Experimental finance

Bloomfield, Robert J., and Alyssa G. Anderson. “Experimental finance." (2010), Johnson School Research Paper Series No. 23-2010. [鏈結網址]

== YNY: 這篇文章介紹實驗方法在財務上的應用==

作者指出目前實驗財務最重要的研究課題是

市場整合資訊和如何消除個別偏誤的現象

one of the most important streams in experimental finance that relates directly to behavioral finance: the ability of markets to aggregate information and eliminate individual biases.

實驗一般來說在測試 3種假設

• 結構假設 (例如 動機, 資訊傳遞, 行為, 互動方式)
• 行為假設 (例如 偏好 效用極大化, 效用函數的形式, 決策能力)
• 均衡假設 (例如 貝氏Nash 均衡, 理性預期, 無套利價格)

(最後還提到另一種是 測試沒有解的 model, 例如 noise trader)

實驗設計 demonstration  vs 控制實驗

分析方法

The base-rate fallacy is the tendency for people to overweight current information rather than the initial base rate

Abstract

Experiments are an underused method in finance and have natural advantages for behavioral finance. Experiments can provide a useful means to circumvent several common econometric issues such as omitted variables, unobserved variables, and self-selection. Experiments can extend the theoretical models they test by relaxing various assumptions or examining settings that are too complex to be addressed analytically. Whether or not theoretical predictions are clearly known in advance, experiments are most informative when they rely on controlled manipulation, which is the source of their inferential power.

實驗平台軟體

在 https://beecl.wordpress.com/  BEECL 雲端行為實驗室

• 發生錯誤；該訂閱可能暫時失效。請稍後再試看看。

 

Asset markets in the lab: A literature review

Nuzzo, Simone, and Andrea Morone. “Asset markets in the lab: A literature review." Journal of Behavioral and Experimental Finance (2017). https://doi.org/10.1016/j.jbef.2017.02.006

==YNY==

… Duxbury (1995)provided a critical review of the concept of market efficiency and how to test it. Cadsby and Maynes (1998) gave a survey on laboratory experiments in corporate and investment finance. …Noussair and Tucker (2013) reviewed experimental research on asset pricing; Palan (2013) surveyed bubbles and crashes; Powell and Shestakova (2016) reviewed the latest research on experimental asset markets, where the values of the traded assets are homogeneous across all agents; Duxbury (2015a,b) presented some interesting literature related to experimental and behavioural finance, focusing on biases, moods and emotions.

===其它回顧文獻===

C.N. Noussair, S. Tucker, Experimental research on asset pricing, J. Econ. Surv., 27 (3) (2013), pp. 554-569.  View in article

S. SunderExperimental Asset Markets: A Survey

J. Kagel, A. Roth (Eds.), The Handbook of Experimental Economics, Princeton University Press (1995). View in article

D. DuxburyExperimental asset markets within finance

J. Econ. Surv., 9 (4) (1995), pp. 331-371. View in article

C.B. Cadsby, E. MaynesLaboratory experiments in corporate and investment finance: a survey

Manag. Decis. Econ., 19 (4/5) (1998), pp.277-298. View in article

After 1995

S. SunderExperimental Asset Markets: A Survey

J. Kagel, A. Roth (Eds.), The Handbook of Experimental Economics, Princeton University Press (1995). View in article

S. PalanA review of bubbles and crashes in experimental asset markets, J. Econ. Surv., 27 (3) (2013), pp. 570-588. View in article

O. Powell, N. ShestakovaExperimental asset markets: a survey of recent developments

J. Behav. Exp. Finance, 12 (2016),10.1016/j.jbef.2016.08.003. View in article

D. DuxburyBehavioral finance: insights from experiments I: Theory and financial markets

Rev. Behav. Finance, 7 (1) (2015), pp. 78-96. View in article

 

Journal of Behavioral and Experimental Finance (新期刊目錄)

==yny==

行為和實驗財務的專門期刊, 終於出現了…

• Point shaving? A novel experiment and new insights
• Loss aversion and focal point bias: Empirical evidence from housing markets
• The influence of trauma insurance on quality of life among cancer survivors
• Salience theory, investor sentiment, and commonality in sentiment: Evidence from the Chinese stock market
• Home bias and the returns of strategic portfolios: Neither always so good nor so bad
• Does every cloud (bubble) have a silver lining? An investigation of ESG financial markets
• How does CEOs’ early-life experience of China’s Great Famine impact corporate green innovation?
• Investor heterogeneity and anchoring-induced momentum
• Herding behaviour and monetary policy: Evidence from the ZAR market
• Nonspeculative bubbles revisited
• Voluntary insurance vs. stabilization funds: An experimental analysis on bank runs
• Skill, effort, luck: Determinants of rank-based endowments and risk-taking in a social setting
• Investment motives and performance expectations of impact investors
• Stock market reactions under the shadow of the COVID-19 pandemic: Evidence from China
• Lottery demand, weather and the cross-section of stock returns
• Air pollution and online lender behavior: Evidence from Chinese peer-to-peer lending
• Resource allocation, computational complexity, and market design
• The clientele effects in equity crowdfunding: A complex network analysis
• Unpacking the relevance of interpersonal trust in the blockchain era: Theory and experimental evidence
• Judging a book by its cover: Fund investors’ physical attractiveness stereotypes and investor behavior
• Institutional/Retail Investor Active Attention and Behavior: Firm Coverage on Mad Money
• Financial Homo Ignorans: Development and validation of a scale to measure individual differences in financial information ignorance
• Prospect Theory in M&A: Do Historical Purchase Prices Affect Merger Offer Premiums and Announcement Returns?
• Economic Predictors of the Subjective Experience of Financial Stress.
• Take the aTrain. Introducing an interface for the Accessible Transcription of Interviews
• Does parenting daughters increase corporate cash dividends? Evidence from Chinese family firms
• The role of job titles in online peer-to-peer lending: An empirical investigation on skilled borrowers
• Which ESG+F dimension matters most to retail investors? An experimental study on financial decisions and future generations
• Sustainable risk preferences on asset allocation: a higher order optimal portfolio study
• Can a machine learn from behavioral biases? Evidence from stock return predictability of deep learning models
• Wall street watches Washington: Asset pricing implications of policy uncertainty
• Ambiguity attitudes and demand for weather index insurance with and without a credit bundle: experimental evidence from Kenya
• Does overconfidence affect venture capital firms’ investment?
• Powerful female CEOs and the capital structure of firms
• Reconciling sustainability preferences and behavior — The case of mutual fund investments
• Emotional spillovers in the cryptocurrency market
• Gender differences and measurement error in financial literacy
• Proportional warm-glow theory and asset pricing
• Sensitivity of Chinese stock markets to individual investor sentiment: An analysis of Sina Weibo mood related to COVID-19
• Customer concentration and shareholder litigation risk: Evidence from a quasi-natural experiment
• Does the investment performance measure matter? A perspective from regulatory focus theory
• Evaluating SoJump.com as a tool for online behavioral research in China
• Examining the bidirectional ripple effects in the NFT markets: Risky center or hedging center?
• Financial Freedom Perception Scale (FFPS): Construction and validation
• Benefits of consistent and comprehensive financial advice during the Great Recession
• Sanpo-yoshi, top management personal values, and ESG performance
• Dynamics of momentum in financial markets based on the information diffusion in complex social networks
• Honesty is predicted by moral values and economic incentives but is unaffected by acute stress
• Do people gamble or invest in the cryptocurrency market? Transactional-level evidence from Thailand
• Price clustering on cryptocurrency order books at a US-based exchange
• Intraday herding and attention around the clock
• Tail risk connectedness in G7 stock markets: Understanding the impact of COVID-19 and related variants
• Managerial myopia and corporate social responsibility：Evidence from the textual analysis of Chinese earnings communication conferences
• Societal secrecy and ADR IPOs underpricing
• Editorial Board