Journal of Financial and Quantitative Analysis, Volume 54, Issue 1, February 2019

实验资本市场中信念的异质性和交易

作者：Tim A. Carlé (University of Luxembourg, Luxembourg)

Yaron Lahav (Ben-Gurion University of the Negev, Israel)

Tibor Neugebauer (University of Luxembourg, Luxembourg)

Charles N. Noussair (University of Arizona, USA)

摘要：我们利用实验资本市场数据研究了交易者预期与市场结果之间的关系。数据显示，价格预期高的人购买频率更高，出价更高，而价格预期低的人出售频率更高，出价更低。拥有更准确预期的交易者可以获得更高的收益。仅使用信念数据进行的模拟很好地再现了市场中观察到的定价模式，表明预期的异质性是解释市场活动的关键。

Heterogeneity of Beliefs and Trade in Experimental Asset Markets

Tim A. Carlé (University of Luxembourg, Luxembourg), Yaron Lahav (Ben-Gurion University of the Negev, Israel), Tibor Neugebauer (University of Luxembourg, Luxembourg), Charles N. Noussair (University of Arizona, USA)

ABSTRACT

We investigate the relationship between traders’ expectations and market outcomes with experimental asset market data. The data show that those who have high price expectations buy more frequently and submit higher bids, and those who hold low price expectations sell more frequently and submit lower bids. Traders who have more accurate expectations achieve greater earnings. Simulations using only belief data reproduce the pricing patterns observed in the market well, indicating that the heterogeneity of expectations is a key to explaining market activity.

原文链接：https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/heterogeneity-of-beliefs-and-trade-in-experimental-asset-markets/167A170A9A7665C073F5245A464F7A93

翻译：阙江静