| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3953 |
| DP3953 Informative Advertising and Product Differentiation | |
| Nikolaos Vettas; Charalambos Christou | |
| 发表日期 | 2003-06-23 |
| 出版年 | 2003 |
| 语种 | 英语 |
| 摘要 | Empirical research documents that temporary trends in stock price movements exist. Moreover, riding a trend can be a profitable investment strategy. Thus, the ability to recognize trends in stock markets influences the quality of investment decisions. In this Paper, we provide a thorough test of the trend recognition and forecasting ability of financial professionals who work in the trading room of a large bank and novices (MBA students). In an experimental study, we analyse two ways of trend prediction: probability estimates and confidence intervals. Subjects observe stock price charts, which are artificially generated by either a process with positive or negative trend and are asked to provide subjective probability estimates for the trend. In addition, the subjects were asked to state confidence intervals for the development of the chart in the future. We find that depending on the type of task either underconfidence (in probability estimates) or overconfidence (in confidence intervals) can be observed in the same trend prediction setting based on the same information. Underconfidence in probability estimates is more pronounced the longer the price history observed by subjects and the higher the discriminability of the price path generating processes. Furthermore, we find that the degree of overconfidence in both tasks is significantly positively correlated for all experimental subjects whereas performance measures are not. Our study has important implications for financial modelling. We argue that the question which psychological bias should be incorporated into a model does not depend on a specific informational setting but solely on the specific task considered. This Paper demonstrates that a theorist has to be careful when deriving assumptions about the behaviour of agents in financial markets from psychological findings. |
| 主题 | Financial Economics |
| 关键词 | Trend recognition Forecasting Conservatism Overconfidence Professionals Financial modelling |
| URL | https://cepr.org/publications/dp3953 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532935 |
| 推荐引用方式 GB/T 7714 | Nikolaos Vettas,Charalambos Christou. DP3953 Informative Advertising and Product Differentiation. 2003. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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