Return Predictability, Expectations, and Investment: Experimental Evidence
通过投资实验，研究信息如何影响信念和决策链条，发现当信号被认为无用时会形成外推预测，而认为有用时则理性使用，且投资决策对信念反应不足。
Abstract In an investment experiment, we show variations in information affect beliefs and decision-making within the information-beliefs-decisions chain. Subjects observe the time series of a risky asset and a signal that, in random rounds, helps predict returns. Subjects form extrapolative forecasts following a signal they perceive as useless, and their investment decisions underreact to their beliefs. If the same subjects perceive the signal as predictive, they rationally use it in their forecasts, they no longer extrapolate, and they rely significantly more on their forecasts when making risk allocations. Analyzing investments without observing forecasts and information sets leads to erroneous interpretations.