Individual Reaction to Past Performance Sequences: Evidence from a Real Marketplace
利用体育博彩市场的个体活动数据，研究过去表现序列如何影响个体行为，区分了两种理论（Barberis等的制度转换模型和Rabin的赌徒/热手谬误模型），发现四分之三的个体存在追涨杀跌行为，且无人能从动量交易中获得超额收益。
We use novel data on individual activity in a sports betting market to study the effect of past performance sequences on individual behavior in a real market. The idiosyncratic nature of risk in this market and the revelation of assets’ true terminal values enables us to disentangle whether behavior is caused by sentiment or by superior information about market mispricings and to cleanly test two prominent theories of momentum and reversals—the regime-shifting model of Barberis et al. [Barberis N, Shleifer A, Vishny R (1998) A model of investor sentiment. J. Financial Econom. 49(3):307–343] and the gambler’s/hot-hand fallacy model of Rabin [Rabin M (2002) Inference by believers in the law of small numbers. Quart. J. Econom. 117(3):775–816]. Furthermore, our long panel enables us to study the prevalence across individuals of each type of behavior. We find that (i) three-quarters of individuals exhibit trend-chasing behavior, (ii) seven times as many individuals exhibit behavior consistent with Barberis et al. (1998) as exhibit behavior consistent with Rabin (2002), and (iii) no individuals earn superior returns from momentum trading. This paper was accepted by Lauren Cohen, finance.