Do Investors Learn from Experience? Evidence from Frequent IPO Investors
研究了台湾1995-2000年84次IPO拍卖中个人和机构投资者的投标行为，发现个人投资者会因过往高收益而更频繁参与，但收益随参与次数下降，且投标更激进，符合天真强化学习；机构投资者则无此现象。
We examine how experience affects the decisions of individual investors and institutions in IPO auctions to bid in subsequent auctions, and their bidding returns. We track bidding histories for all 31, 476 individual investors and 1, 232 institutional investors across all 84 IPO auctions during the period from 1995 to 2000 in Taiwan. For individual bidders, (1) high returns in previous IPO auctions increase the likelihood of participating in future auctions; (2) bidders' returns decrease as they participate in more auctions; (3) auction selection ability deteriorates with experience; and (4) those with greater experience bid more aggressively. These findings are consistent with naïve reinforcement learning wherein individuals become unduly optimistic after receiving good returns. In sharp contrast, there is little sign that institutional investors exhibit such behavior. The Author 2011. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oup.com., Oxford University Press.