Are Judgment Errors Reflected in Market Prices and Allocations? Experimental Evidence Based on the Monty Hall Problem
通过蒙提霍尔问题实验，检验个体概率判断错误是否影响市场价格。发现当所有个体都犯错时，价格反映错误；但两个无偏交易者的竞争就足以使价格回归无偏水平，说明行为异质性对资产定价很重要。
ABSTRACT The question of whether individual judgment errors survive in market equilibrium is an issue that naturally lends itself to experimental analysis. Here, the Monty Hall problem is used to detect probability judgment errors both in a cohort of individuals and in a market setting. When all subjects in a cohort made probability judgment errors, market prices also reflected the error. However, competition among two bias‐free subjects was sufficient to drive prices to error‐free levels. Thus, heterogeneity in behavior can be an important factor in asset pricing, and further, it may take few bias‐free traders to make asset prices bias‐free.