Detection, Identification, and Estimation of Loss Aversion: Evidence from an Auction Experiment
设计了一种新型实验拍卖，通过外生改变获胜概率来识别损失厌恶，发现传统实验可能高估支付意愿，而一价拍卖比二价拍卖收入略高。
We provide a novel experimental auction design, in which (i) an exogenous decrease in the probability of winning, conditional on the bid, reduces the optimal bid of a loss averse agent whose reference point is expectations based; (ii) observed bid distributions uniquely identify the participants' latent value distribution and loss-aversion parameter. Experimental evidence affirms the presence of such reference points. We show that at the estimated magnitudes of loss aversion, (a) conventional Becker, DeGroot, and Marschak (1964) experiments may lead to large biases in estimated willingness to pay (which our design can correct for); and (b) first-price auctions may fetch moderately higher revenue, compared with second-price auctions.