ceteris paribus. The second main result of this paper is a characterization of equilibrium (prices and portfolio holdings) when some assets are illiquid and individuals face two opposing concerns: changing preferences and uncertainty about future tastes. I show how the interaction between these two forces affect the prices of liquid and illiquid assets in an economy with a fixed supply of those assets. If taste shocks are sufficiently important, equilibrium prices display a liquidity premium and ex-ante identical agents hold the same portfolio. Illiquid assets decrease welfare as they hinder the agents’ ability to accommodate the shocks. Conversely, if time-inconsistency is sufficiently important relative to the taste shocks, prices display an illiquidity premium. The equilibrium is asymmetric, with ex-ante identical agents sorting themselves between fully committing to a future consumption profile or not committing at all. Even though illiquid assets trade at a premium, consumers are made worse off by their availability. I establish conditions under which the equilibrium must take either of those two forms.
匹配市场中的策略行为
Peter Coles1 Stanford University November 2004
Abstract Centralized two-sided markets, such as the market for medical residents, often rely on a stable matching mechanism to determine a matching between participants. Be- cause no stable matching mechanism can induce truth-telling as a dominant strategy for all participants, there is always some room in these markets for strategic misrep- resentation. In this paper we study optimal strategic misrepresentation. Roth and Rothblum [9] ¯nd that in settings with a form of informational symmetry, submitting a truncated version of one's true preference list must be optimal. We provide a frame- work which allows us to evaluate the consequences of truncation. We characterize the return to truncation for general beliefs, and solve for payo®s in a particular symmetric setting. We show that there is a unique optimal truncation point and use this result to prove the existence of a pure strategy truncation equilibrium. We then relax the sym- metry requirement and show that the more risk averse a player, the lower the degree of her optimal truncation. Hence, more conservative players should be wary of trying to `game the system.' As correlation in preferences increases, players should truncate less, implying that correlation too indicates less room for strategic misrepresentation.
Operating Leverage, Stock Market Cyclicality, and the Cross-Section of Returns Job Market Paper François Gourio∗ January, 2005
Abstract I use a putty-clay technology to explain several asset market facts. The key mechanism is as follows: a one percent increase in revenues leads to a more-than-one percent increase in profits, since labor costs don’t move one-for-one. This amplification is greater for plants with low productivity for which the average profit margin (revenue minus costs) is small. This “operating leverage” effect implies that low productivity plants benefit disproportionately from business cycle booms. These plants have thus higher systematic risk and higher average returns. This model can help explain the empirical findings of Fama and French (1992), and more generally the sources of differences in market betas across firms. I obtain supporting evidence for the mechanism using firm- and industry-level data. The aggregate effect follows from trend growth: low-productivity plants outnumber high-productivity plants, making the aggregate stock market procyclical. I examine these aggregate implications and find that this model generates a volatile stock market return that predicts the business cycle.
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