2013年7月18日木曜日

How psychological framing affects economic market prices in the lab and field

Ulrich Sonnemann, Colin F. Camerer, Craig R. Fox, and Thomas Langer
PNAS July 16, 2013 vol. 110 no. 29 11779-11784

ヒトの確率判断にはバイアスがあり(partition-dependence*)、それが市場価格にも反映される。
ラボ/フィールド実験、フィールドデータで検証。

*partition-dependence:
全ての起こり得る事象をN種類に分類した場合、その分類方法に依らず、N種の(分類された)事象は等確率で起こると判断してしまう。
うーん、説明が難しいな。
↓こういうことです。
"judged likelihoods of possible events vary systematically with the way the entire event space is partitioned, with probabilities of each of N partitioned events biased toward 1/N"

A fundamental debate in social sciences concerns how individual judgments and choices, resulting from psychological mechanisms, are manifested in collective economic behavior. Economists emphasize the capacity of markets to aggregate information distributed among traders into rational equilibrium prices. However, psychologists have identified pervasive and systematic biases in individual judgment that they generally assume will affect collective behavior. In particular, recent studies have found that judged likelihoods of possible events vary systematically with the way the entire event space is partitioned, with probabilities of each of N partitioned events biased toward 1/N. Thus, combining events into a common partition lowers perceived probability, and unpacking events into separate partitions increases their perceived probability. We look for evidence of such bias in various prediction markets, in which prices can be interpreted as probabilities of upcoming events. In two highly controlled experimental studies, we find clear evidence of partition dependence in a 2-h laboratory experiment and a field experiment on National Basketball Association (NBA) and Federation Internationale de Football Association (FIFA World Cup) sports events spanning several weeks. We also find evidence consistent with partition dependence in nonexperimental field data from prediction markets for economic derivatives (guessing the values of important macroeconomic statistics) and horse races. Results in any one of the studies might be explained by a specialized alternative theory, but no alternative theories can explain the results of all four studies. We conclude that psychological biases in individual judgment can affect market prices, and understanding those effects requires combining a variety of methods from psychology and economics.

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