| 1. |
- Camerer, C. F., et al.
(author)
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Evaluating replicability of laboratory experiments in economics
- 2016
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In: Science. - : American Association for the Advancement of Science (AAAS). - 0036-8075 .- 1095-9203. ; 351:6280, s. 1433-1436
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Journal article (peer-reviewed)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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| 2. |
- Camerer, C. F., et al.
(author)
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Evaluating the replicability of social science experiments in Nature and Science between 2010 and 2015
- 2018
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In: Nature Human Behaviour. - : Springer Science and Business Media LLC. - 2397-3374. ; 2:9, s. 637-644
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Journal article (peer-reviewed)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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| 3. |
- Dijk, Oege, et al.
(author)
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Rank matters-The impact of social competition on portfolio choice
- 2014
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In: European Economic Review. - : Elsevier BV. - 0014-2921 .- 1873-572X. ; 66, s. 97-110
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Journal article (peer-reviewed)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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| 4. |
- Fang, Dawei, 1983, et al.
(author)
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How tournament incentives affect asset markets: A comparison between winner-take-all tournaments and elimination contests
- 2017
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In: Journal of Economic Dynamics and Control. - : Elsevier BV. - 0165-1889. ; 75, s. 1-27
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Journal article (peer-reviewed)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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| 5. |
- Farago, Adam, 1984, et al.
(author)
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Cognitive Skills and Economic Preferences in the Fund Industry*
- 2022
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In: Economic Journal. - : Oxford University Press (OUP). - 0013-0133 .- 1468-0297. ; 132:645, s. 1737-1764
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Journal article (peer-reviewed)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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| 6. |
- Hanke, M., et al.
(author)
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Football championships and jersey sponsors' stock prices: an empirical investigation
- 2013
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In: European Journal of Finance. - : Informa UK Limited. - 1351-847X .- 1466-4364. ; 19:3, s. 228-241
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Journal article (peer-reviewed)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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| 7. |
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| 8. |
- Holmén, Martin, 1966, et al.
(author)
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Do Option-like Incentives Induce Overvaluation? Evidence from Experimental Asset Markets
- 2012
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Reports (other academic/artistic)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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| 9. |
- Holmén, Martin, 1966, et al.
(author)
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Do option-like incentives induce overvaluation? Evidence from experimental asset markets
- 2014
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In: Journal of Economic Dynamics and Control. - : Elsevier BV. - 0165-1889. ; 40, s. 179-194
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Journal article (peer-reviewed)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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| 10. |
- Holmen, Martin, 1976, et al.
(author)
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Economic Preferences and Personality Traits Among Finance Professionals and the General Population
- 2023
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In: Economic Journal. - 0013-0133 .- 1468-0297. ; 133:656
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Journal article (peer-reviewed)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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| 11. |
- Huber, Jürgen, et al.
(author)
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Experimental asset markets with endogenous choice of costly asymmetric information
- 2011
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In: Experimental Economics. - 1386-4157. ; 14:2, s. 223-240
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Journal article (peer-reviewed)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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| 12. |
- Huber, J., et al.
(author)
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Experimental evidence on varying uncertainty and skewness in laboratory double-auction markets
- 2014
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In: Journal of Economic Behavior & Organization. - : Elsevier BV. - 0167-2681. ; 107, s. 798-809
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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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| 13. |
- Huber, Jürgen, et al.
(author)
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Is more information always better? Experimental financial markets with cumulative information
- 2008
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In: Journal of Economic Behavior and Organization. - 0167-2681. ; 65:1, s. 86-104
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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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| 14. |
- Huber, J., et al.
(author)
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Market versus Residence Principle: Experimental Evidence on the Effects of a Financial Transaction Tax
- 2017
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In: Economic Journal. - : Oxford University Press (OUP). - 0013-0133 .- 1468-0297. ; 127:605
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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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| 15. |
- Huber, Jürgen, et al.
(author)
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The impact of a financial transaction tax on stylized facts of price returns-Evidence from the lab
- 2012
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In: Journal of Economic Dynamics & Control. - : Elsevier BV. - 0165-1889. ; 36:8, s. 1248-1266
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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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| 16. |
- Huber, Jürgen, et al.
(author)
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The impact of instructions and procedure on reducing confusion and bubbles in experimental asset markets
- 2012
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In: Experimental Economics. - : Springer Science and Business Media LLC. - 1386-4157 .- 1573-6938. ; 15:1, s. 89-105
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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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| 17. |
- Huber, Jürgen, et al.
(author)
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The influence of investment experience on market prices: laboratory evidence
- 2016
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In: Experimental Economics. - : Springer Science and Business Media LLC. - 1386-4157 .- 1573-6938. ; 19:2, s. 394-411
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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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| 18. |
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| 19. |
- Kirchler, Michael, 1977, et al.
(author)
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Delegated investment decisions and rankings
- 2020
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In: Journal of Banking & Finance. - : Elsevier BV. - 0378-4266. ; 120
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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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| 20. |
- Kirchler, Michael, 1977, et al.
(author)
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Immaterial and monetary gifts in economic transactions: evidence from the field
- 2018
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In: Experimental Economics. - : Springer Science and Business Media LLC. - 1386-4157 .- 1573-6938. ; 21:1, s. 205-230
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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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| 21. |
- Kirchler, Michael, 1977, et al.
(author)
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Market design and moral behavior
- 2016
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In: Management science. - : Institute for Operations Research and the Management Sciences (INFORMS). - 0025-1909 .- 1526-5501. ; 62:9, s. 2615-2625
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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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| 22. |
- Kirchler, Michael, 1977, et al.
(author)
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Market microstructure matters when imposing a Tobin tax-Evidence from the lab
- 2011
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In: Journal of Economic Behavior & Organization. - 0167-2681. ; 80:3, s. 586-602
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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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| 23. |
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| 24. |
- Kirchler, Michael, 1977, et al.
(author)
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Rankings and Risk-Taking in the Finance Industry
- 2018
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In: Journal of Finance. - : Wiley. - 0022-1082. ; 73:5, s. 2271-2302
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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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| 25. |
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