| 1. |
- Menkveld, Albert J., et al.
(författare)
-
Nonstandard Errors
- 2024
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Ingår i: JOURNAL OF FINANCE. - : Wiley-Blackwell. - 0022-1082 .- 1540-6261. ; 79:3, s. 2339-2390
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Tidskriftsartikel (refereegranskat)abstract
- In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across researchers adds uncertainty-nonstandard errors (NSEs). We study NSEs by letting 164 teams test the same hypotheses on the same data. NSEs turn out to be sizable, but smaller for more reproducible or higher rated research. Adding peer-review stages reduces NSEs. We further find that this type of uncertainty is underestimated by participants.
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| 2. |
- Botvinik-Nezer, Rotem, et al.
(författare)
-
Variability in the analysis of a single neuroimaging dataset by many teams
- 2020
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Ingår i: Nature. - : Springer Science and Business Media LLC. - 0028-0836 .- 1476-4687. ; 582, s. 84-88
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Tidskriftsartikel (refereegranskat)abstract
- Data analysis workflows in many scientific domains have become increasingly complex and flexible. Here we assess the effect of this flexibility on the results of functional magnetic resonance imaging by asking 70 independent teams to analyse the same dataset, testing the same 9 ex-ante hypotheses(1). The flexibility of analytical approaches is exemplified by the fact that no two teams chose identical workflows to analyse the data. This flexibility resulted in sizeable variation in the results of hypothesis tests, even for teams whose statistical maps were highly correlated at intermediate stages of the analysis pipeline. Variation in reported results was related to several aspects of analysis methodology. Notably, a meta-analytical approach that aggregated information across teams yielded a significant consensus in activated regions. Furthermore, prediction markets of researchers in the field revealed an overestimation of the likelihood of significant findings, even by researchers with direct knowledge of the dataset(2-5). Our findings show that analytical flexibility can have substantial effects on scientific conclusions, and identify factors that may be related to variability in the analysis of functional magnetic resonance imaging. The results emphasize the importance of validating and sharing complex analysis workflows, and demonstrate the need for performing and reporting multiple analyses of the same data. Potential approaches that could be used to mitigate issues related to analytical variability are discussed. The results obtained by seventy different teams analysing the same functional magnetic resonance imaging dataset show substantial variation, highlighting the influence of analytical choices and the importance of sharing workflows publicly and performing multiple analyses.
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| 3. |
- Benjamin, Daniel J., et al.
(författare)
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Redefine statistical significance
- 2018
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Ingår i: Nature Human Behaviour. - : Nature Research (part of Springer Nature). - 2397-3374. ; 2:1, s. 6-10
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Tidskriftsartikel (övrigt vetenskapligt/konstnärligt)
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| 4. |
- Hurlin, Christophe, et al.
(författare)
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Computational Reproducibility in Finance : Evidence from 1,000 Tests
- 2024
-
Ingår i: The Review of financial studies. - : Oxford Univ Press. - 1465-7368 .- 0893-9454.
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Tidskriftsartikel (refereegranskat)abstract
- We analyze the computational reproducibility of more than 1,000 empirical answers to 6 research questions in finance provided by 168 research teams. Running the researchers' code on the same raw data regenerates exactly the same results only 52% of the time. Reproducibility is higher for researchers with better coding skills and those exerting more effort. It is lower for more technical research questions, more complex code, and results lying in the tails of the distribution. Researchers exhibit overconfidence when assessing the reproducibility of their own research. We provide guidelines for finance researchers and discuss implementable reproducibility policies for academic journals.
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| 5. |
- Menkveld, Albert J., et al.
(författare)
-
Non-Standard Errors
- 2021
-
Annan publikation (övrigt vetenskapligt/konstnärligt)abstract
- In statistics, samples are drawn from a population in a data generating process (DGP). Standard errors measure the uncertainty in sample estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence generating process (EGP). We claim that EGP variation across researchers adds uncertainty: non-standard errors. To study them, we let 164 teams test six hypotheses on the same sample. We find that non-standard errors are sizeable, on par with standard errors. Their size (i) co-varies only weakly with team merits, reproducibility, or peer rating, (ii) declines significantly after peer-feedback, and (iii) is underestimated by participants.
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| 6. |
- Menkveld, Albert J., et al.
(författare)
-
Non-Standard Errors
- 2024
-
Ingår i: Journal of Finance. - 0022-1082. ; 79:3, s. 2339-2390
-
Tidskriftsartikel (refereegranskat)abstract
- In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across researchers adds uncertainty—nonstandard errors (NSEs). We study NSEs by letting 164 teams test the same hypotheses on the same data. NSEs turn out to be sizable, but smaller for more reproducible or higher rated research. Adding peer-review stages reduces NSEs. We further find that this type of uncertainty is underestimated by participants.
|
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| 7. |
- Menkveld, Albert J., et al.
(författare)
-
Nonstandard Errors
- 2024
-
Ingår i: Journal of Finance. - : Wiley-Blackwell. - 1540-6261 .- 0022-1082. ; 79:3, s. 2339-2390
-
Tidskriftsartikel (refereegranskat)abstract
- In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across researchers adds uncertainty—nonstandard errors (NSEs). We study NSEs by letting 164 teams test the same hypotheses on the same data. NSEs turn out to be sizable, but smaller for more reproducible or higher rated research. Adding peer-review stages reduces NSEs. We further find that this type of uncertainty is underestimated by participants.
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| 8. |
- Pérignon, Christophe, et al.
(författare)
-
Reproducibility of Empirical Results : Evidence from 1,000 Tests in Finance
- 2022
-
Ingår i: SSRN Electronic Journal. - Paris : HEC Paris. - 1556-5068.
-
Annan publikation (övrigt vetenskapligt/konstnärligt)abstract
- We analyze the computational reproducibility of more than 1,000 empirical answers to six research questions in finance provided by 168 international research teams. Surprisingly, neither researcher seniority, nor the quality of the research paper seem related to the level of reproducibility. Moreover, researchers exhibit strong overconfidence when assessing the reproducibility of their own research and underestimate the difficulty faced by their peers when attempting to reproduce their results. We further find that reproducibility is higher for researchers with better coding skills and for those exerting more effort. It is lower for more technical research questions and more complex code
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| 9. |
- Aczel, Balazs, et al.
(författare)
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Consensus-based guidance for conducting and reporting multi-analyst studies
- 2021
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Ingår i: eLIFE. - : eLife Sciences Publications. - 2050-084X. ; 10
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Tidskriftsartikel (refereegranskat)abstract
- Any large dataset can be analyzed in a number of ways, and it is possible that the use of different analysis strategies will lead to different results and conclusions. One way to assess whether the results obtained depend on the analysis strategy chosen is to employ multiple analysts and leave each of them free to follow their own approach. Here, we present consensus-based guidance for conducting and reporting such multi-analyst studies, and we discuss how broader adoption of the multi-analyst approach has the potential to strengthen the robustness of results and conclusions obtained from analyses of datasets in basic and applied research.
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| 10. |
- Altmejd, Adam, et al.
(författare)
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Predicting the replicability of social science lab experiments
- 2019
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Ingår i: PLOS ONE. - : Public Library of Science (PLoS). - 1932-6203. ; 14:12
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Tidskriftsartikel (refereegranskat)abstract
- We measure how accurately replication of experimental results can be predicted by black-box statistical models. With data from four large-scale replication projects in experimental psychology and economics, and techniques from machine learning, we train predictive models and study which variables drive predictable replication. The models predicts binary replication with a cross-validated accuracy rate of 70% (AUC of 0.77) and estimates of relative effect sizes with a Spearman ρ of 0.38. The accuracy level is similar to market-aggregated beliefs of peer scientists [1, 2]. The predictive power is validated in a pre-registered out of sample test of the outcome of [3], where 71% (AUC of 0.73) of replications are predicted correctly and effect size correlations amount to ρ = 0.25. Basic features such as the sample and effect sizes in original papers, and whether reported effects are single-variable main effects or two-variable interactions, are predictive of successful replication. The models presented in this paper are simple tools to produce cheap, prognostic replicability metrics. These models could be useful in institutionalizing the process of evaluation of new findings and guiding resources to those direct replications that are likely to be most informative.
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| 11. |
- Brütt, Katharina, et al.
(författare)
-
Competition and moral behavior: A meta-analysis of forty-five crowd-sourced experimental designs
- 2023
-
Ingår i: Proceedings of the National Academy of Sciences - PNAS. - : National Academy of Sciences. - 1091-6490 .- 0027-8424. ; 120:23
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Tidskriftsartikel (refereegranskat)abstract
- Does competition affect moral behavior? This fundamental question has been debated among leading scholars for centuries, and more recently, it has been tested in experimental studies yielding a body of rather inconclusive empirical evidence. A potential source of ambivalent empirical results on the same hypothesis is design heterogeneity-variation in true effect sizes across various reasonable experimental research protocols. To provide further evidence on whether competition affects moral behavior and to examine whether the generalizability of a single experimental study is jeopardized by design heterogeneity, we invited independent research teams to contribute experimental designs to a crowd-sourced project. In a large-scale online data collection, 18,123 experimental participants were randomly allocated to 45 randomly selected experimental designs out of 95 submitted designs. We find a small adverse effect of competition on moral behavior in a meta-analysis of the pooled data. The crowd-sourced design of our study allows for a clean identification and estimation of the variation in effect sizes above and beyond what could be expected due to sampling variance. We find substantial design heterogeneity-estimated to be about 1.6 times as large as the average standard error of effect size estimates of the 45 research designs-indicating that the informativeness and generalizability of results based on a single experimental design are limited. Drawing strong conclusions about the underlying hypotheses in the presence of substantive design heterogeneity requires moving toward much larger data collections on various experimental designs testing the same hypothesis.
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| 12. |
- Camerer, C. F., et al.
(författare)
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Evaluating replicability of laboratory experiments in economics
- 2016
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Ingår i: Science. - : American Association for the Advancement of Science (AAAS). - 0036-8075 .- 1095-9203. ; 351:6280, s. 1433-1436
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Tidskriftsartikel (refereegranskat)abstract
- The replicability of some scientific findings has recently been called into question. To contribute data about replicability in economics, we replicated 18 studies published in the American Economic Review and the Quarterly Journal of Economics between 2011 and 2014. All of these replications followed predefined analysis plans that weremade publicly available beforehand, and they all have a statistical power of at least 90% to detect the original effect size at the 5% significance level. We found a significant effect in the same direction as in the original study for 11 replications (61%); on average, the replicated effect size is 66% of the original. The replicability rate varies between 67% and 78% for four additional replicability indicators, including a prediction market measure of peer beliefs.
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| 13. |
- Camerer, C. F., et al.
(författare)
-
Evaluating the replicability of social science experiments in Nature and Science between 2010 and 2015
- 2018
-
Ingår i: Nature Human Behaviour. - : Springer Science and Business Media LLC. - 2397-3374. ; 2:9, s. 637-644
-
Tidskriftsartikel (refereegranskat)abstract
- Being able to replicate scientific findings is crucial for scientific progress1-15. We replicate 21 systematically selected experimental studies in the social sciences published in Nature and Science between 2010 and 201516-36. The replications follow analysis plans reviewed by the original authors and pre-registered prior to the replications. The replications are high powered, with sample sizes on average about five times higher than in the original studies. We find a significant effect in the same direction as the original study for 13 (62%) studies, and the effect size of the replications is on average about 50% of the original effect size. Replicability varies between 12 (57%) and 14 (67%) studies for complementary replicability indicators. Consistent with these results, the estimated truepositive rate is 67% in a Bayesian analysis. The relative effect size of true positives is estimated to be 71%, suggesting that both false positives and inflated effect sizes of true positives contribute to imperfect reproducibility. Furthermore, we find that peer beliefs of replicability are strongly related to replicability, suggesting that the research community could predict which results would replicate and that failures to replicate were not the result of chance alone.
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| 14. |
- Dijk, Oege, et al.
(författare)
-
Rank matters-The impact of social competition on portfolio choice
- 2014
-
Ingår i: European Economic Review. - : Elsevier BV. - 0014-2921 .- 1873-572X. ; 66, s. 97-110
-
Tidskriftsartikel (refereegranskat)abstract
- Tournament incentives' schemes have been criticized for inducing excessive risk-taking among financial market participants. In this paper we investigate how relative performance-based incentive schemes and status concerns for higher rank influence portfolio choice in laboratory experiments. We find that both underperformers and over-performers adapt their portfolios to their current relative performance, preferring either positively or negatively skewed assets, respectively. Most importantly, these results hold both when relative performance is instrumental for higher payoffs in a tournament and when it is only intrinsically motivating and not payout-relevant. We find no effects when no relative performance information is given. © 2013 Elsevier B.V.
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| 15. |
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| 16. |
- Fang, Dawei, 1983, et al.
(författare)
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How tournament incentives affect asset markets: A comparison between winner-take-all tournaments and elimination contests
- 2017
-
Ingår i: Journal of Economic Dynamics and Control. - : Elsevier BV. - 0165-1889. ; 75, s. 1-27
-
Tidskriftsartikel (refereegranskat)abstract
- We investigate the impact of investment managers׳ tournament incentives on investment strategies and market efficiency, distinguishing between winner-take-all tournaments (WTA), where a minority wins, and elimination contests (EC), where a majority wins. Theoretically, we show that investment managers play heterogeneous strategies in WTA and homogeneous strategies in EC, and markets are more prone to mispricing in WTA than in EC. Experimentally, we find that investment managers play more heterogeneous strategies in WTA than in EC, but this does not trigger significant differences in prices. Moreover, prices in WTA and EC do not differ significantly from markets composed of linearly incentivized subjects.
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| 17. |
- Farago, Adam, 1984, et al.
(författare)
-
Cognitive Skills and Economic Preferences in the Fund Industry*
- 2022
-
Ingår i: Economic Journal. - : Oxford University Press (OUP). - 0013-0133 .- 1468-0297. ; 132:645, s. 1737-1764
-
Tidskriftsartikel (refereegranskat)abstract
- We investigate the impact of cognitive skills and economic preferences on fund managers' professional decisions by running a battery of experiments with them. First, we find that fund managers' risk tolerance positively correlates with fund risk when accounting for fund benchmark, fund category and other controls. Second, we show that fund managers' ambiguity tolerance positively correlates with the funds' tracking error from the benchmark. Finally, we report that cognitive skills do not explain fund performance in terms of excess returns. However, we do find that fund managers with high cognitive reflection abilities compose funds at lower risk.
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| 18. |
- Hanke, M., et al.
(författare)
-
Football championships and jersey sponsors' stock prices: an empirical investigation
- 2013
-
Ingår i: European Journal of Finance. - : Informa UK Limited. - 1351-847X .- 1466-4364. ; 19:3, s. 228-241
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Tidskriftsartikel (refereegranskat)abstract
- Corporate sports sponsorship is an important part of many companies' corporate communication strategy. In this paper, we take the example of major football tournaments to show that sponsorship indeed affects the sponsor's (stock) market value. We find a statistically significant impact of football results (at an individual match level) of the seven most important football nations at European and World Championships on the stock prices of jersey sponsors. In general, the more important a match and the less expected its result, the higher its impact. In addition, we find a form of mere-exposure' effect which is difficult to reconcile with the efficient markets hypothesis.
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| 19. |
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| 20. |
- Holmén, Martin, 1966, et al.
(författare)
-
Do Option-like Incentives Induce Overvaluation? Evidence from Experimental Asset Markets
- 2012
-
Rapport (övrigt vetenskapligt/konstnärligt)abstract
- One potential reason for bubbles evolving prior to the financial crisis was excessive risk taking stemming from option-like incentive schemes in financial institutions. By running laboratory asset markets, we investigate the impact of option-like incentives on price formation and trading behavior. We observe (i) that option-like incentives induce significantly higher market prices than linear incentives. We further find that (ii) option-like incentives provoke subjects to behave differently and to take more risk than subjects with linear incentives. We finally show that (iii) trading at inflated prices is rational for subjects with option-like incentives since it increases their expected payout.
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| 21. |
- Holmén, Martin, 1966, et al.
(författare)
-
Do option-like incentives induce overvaluation? Evidence from experimental asset markets
- 2014
-
Ingår i: Journal of Economic Dynamics and Control. - : Elsevier BV. - 0165-1889. ; 40, s. 179-194
-
Tidskriftsartikel (refereegranskat)abstract
- One potential reason for bubbles evolving prior to the financial crisis was excessive risk taking stemming from option-like incentive schemes in financial institutions. By running laboratory asset markets, we investigate the impact of option-like incentives on price formation and trading behavior. The main results are that (i) we observe significantly higher market prices with option-like incentives than linear incentives. (ii) We further find that option-like incentives provoke subjects to behave differently and to take more risk than subjects with linear incentives. (iii) We finally show that trading at inflated prices is rational for subjects with option-like incentives since it increases their expected payout. © 2014 Elsevier B.V.
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| 22. |
- Holmen, Martin, 1976, et al.
(författare)
-
Economic Preferences and Personality Traits Among Finance Professionals and the General Population
- 2023
-
Ingår i: Economic Journal. - 0013-0133 .- 1468-0297. ; 133:656
-
Tidskriftsartikel (refereegranskat)abstract
- Based on artefactual field experiments, we investigate whether finance professionals differ from a sample of the working population in terms of industry-relevant preferences and personality traits. When adjusting for socioeconomic characteristics, we find only few and less marked differences: finance professionals are less risk averse, less trustworthy, show higher levels of psychopathy and are more competitive than participants from the general population. In an additional survey, experts with hiring experience consider industry selection, self-selection and imprinting by industry norms as explanatory for the observed subject pool differences.
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| 23. |
- Holzmeister, Felix, et al.
(författare)
-
Delegation Decisions in Finance
- 2020
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Annan publikation (övrigt vetenskapligt/konstnärligt)abstract
- We run an online experiment with finance professionals and subjects from the general population (clients) to examine drivers and implications of clients' delegation decisions. We find that clients favor delegation to investment algorithms, followed by delegation to finance professionals with aligned incentives and lastly to those with fixed incentives. We also show that trust in investment algorithms or money managers (finance professionals), respectively, and clients' propensity to shift blame on others increases the likelihood of delegation, whereas own decision-making quality is associated with a decrease. In measuring the implications of clients' delegation decisions, we report high variability among finance professionals' perceptions of clients' preferred risk levels. We show that this results in overlaps in portfolio risk across risk-levels of clients, indicating problems of risk communication between clients and their money managers.
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| 24. |
- Holzmeister, Felix, et al.
(författare)
-
Delegation Decisions in Finance
- 2023
-
Ingår i: Management Science. - : Institute for Operations Research and the Management Sciences (INFORMS). - 0025-1909 .- 1526-5501. ; 69:8, s. 4828-4844
-
Tidskriftsartikel (refereegranskat)abstract
- Based on an online experimentwith a sample of finance professionals and participants from the general population (acting as clients), we examine drivers and motives of clients' choices to delegate investment decisions to agents.We find that clients favor delegation to investment algorithms, followed by delegation to finance professionals compensated with an aligned incentive scheme, and lastly to finance professionals receiving a fixed payment for investing on behalf of others. We show that trust in investment algorithms or finance professionals, and clients' propensity to shift blame on others increase the likelihood of delegation, whereas clients' own decision-making quality is associated with a decrease in delegation frequency.
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| 25. |
- Holzmeister, Felix, et al.
(författare)
-
Heterogeneity in effect size estimates : Empirical evidence and practical implications
- 2023
-
Annan publikation (övrigt vetenskapligt/konstnärligt)abstract
- A typical empirical study involves choosing a sample, a research design, and an analysis path. Variation in such choices across studies leads to heterogeneity in results that introduce an additional layer of uncertainty not accounted for in reported standard errors and confidence intervals. We provide a framework for studying heterogeneity in the social sciences and divide heterogeneity into population heterogeneity, design heterogeneity, and analytical heterogeneity. We estimate each type's heterogeneity from multi-lab replication studies, prospective meta-analyses of studies varying experimental designs, and multi-analyst studies. Our results suggest that population heterogeneity tends to be relatively small, whereas design and analytical heterogeneity are large. A conservative interpretation of the estimates suggests that incorporating the uncertainty due to heterogeneity would approximately double sample standard errors and confidence intervals. We illustrate that heterogeneity of this magnitude — unless properly accounted for —has severe implications for statistical inference with strongly increased rates of false scientific claims.
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| 26. |
- Holzmeister, Felix, et al.
(författare)
-
Heterogeneity in effect size estimates
- 2024
-
Ingår i: Proceedings of the National Academy of Sciences - PNAS. - : The National Academy of Sciences. - 1091-6490 .- 0027-8424. ; 121:32
-
Tidskriftsartikel (refereegranskat)abstract
- A typical empirical study involves choosing a sample, a research design, and an analysis path. Variation in such choices across studies leads to heterogeneity in results that introduce an additional layer of uncertainty, limiting the generalizability of published scientific findings. We provide a framework for studying heterogeneity in the social sciences and divide heterogeneity into population, design, and analytical heterogeneity. Our framework suggests that after accounting for heterogeneity, the probability that the tested hypothesis is true for the average population, design, and analysis path can be much lower than implied by nominal error rates of statistically significant individual studies. We estimate each type's heterogeneity from 70 multilab replication studies, 11 prospective meta-analyses of studies employing different experimental designs, and 5 multianalyst studies. In our data, population heterogeneity tends to be relatively small, whereas design and analytical heterogeneity are large. Our results should, however, be interpreted cautiously due to the limited number of studies and the large uncertainty in the heterogeneity estimates. We discuss several ways to parse and account for heterogeneity in the context of different methodologies.
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| 27. |
- Huber, Jürgen, et al.
(författare)
-
Experimental asset markets with endogenous choice of costly asymmetric information
- 2011
-
Ingår i: Experimental Economics. - 1386-4157. ; 14:2, s. 223-240
-
Tidskriftsartikel (refereegranskat)abstract
- Asymmetric distribution of information, while omnipresent in real markets, is rarely considered in experimental financial markets. We present results from experiments where subjects endogenously choose between five information levels (four of them costly). We find that (i) uninformed traders earn the highest net returns, while average informed traders always perform worst even when information costs are not considered; (ii) over time traders learn to pick the most advantageous information levels (full information or no information); and (iii) market efficiency decreases with higher information costs. These results are mostly in line with the theoretical predictions of Grossman and Stiglitz (Am. Econ. Rev. 70:393–408, 1980) and provide additional insights that studies with only two information levels cannot deliver.
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| 28. |
- Huber, J., et al.
(författare)
-
Experimental evidence on varying uncertainty and skewness in laboratory double-auction markets
- 2014
-
Ingår i: Journal of Economic Behavior & Organization. - : Elsevier BV. - 0167-2681. ; 107, s. 798-809
-
Tidskriftsartikel (refereegranskat)abstract
- We investigate the influence of skewness in asset fundamentals on asset prices under different states of uncertainty in double-auction markets. Three different types of assets are considered: risky assets, ambiguous assets and assets where the fundamental value distribution can be learned by repeated sampling of realizations. We show that market prices for skewed assets initially differ from those of non-skewed assets for risky as well as for ambiguous assets. Because of learning, the difference in market prices mostly disappears towards the end of trading. When fundamentals are "learned" by experience sampling, prices of all assets, irrespective of skewness, are very efficient from the beginning. Thus, when probabilities are not described but experienced, subjects are better able to estimate the fundamental value of an asset. (C) 2014 Elsevier B.V. All rights reserved.
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| 29. |
- Huber, Jürgen, et al.
(författare)
-
Is more information always better? Experimental financial markets with cumulative information
- 2008
-
Ingår i: Journal of Economic Behavior and Organization. - 0167-2681. ; 65:1, s. 86-104
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Tidskriftsartikel (refereegranskat)abstract
- We study the value of information in financial markets by asking whether having more information always leads to higher returns. We address this question in an experiment where information about an asset's intrinsic value is cumulatively distributed among traders. We find that only the very best informed traders (i.e., insiders) significantly outperform less informed traders. However, there is a wide range of information levels (from zero information to above average information levels) where additional information does not yield higher returns. The latter result implies that the value of additional information need not be strictly positive.
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| 30. |
- Huber, J., et al.
(författare)
-
Market versus Residence Principle: Experimental Evidence on the Effects of a Financial Transaction Tax
- 2017
-
Ingår i: Economic Journal. - : Oxford University Press (OUP). - 0013-0133 .- 1468-0297. ; 127:605
-
Tidskriftsartikel (refereegranskat)abstract
- The effects of a financial transaction tax (FTT) are scientifically disputed, as seemingly small details of its implementation may matter a lot. In this article, we provide experimental evidence on the different effects of an FTT, depending on whether it is implemented as a tax on markets, on residents, or a combination of both. We find that a tax on markets has negative effects on volatility and trading volume, whereas a tax on residents shows none of these undesired effects. Additionally, we observe that individual risk attitude is not related to traders’ reaction to the different forms of an FTT. © 2017 The Authors. The Economic Journal published by John Wiley & Sons Ltd on behalf of Royal Economic Society.
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| 31. |
- Huber, Jürgen, et al.
(författare)
-
The impact of a financial transaction tax on stylized facts of price returns-Evidence from the lab
- 2012
-
Ingår i: Journal of Economic Dynamics & Control. - : Elsevier BV. - 0165-1889. ; 36:8, s. 1248-1266
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Tidskriftsartikel (refereegranskat)abstract
- As the introduction of financial transaction taxes is increasingly discussed by political leaders we explore possible consequences such taxes could have on markets. Here we examine how "stylized facts", namely fat tails and volatility clustering, are affected by different tax regimes in laboratory experiments. We find that leptokurtosis of price returns is highest and clustered volatility is weakest in unilaterally taxed markets (where tax havens exist). Instead, tails are slimmest and volatility clustering is strongest in tax havens. When an encompassing financial transaction tax is levied, stylized facts hardly change compared to a scenario with no tax on all markets. (C) 2012 Elsevier B.V. All rights reserved.
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| 32. |
- Huber, Jürgen, et al.
(författare)
-
The impact of instructions and procedure on reducing confusion and bubbles in experimental asset markets
- 2012
-
Ingår i: Experimental Economics. - : Springer Science and Business Media LLC. - 1386-4157 .- 1573-6938. ; 15:1, s. 89-105
-
Tidskriftsartikel (refereegranskat)abstract
- In 1988 Smith, Suchanek, and Williams (henceforth SSW) introduced a very influential model to test the efficiency of experimental asset markets. They and many subsequent studies observe that bubbles are robust to many treatment changes. Instead, bubbles are avoided only when subjects are experienced in the same setting, when the dividend-process is experienced by subjects beforehand, or when the fundamental value-process (FV) is presented in a well understandable context to reduce subjects’ confusion. We extend this line of research and show that even marginal changes in the experimental instructions/procedure can eliminate bubbles in the SSW-model. In particular, we show that mispricing is significantly reduced and overvaluation is eliminated completely (i) when the fundamental value process is displayed in a graph instead of a table or (ii) when subjects are asked about the current fundamental value at the beginning of each period. From a questionnaire conducted at the end of the experiment we infer that these treatment changes help to improve subjects’ understanding of the FV-process. We conclude that all bubble reducing factors have one common feature: they allow subjects to understand the non-intuitive declining FV-process of the SSW-model better and thus reduce subjects’ confusion about the FV-process.
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| 33. |
- Huber, Jürgen, et al.
(författare)
-
The influence of investment experience on market prices: laboratory evidence
- 2016
-
Ingår i: Experimental Economics. - : Springer Science and Business Media LLC. - 1386-4157 .- 1573-6938. ; 19:2, s. 394-411
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Tidskriftsartikel (refereegranskat)abstract
- We run laboratory experiments to analyze the impact of prior investment experience on price efficiency in asset markets. Before subjects enter the asset market they gain either no, positive, or negative investment experience in an investment game. To get a comprehensive picture about the role of experience we implement two asset market designs. One is prone to inefficient pricing, exhibiting bubble and crash patterns, while the other exhibits efficient pricing. We find that (i) both, positive and negative, experience gained in the investment game lead to efficient pricing in both market settings. Further, we show that (ii) the experience effect dominates potential effects triggered by positive and negative sentiment generated by the investment game. We conjecture that experiencing changing price paths in the investment game can create a higher sensibility on changing fundamentals (through higher salience) among subjects in the subsequently run asset market.
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| 34. |
- Huntington-Klein, Nick, et al.
(författare)
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Subjective evidence evaluation survey for many-analysts studies
- 2024
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Ingår i: Royal Society Open Science. - : The Royal Society. - 2054-5703 .- 2054-5703. ; 11:7
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Tidskriftsartikel (refereegranskat)abstract
- Many-analysts studies explore how well an empirical claim withstands plausible alternative analyses of the same dataset by multiple, independent analysis teams. Conclusions from these studies typically rely on a single outcome metric (e.g. effect size) provided by each analysis team. Although informative about the range of plausible effects in a dataset, a single effect size from each team does not provide a complete, nuanced understanding of how analysis choices are related to the outcome. We used the Delphi consensus technique with input from 37 experts to develop an 18-item subjective evidence evaluation survey (SEES) to evaluate how each analysis team views the methodological appropriateness of the research design and the strength of evidence for the hypothesis. We illustrate the usefulness of the SEES in providing richer evidence assessment with pilot data from a previous many-analysts study.
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| 35. |
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| 36. |
- Kirchler, Michael, 1977, et al.
(författare)
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Delegated investment decisions and rankings
- 2020
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Ingår i: Journal of Banking & Finance. - : Elsevier BV. - 0378-4266. ; 120
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Tidskriftsartikel (refereegranskat)abstract
- Two aspects of social context are central to the finance industry. First, financial professionals usually make investment decisions on behalf of third parties. Second, social competition, in the form of performance rankings, is pervasive. Therefore, we investigate professionals' risk taking behavior under social competition when investing for others. We run online and lab-in-the-field experiments with 805 financial professionals and show that professionals increase their risk taking for others when they lag behind. Additional survey evidence from 1349 respondents reveals that professionals' preferences for high rankings are significantly stronger than those of the general population. (C) 2020 The Authors. Published by Elsevier B.V.
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| 37. |
- Kirchler, Michael, 1977, et al.
(författare)
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Immaterial and monetary gifts in economic transactions: evidence from the field
- 2018
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Ingår i: Experimental Economics. - : Springer Science and Business Media LLC. - 1386-4157 .- 1573-6938. ; 21:1, s. 205-230
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Tidskriftsartikel (refereegranskat)abstract
- Reciprocation of monetary gifts is well-understood in economics. In contrast, there is little research on reciprocal behavior following immaterial gifts like compliments. We narrow this gap and investigate how employees reciprocate after receiving immaterial gifts and material gifts over time. We purchase (1) ice cream from fast food restaurants, and (2) durum doner, a common lunch snack, from independent vendors. Prior to the food's preparation, we either compliment or tip the salesperson. We find that salespersons reciprocate compliments with higher product weight than in a control treatment. Importantly, this reciprocal behavior following immaterial gifts grows over repeated transactions. Tips, in contrast, have a stronger level effect which does not change over time.
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| 38. |
- Kirchler, Michael, 1977, et al.
(författare)
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Market design and moral behavior
- 2016
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Ingår i: Management science. - : Institute for Operations Research and the Management Sciences (INFORMS). - 0025-1909 .- 1526-5501. ; 62:9, s. 2615-2625
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Tidskriftsartikel (refereegranskat)abstract
- In an experiment with 739 subjects, we study whether and how different interventions might have an influence on the degree of moral behavior when subjects make decisions that can generate negative externalities on uninvolved parties. Particularly, subjects can either take money for themselves or donate it to UNICEF for measles vaccines. By considering two fairly different institutional regimes-one with individual decision making, one with a double-auction market-we expose the different interventions to a kind of robustness check. We find that the threat of monetary punishment promotes moral behavior in both regimes. Getting subjects more involved with the traded good has no effect, though, in both regimes. Only the removal of anonymity, thus making subjects identifiable, has different effects across regimes, which we explain by different perceptions of responsibility.
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| 39. |
- Kirchler, Michael, 1977, et al.
(författare)
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Market microstructure matters when imposing a Tobin tax-Evidence from the lab
- 2011
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Ingår i: Journal of Economic Behavior & Organization. - 0167-2681. ; 80:3, s. 586-602
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Tidskriftsartikel (refereegranskat)abstract
- Trading in FX markets is dominated by two microstructures: exchanges with market makers and OTC-markets without market makers. Using laboratory experiments we test whether the impact of a Tobin tax is different in these two market microstructures. We find that (i) in markets without market makers an unilaterally imposed Tobin tax (i.e. a tax haven exists) increases volatility. (ii) In contrast, in markets with market makers we observe a decrease in volatility in unilaterally taxed markets. (iii) An encompassing Tobin tax has no impact on volatility in either setting. Efficiency does not vary significantly across tax regimes.
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| 40. |
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| 41. |
- Kirchler, Michael, 1977, et al.
(författare)
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Rankings and Risk-Taking in the Finance Industry
- 2018
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Ingår i: Journal of Finance. - : Wiley. - 0022-1082. ; 73:5, s. 2271-2302
-
Tidskriftsartikel (refereegranskat)abstract
- Rankings are omnipresent in the finance industry, yet the literature is silent on how they impact financial professionals' behavior. Using lab-in-the-field experiments with 657 professionals and lab experiments with 432 students, we investigate how rank incentives affect investment decisions. We find that both rank and tournament incentives increase risk-taking among underperforming professionals, while only tournament incentives affect students. This rank effect is robust to the experimental frame (investment frame vs. abstract frame), to payoff consequences (own return vs. family return), to social identity priming (private identity vs. professional identity), and to professionals' gender (no gender differences among professionals).
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| 42. |
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| 43. |
- Kirchler, Michael, 1977, et al.
(författare)
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The effect of fast and slow decisions on risk taking
- 2017
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Ingår i: Journal of Risk and Uncertainty. - : Springer Science and Business Media LLC. - 0895-5646 .- 1573-0476. ; 54:1, s. 37-59
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Tidskriftsartikel (refereegranskat)abstract
- We experimentally compare fast and slow decisions in a series of experiments on financial risk taking in three countries involving over 1700 subjects. To manipulate fast and slow decisions, subjects were randomly allocated to responding within 7 seconds (time pressure) or waiting for at least 7 or 20 seconds (time delay) before responding. To control for different effects of time pressure and time delay on measurement noise, we estimate separate parameters for noise and risk preferences within a random utility framework. We find that time pressure increases risk aversion for gains and risk taking for losses compared to time delay, implying that time pressure increases the reflection effect of Prospect Theory. The results for gains are weaker and less robust than the results for losses. We find no significant difference between time pressure and time delay for loss aversion (tested in only one of the experiments). Time delay also leads to less measurement noise than time pressure and unconstrained decisions, and appears to be an effective way of decreasing noise in experiments.
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| 44. |
- Kirchler, Michael, 1977, et al.
(författare)
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The "inflow-effect"-Trader inflow and price efficiency
- 2015
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Ingår i: European Economic Review. - : Elsevier BV. - 0014-2921. ; 77, s. 1-19
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Tidskriftsartikel (refereegranskat)abstract
- We investigate the impact of cash and trader inflow on price efficiency in multi-period experimental asset markets. Implementing eight treatments with 672 subjects, we find that (i) the joint inflow of cash and traders triggers strong overvaluation and massive price run-ups (inflow-effect). Remarkably, the effect occurs in almost all of the 30 markets with joint cash and trader inflow and is very robust. The effect even prevails in markets with complete and symmetric fundamental information. We further show that (ii) in treatments with the joint inflow of cash and traders, prices crash to fundamentals towards maturity of the asset. The analysis of traders' beliefs reveals that (iii) despite fundamental values staying constant, beliefs about fundamentals co-move with upwardly trending prices. Finally, we report a speculative motive only among the optimists in treatments where we observe the inflow-effect. (C) 2015 Elsevier BM. All rights reserved.
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| 45. |
- Kleinlercher, D., et al.
(författare)
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The impact of different incentive schemes on asset prices
- 2014
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Ingår i: European Economic Review. - : Elsevier BV. - 0014-2921. ; 68, s. 137-150
-
Tidskriftsartikel (refereegranskat)abstract
- How people are incentivized is one of the main drivers of how they behave. In laboratory asset markets we evaluate the impact of four trader incentive bonus, bonus with cap, linear, and penalty - on asset prices and trader behavior. We find that (i) an asset with identical expected dividend shows price levels which differ by more than 100 percent depending on the incentive scheme subjects face. In particular, prices of markets populated by subjects with bonus incentives show the highest prices, whereas those with penalty-like incentivized subjects exhibit the lowest. (ii) However, subjects act approximately rational as different incentives generate different optimal price levels. (iii) In markets where different subjects have different incentive schemes we find that those with bonus incentives exhibit a riskier investment behavior and prefer the riskier asset, whereas subjects with penalty incentives invest conservatively and mainly hold cash. Since we find no difference in risk attitude of subjects prior to the experiment, differences in investment behavior are induced by the applied incentives. Our results highlight that incentives on financial markets have a huge impact on asset prices and investment behavior. (C) 2014 Elsevier B.V. All rights reserved.
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| 46. |
- McCarthy, Randy J., et al.
(författare)
-
Registered Replication Report on Srull and Wyer (1979)
- 2018
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Ingår i: Advances in Methods and Practices in Psychological Science. - : SAGE Publications Inc. - 2515-2459 .- 2515-2467. ; 1:3, s. 321-336
-
Tidskriftsartikel (refereegranskat)abstract
- Srull and Wyer (1979) demonstrated that exposing participants to more hostility-related stimuli caused them subsequently to interpret ambiguous behaviors as more hostile. In their Experiment 1, participants descrambled sets of words to form sentences. In one condition, 80% of the descrambled sentences described hostile behaviors, and in another condition, 20% described hostile behaviors. Following the descrambling task, all participants read a vignette about a man named Donald who behaved in an ambiguously hostile manner and then rated him on a set of personality traits. Next, participants rated the hostility of various ambiguously hostile behaviors (all ratings on scales from 0 to 10). Participants who descrambled mostly hostile sentences rated Donald and the ambiguous behaviors as approximately 3 scale points more hostile than did those who descrambled mostly neutral sentences. This Registered Replication Report describes the results of 26 independent replications (N = 7,373 in the total sample; k = 22 labs and N = 5,610 in the primary analyses) of Srull and Wyer?s Experiment 1, each of which followed a preregistered and vetted protocol. A random-effects meta-analysis showed that the protagonist was seen as 0.08 scale points more hostile when participants were primed with 80% hostile sentences than when they were primed with 20% hostile sentences (95% confidence interval, CI = [0.004, 0.16]). The ambiguously hostile behaviors were seen as 0.08 points less hostile when participants were primed with 80% hostile sentences than when they were primed with 20% hostile sentences (95% CI = [?0.18, 0.01]). Although the confidence interval for one outcome excluded zero and the observed effect was in the predicted direction, these results suggest that the currently used methods do not produce an assimilative priming effect that is practically and routinely detectable.
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| 47. |
- Poldrack, Russell Alan, et al.
(författare)
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fMRI data of mixed gambles from the Neuroimaging Analysis Replication and Prediction Study
- 2019
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Ingår i: Scientific Data. - : Nature Research (part of Springer Nature): Fully open access journals / Nature Publishing Group. - 2052-4463 .- 2052-4463. ; 6:1
-
Tidskriftsartikel (refereegranskat)abstract
- There is an ongoing debate about the replicability of neuroimaging research. It was suggested that one of the main reasons for the high rate of false positive results is the many degrees of freedom researchers have during data analysis. In the Neuroimaging Analysis Replication and Prediction Study (NARPS), we aim to provide the first scientific evidence on the variability of results across analysis teams in neuroscience. We collected fMRI data from 108 participants during two versions of the mixed gambles task, which is often used to study decision-making under risk. For each participant, the dataset includes an anatomical (T1 weighted) scan and fMRI as well as behavioral data from four runs of the task. The dataset is shared through OpenNeuro and is formatted according to the Brain Imaging Data Structure (BIDS) standard. Data pre-processed with fMRIprep and quality control reports are also publicly shared. This dataset can be used to study decision-making under risk and to test replicability and interpretability of previous results in the field.
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| 48. |
- Razen, M., et al.
(författare)
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Cash inflow and trading horizon in asset markets
- 2017
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Ingår i: European Economic Review. - : Elsevier BV. - 0014-2921. ; 92, s. 359-384
-
Tidskriftsartikel (refereegranskat)abstract
- It is conjectured that one of the major ingredients of historic financial bubbles was the inflow of money in various forms. We run 36 laboratory asset markets to investigate the joint effect of cash inflow and trading horizon on price efficiency. We show that markets with cash inflow and long trading horizon exhibit bubbles and crashes. We also observe that markets with extended trading horizon but without cash inflow and markets with shorter trading horizon do not trigger bubbles. Finally, we report that beliefs about prices and, importantly, about (constant) fundamentals follow bubble patterns as well.
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| 49. |
- Razen, M., et al.
(författare)
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Domain-specific risk-taking among finance professionals
- 2020
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Ingår i: Journal of Behavioral and Experimental Finance. - : Elsevier BV. - 2214-6350. ; 27
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Tidskriftsartikel (refereegranskat)abstract
- Risk-assessment and risk-taking in various forms are among the most important tasks financial professionals face in their daily work. A large body of experimental studies has shown a substantial effect of the decision domain (gain vs loss domain) on risk-taking, predominantly among students. In a series of experiments set in different contextual frameworks, we investigate whether this domain effect is also present among experienced employees in the finance industry and compare their decisions with people from the general population. Our results show that employees in the finance industry are equally prone to the domain effect in risk-taking than the general population. Interestingly, for domain-specific risk-taking in a finance context, we find that professionals are even more reluctant to sell loser stocks than non-professionals. © 2020 The Authors
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| 50. |
- Schwaiger, R., et al.
(författare)
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Determinants of investor expectations and satisfaction. A study with financial professionals
- 2020
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Ingår i: Journal of Economic Dynamics and Control. - : Elsevier BV. - 0165-1889. ; 110
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Tidskriftsartikel (refereegranskat)abstract
- We investigate determinants of price expectations and satisfaction levels of financial professionals and students. In experiments with 150 professionals and 576 students, we systematically vary price paths according to the final return (positive or negative) and the way in which the final return is achieved (upswing followed by downswing or vice versa). Professionals show the most optimistic price expectations and are most satisfied if assets fall in price first and then recover. In addition, professionals’ price expectations are highest after positive returns. Among students, qualitatively similar patterns emerge, but professionals’ price expectations are less prone to framing effects. © 2019 The Author(s)
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