<P>金融市场中过度自信和有限理性的区分：理论及实验结果</P>
<P>Shimon Kogan2
Haas School of Business
University of California at Berkeley
November 18, 2004</P>
<P>Abstract</P>
<P>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.</P>
<P>
</P>

[此贴子已经被作者于2005-2-23 13:14:27编辑过]