| 26. |
- Huber, J., et al.
(author)
-
Experimental evidence on varying uncertainty and skewness in laboratory double-auction markets
- 2014
-
In: Journal of Economic Behavior & Organization. - : Elsevier BV. - 0167-2681. ; 107, s. 798-809
-
Journal article (peer-reviewed)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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| 27. |
- Huber, Jürgen, et al.
(author)
-
Is more information always better? Experimental financial markets with cumulative information
- 2008
-
In: Journal of Economic Behavior and Organization. - 0167-2681. ; 65:1, s. 86-104
-
Journal article (peer-reviewed)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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| 28. |
- Huber, J., et al.
(author)
-
Market versus Residence Principle: Experimental Evidence on the Effects of a Financial Transaction Tax
- 2017
-
In: Economic Journal. - : Oxford University Press (OUP). - 0013-0133 .- 1468-0297. ; 127:605
-
Journal article (peer-reviewed)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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| 29. |
- Huber, Jürgen, et al.
(author)
-
The impact of a financial transaction tax on stylized facts of price returns-Evidence from the lab
- 2012
-
In: Journal of Economic Dynamics & Control. - : Elsevier BV. - 0165-1889. ; 36:8, s. 1248-1266
-
Journal article (peer-reviewed)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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| 30. |
- Huber, Jürgen, et al.
(author)
-
The impact of instructions and procedure on reducing confusion and bubbles in experimental asset markets
- 2012
-
In: Experimental Economics. - : Springer Science and Business Media LLC. - 1386-4157 .- 1573-6938. ; 15:1, s. 89-105
-
Journal article (peer-reviewed)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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| 31. |
- Huber, Jürgen, et al.
(author)
-
The influence of investment experience on market prices: laboratory evidence
- 2016
-
In: Experimental Economics. - : Springer Science and Business Media LLC. - 1386-4157 .- 1573-6938. ; 19:2, s. 394-411
-
Journal article (peer-reviewed)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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| 32. |
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| 33. |
- Kirchler, Michael, 1977, et al.
(author)
-
Delegated investment decisions and rankings
- 2020
-
In: Journal of Banking & Finance. - : Elsevier BV. - 0378-4266. ; 120
-
Journal article (peer-reviewed)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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| 34. |
- Kirchler, Michael, 1977, et al.
(author)
-
Immaterial and monetary gifts in economic transactions: evidence from the field
- 2018
-
In: Experimental Economics. - : Springer Science and Business Media LLC. - 1386-4157 .- 1573-6938. ; 21:1, s. 205-230
-
Journal article (peer-reviewed)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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| 35. |
- Kirchler, Michael, 1977, et al.
(author)
-
Market design and moral behavior
- 2016
-
In: Management science. - : Institute for Operations Research and the Management Sciences (INFORMS). - 0025-1909 .- 1526-5501. ; 62:9, s. 2615-2625
-
Journal article (peer-reviewed)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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| 36. |
- Kirchler, Michael, 1977, et al.
(author)
-
Market microstructure matters when imposing a Tobin tax-Evidence from the lab
- 2011
-
In: Journal of Economic Behavior & Organization. - 0167-2681. ; 80:3, s. 586-602
-
Journal article (peer-reviewed)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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| 37. |
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| 38. |
- Kirchler, Michael, 1977, et al.
(author)
-
Rankings and Risk-Taking in the Finance Industry
- 2018
-
In: Journal of Finance. - : Wiley. - 0022-1082. ; 73:5, s. 2271-2302
-
Journal article (peer-reviewed)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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| 39. |
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| 40. |
- Kirchler, Michael, 1977, et al.
(author)
-
The effect of fast and slow decisions on risk taking
- 2017
-
In: Journal of Risk and Uncertainty. - : Springer Science and Business Media LLC. - 0895-5646 .- 1573-0476. ; 54:1, s. 37-59
-
Journal article (peer-reviewed)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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| 41. |
- Kirchler, Michael, 1977, et al.
(author)
-
The "inflow-effect"-Trader inflow and price efficiency
- 2015
-
In: European Economic Review. - : Elsevier BV. - 0014-2921. ; 77, s. 1-19
-
Journal article (peer-reviewed)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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| 42. |
- Kleinlercher, D., et al.
(author)
-
The impact of different incentive schemes on asset prices
- 2014
-
In: European Economic Review. - : Elsevier BV. - 0014-2921. ; 68, s. 137-150
-
Journal article (peer-reviewed)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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| 43. |
- McCarthy, Randy J., et al.
(author)
-
Registered Replication Report on Srull and Wyer (1979)
- 2018
-
In: Advances in Methods and Practices in Psychological Science. - : SAGE Publications Inc. - 2515-2459 .- 2515-2467. ; 1:3, s. 321-336
-
Journal article (peer-reviewed)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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| 44. |
- Poldrack, Russell Alan, et al.
(author)
-
fMRI data of mixed gambles from the Neuroimaging Analysis Replication and Prediction Study
- 2019
-
In: Scientific Data. - : Nature Research (part of Springer Nature): Fully open access journals / Nature Publishing Group. - 2052-4463 .- 2052-4463. ; 6:1
-
Journal article (peer-reviewed)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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| 45. |
- Razen, M., et al.
(author)
-
Cash inflow and trading horizon in asset markets
- 2017
-
In: European Economic Review. - : Elsevier BV. - 0014-2921. ; 92, s. 359-384
-
Journal article (peer-reviewed)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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| 46. |
- Razen, M., et al.
(author)
-
Domain-specific risk-taking among finance professionals
- 2020
-
In: Journal of Behavioral and Experimental Finance. - : Elsevier BV. - 2214-6350. ; 27
-
Journal article (peer-reviewed)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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| 47. |
- Schwaiger, R., et al.
(author)
-
Determinants of investor expectations and satisfaction. A study with financial professionals
- 2020
-
In: Journal of Economic Dynamics and Control. - : Elsevier BV. - 0165-1889. ; 110
-
Journal article (peer-reviewed)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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| 48. |
- Stefan, M., et al.
(author)
-
Ethnical discrimination in Europe: Field evidence from the finance industry
- 2018
-
In: PLoS ONE. - : Public Library of Science (PLoS). - 1932-6203. ; 13:1
-
Journal article (peer-reviewed)abstract
- The integration of ethnical minorities has been a hotly discussed topic in the political, societal, and economic debate. Persistent discrimination of ethnical minorities can hinder successful integration. Given that unequal access to investment and financing opportunities can cause social and economic disparities due to inferior economic prospects, we conducted a field experiment on ethnical discrimination in the finance sector with 1,218 banks in seven European countries. We contacted banks via e-mail, either with domestic or Arabic sounding names, asking for contact details only. We find pronounced discrimination in terms of a substantially lower response rate to e-mails from Arabic senders. Remarkably, the observed discrimination effect is robust for loan- and investment-related requests, across rural and urban locations of banks, and across countries. © 2018 Stefan et al. This is an open access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.
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| 49. |
- Stockl, T., et al.
(author)
-
Hot hand and gambler's fallacy in teams: Evidence from investment experiments
- 2015
-
In: Journal of Economic Behavior & Organization. - : Elsevier BV. - 0167-2681. ; 117, s. 327-339
-
Journal article (peer-reviewed)abstract
- In laboratory experiments we explore the effects of communication and group decision making on investment behavior and on subjects' proneness to behavioral biases. Most importantly, we show that communication and group decision making do not impact subjects' overall proneness to the hot hand fallacy and to the gambler's fallacy. However, groups decide differently than individuals, as they rely significantly less on useless outside advice from "experts" and choose the risk-free option less frequently. Furthermore we document gender differences in investment behavior: groups of two female subjects choose the risk-free investment more often and are marginally more prone to the hot hand fallacy than groups of two male subjects. (C) 2015 The Authors. Published by Elsevier B.V.
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| 50. |
- Stockl, T., et al.
(author)
-
Multi-period experimental asset markets with distinct fundamental value regimes
- 2015
-
In: Experimental Economics. - : Springer Science and Business Media LLC. - 1386-4157 .- 1573-6938. ; 18:2, s. 314-334
-
Journal article (peer-reviewed)abstract
- In this methodological study we analyze price adjustment processes in multi-period laboratory asset markets with five distinct fundamental value regimes in a unified framework. Minimizing the effect of between-treatment variations we run markets with deterministically decreasing, constant, randomly fluctuating and-as main innovation-markets with deterministically increasing s. We find (i) efficient pricing in markets with constant s, (ii) overvaluation in markets with decreasing s, and (iii) undervaluation in markets with increasing s. (iv) Markets with randomly fluctuating fundamentals show overvaluation when s predominantly decline and undervaluation when s are mostly upward-sloping. Finally, we document that (v) bid-ask spreads and volatility of price changes are positively correlated with mispricing across regimes. The main contribution of the paper is to provide clean comparisons between distinct regimes, in particular between markets with increasing s and other regimes.
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