Risk Attitude, Beliefs Updating, and the Information Content of Trades: An Experiment
通过模拟金融市场交易实验，发现交易信息含量受交易者先验信念强度影响，资产内在不确定性降低信息效率，源于风险态度和信念更新偏差。
We conduct a series of experiments that simulate trading in financial markets. We find that the information content of the order flow varies with the strength of subjects' prior beliefs about fundamentals. The presence of intrinsic uncertainty about the asset's fundamentals reduces informational efficiency. This originates from subjects' risk attitudes and biases in the way some subjects update their beliefs. The behavior of approximately 63% of the subjects is consistent with the expected utility maximization. These subjects are either risk averse (52%) or risk loving (11%). About 22% of the subjects display non-Bayesian updating of beliefs: underconfidence emerges for weak prior beliefs, and confirmation bias occurs for strong prior beliefs. Non-Bayesian belief updating reduces market efficiency when subjects' prior beliefs are weak and increases it when the prior beliefs are strong. Data, as supplemental material, are available at http://dx.doi.org/10.1287/mnsc.2013.1886 . This paper was accepted by Jerome Detemple, finance.