A Summary for "Why Experimental Finance?"

By Shyam Sunder, Yale School of Management

International Conference on Experiments in Economic Sciences: New Approaches to Solve Real World Problems

Okayama, Japan, December 14-15, 2004.

這是耶魯大學管院 Shyam Sunder 的演講投影片, 我閱讀理解後所整理的重點摘要與注釋 (不全然是翻譯)。

1. Why Do We Need More Data from Experimental Markets?

Asset markets 中有很多 (交易) 資料, 但是缺乏「預期」(expectations) 的資料, 但這卻是眾多財務理論中重要的假設。另外在實驗中可以在控制的環境中設定 (已知) 的參數 (註: 例如資產報酬風險的大小),以利檢證財務理論。

2. What Can Simple Experiments Tell Us about Complex Markets?

科學的目標即是尋找「簡單的法則」,來預測大部份 (不是全部) 的有趣之真實世界之現象

3. Is This Behavioral Economics/Finance?

經濟 (財務) 實驗強調市場及其他相關制度的設計對交易者之影響,其研究重點是:

  • 制度與規則 (市場微結構 microstructures)
  • 基於已知的資訊,市場參與者如何思考與行動
  • 設計實驗以區別何種理論較符合市場運作現況
  • 便於當做測試不同制度下之風洞試驗場 (test beds)
  • 分析焦點是均衡、效率、價格、和分配
  • 可與「現地實證研究」 (field empirical research) 互補

4. What Have We Learned from Experiments?

實驗運用於財務領域大致是從 1980 年代前後開始 (我印象中也是 Vernon Smith 先開始的),也發掘了一些有趣,不可能單獨從「現地實證研究」中發現的財務市場現象。

Key findings:

  • Security markets can aggregate and disseminate information (efficient markets)
  • But they do not always do so (inefficiency)
  • Information dissemination, when it occurs, is rarely instantaneous or perfect (learning takes time)
  • Markets permit costly research to persist in equilibrium (why pay for research?)
  • Price, as well as bids, offers, timing, etc., transmit information (many channels for information flow)
  • Well-functioning derivative markets help improve the efficiency of primary markets
  • Most important: statistical efficiency or inability to make money from past data does not mean informational efficiency (“can’t make money” does not mean “the price is right”)

Efficient Markets: Information Dissemination

Plott and Sunder (Journal of Political Economy, 1982) established the basic proposition through a simple experiment :

  • Can markets disseminate information from those who know to those who don’t?
  • Could not be established from analysis of field data because we don’t know the distribution of information among investors?

主要實驗發現:

  • Markets can disseminate information from the informed to the uninformed investors
  • Dissemination can occur through trading, without exchange of verbal communication
  • Such markets can achieve high levels of informational efficiency
  • Securities end up in the hands of those who value them most

(待續…)

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