Distinguishing the Effect of Overconfidence from Rational Best-Response on Information Aggregation
通过多期博弈实验，研究过度自信如何影响信息聚合，发现过度自信增加估计分散度并降低收敛速度，但即使无过度自信，偏差仍存在，源于对他人错误的策略性反应。
This article studies the causal effect of individuals' overconfidence and bounded rationality on information aggregation by using a new multiperiod game in which agents are rewarded for submitting accurate estimates of an unknown asset's value based on (i) their private information and (ii) others' past estimates. By carrying out laboratory sessions of this game in which subjects' overconfidence is a treatment variable, I find that overconfidence affects the information aggregation process by increasing the dispersion of estimates and decreasing the rate of estimates' convergence. However, even when subjects are not overconfident, qualitatively similar deviations from the fully rational model predictions are observed. I show that this can be explained by subjects' strategic response to errors. The Author 2008. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please email: journals.permissions@oxfordjournals.org, Oxford University Press.