TY - JOUR
T1 - Behavioral uncertainty and the dynamics of traders’ confidence in their price forecasts
AU - Hanaki, Nobuyuki
AU - Akiyama, Eizo
AU - Ishikawa, Ryuichiro
N1 - Funding Information:
Makoto Soga provided invaluable help in organizing the experiments. This project is partly financed by L’Institute Universitaire de France, by JSPS KAKENHI Grant Numbers 26285043 , 26350415 , 26245026 , 26590026 , and 17K18569 , by ANR ORA-Plus project “BEAM” ( ANR-15-ORAR-0004 ), by a grant-in-aid from the Zengin Foundation for Studies on Economics and Finance, and by the French government-managed l’Agence Nationale de la Recherche under Investissements d’Avenir UCA JEDI (ANR-15-IDEX-01). In particular, we thank the UCAinACTION project. We thank Geoff Whyte from Edanz Group ( www.edanzediting.com/ac ) for proof-reading a draft of this manuscript. The authors declare no conflicts of interest associated with this manuscript. The experiments reported in this paper have been approved by the Institutional Review Board of the Faculty of Engineering, Information and Systems, University of Tsukuba (No. 2012R25-1 ).
Funding Information:
Makoto Soga provided invaluable help in organizing the experiments. This project is partly financed by L'Institute Universitaire de France, by JSPS KAKENHI Grant Numbers 26285043, 26350415, 26245026, 26590026, and 17K18569, by ANR ORA-Plus project “BEAM” (ANR-15-ORAR-0004), by a grant-in-aid from the Zengin Foundation for Studies on Economics and Finance, and by the French government-managed l'Agence Nationale de la Recherche under Investissements d'Avenir UCAJEDI (ANR-15-IDEX-01). In particular, we thank the UCAinACTION project. We thank Geoff Whyte from Edanz Group (www.edanzediting.com/ac) for proof-reading a draft of this manuscript. The authors declare no conflicts of interest associated with this manuscript. The experiments reported in this paper have been approved by the Institutional Review Board of the Faculty of Engineering, Information and Systems, University of Tsukuba (No. 2012R25-1).
Publisher Copyright:
© 2018 Elsevier B.V.
PY - 2018/3
Y1 - 2018/3
N2 - By how much does the presence of behavioral uncertainty in an experimental asset market reduce subjects’ confidence in their price forecasts? An incentivized interval forecast elicitation method is employed to answer this question. Each market consists of six traders, and the value of dividends is known. Two treatments are considered: six human traders (6H), and one human interacting with five computer traders whose behavior is known (1H5C). We find that while the deviation of the initial price forecasts from fundamental value is smaller in the 1H5C treatment than in the 6H treatment, albeit not statistically significantly, the average confidence regarding the forecasts is not. We further analyze the relationships between subjects’ confidence in their forecasts and their trading behavior, as well as their trading performance, in the 6H treatment. While subjects’ high confidence in their short-term forecasts shows a negative correlation with their trading performance, high confidence in their long-term forecasts shows a positive correlation with trading performance.
AB - By how much does the presence of behavioral uncertainty in an experimental asset market reduce subjects’ confidence in their price forecasts? An incentivized interval forecast elicitation method is employed to answer this question. Each market consists of six traders, and the value of dividends is known. Two treatments are considered: six human traders (6H), and one human interacting with five computer traders whose behavior is known (1H5C). We find that while the deviation of the initial price forecasts from fundamental value is smaller in the 1H5C treatment than in the 6H treatment, albeit not statistically significantly, the average confidence regarding the forecasts is not. We further analyze the relationships between subjects’ confidence in their forecasts and their trading behavior, as well as their trading performance, in the 6H treatment. While subjects’ high confidence in their short-term forecasts shows a negative correlation with their trading performance, high confidence in their long-term forecasts shows a positive correlation with trading performance.
KW - Behavioral uncertainty
KW - Experimental asset markets
KW - Interval elicitation
KW - Price forecasts
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U2 - 10.1016/j.jedc.2018.01.020
DO - 10.1016/j.jedc.2018.01.020
M3 - Article
AN - SCOPUS:85044625011
SN - 0165-1889
VL - 88
SP - 121
EP - 136
JO - Journal of Economic Dynamics and Control
JF - Journal of Economic Dynamics and Control
ER -