ERN: Other Microeconomics: Decision-Making under Risk & Uncertainty (Topic)最新文献_第10页

Representativeness Biases and Lucky Store Effects 代表性偏差与幸运商店效应

ERN: Other Microeconomics: Decision-Making under Risk & Uncertainty (Topic) Pub Date : 2015-10-13 DOI: 10.2139/ssrn.2635427

J. Lien, Jia Yuan, Jie Zheng

{"title":"Representativeness Biases and Lucky Store Effects","authors":"J. Lien, Jia Yuan, Jie Zheng","doi":"10.2139/ssrn.2635427","DOIUrl":"https://doi.org/10.2139/ssrn.2635427","url":null,"abstract":"Recent theories (Rabin, 2002; Rabin and Vayanos, 2010) propose that both the Gambler’s Fallacy and the Hot Hand Fallacy are driven by Representativeness Bias, also known as the Law of Small Numbers (Tversky and Kahneman, 1971). The Lucky Store Effect (Guryan and Kearney, 2008), in which the popularity of a lottery retailer surges after selling a winning ticket, bears an intuitive similarity to the Hot Hand Fallacy in terms of the belief that ‘previous winners will win again’, yet has been previously thought of as irreconcilable with Representativeness Bias. This paper develops theory and empirical evidence on this issue. We extend the Law of Small Numbers model of Rabin (2002), to the context where a decision-maker chooses among different lottery ticket stores after observing a history of prior outcomes. We show the conditions under which the decision-maker tends to believe that the store which has won previously has a higher chance of winning again, even if this event has only occurred once before. We then provide new empirical evidence on the Lucky Store Effect and Gambler’s Fallacy, from a large peer-to-peer online lottery marketplace for the Chinese national lottery. We find that lottery players exhibit Gambler’s Fallacy beliefs when picking lottery numbers, while believing in Lucky Stores when choosing which online lottery store to purchase their tickets from, which is consistent with the result in our model that decision-makers will tend to believe in the Lucky Store Effect when the perceived uncertainty about true probabilities is greater.","PeriodicalId":281936,"journal":{"name":"ERN: Other Microeconomics: Decision-Making under Risk & Uncertainty (Topic)","volume":"73 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-10-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121772262","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 5

Axioms for Reckoning, with a Quantitative Alternative to the Axiom of Independence 独立公理的定量替代计算公理

ERN: Other Microeconomics: Decision-Making under Risk & Uncertainty (Topic) Pub Date : 2015-09-21 DOI: 10.2139/ssrn.2663996

M. Frank

引用次数: 1

The Cost of Uncertainty About the Timing of Social Security Reform 社会保障改革时机不确定性的代价

ERN: Other Microeconomics: Decision-Making under Risk & Uncertainty (Topic) Pub Date : 2015-09-01 DOI: 10.3386/W21585

F. Caliendo, Aspen Gorry, S. Slavov

引用次数: 19

Schumpeter's Misevaluation of Adam Smith's Original Contributions in the Wealth of Nations - What Schumpeter Overlooked in Chapter 10 of Part I 熊彼特对亚当·斯密在《国富论》中的原始贡献的错误评价——熊彼特在第1部分第10章中忽略了什么

ERN: Other Microeconomics: Decision-Making under Risk & Uncertainty (Topic) Pub Date : 2015-08-06 DOI: 10.2139/ssrn.2640456

M. E. Brady

引用次数: 1

Discretion in Bank Loan Loss Allowance, Risk Taking, and Earnings Management 银行贷款损失补偿、风险承担和盈余管理的酌情权

ERN: Other Microeconomics: Decision-Making under Risk & Uncertainty (Topic) Pub Date : 2015-08-01 DOI: 10.2139/ssrn.2708318

J. Jin, K. Kanagaretnam, Gerald J. Lobo

{"title":"Discretion in Bank Loan Loss Allowance, Risk Taking, and Earnings Management","authors":"J. Jin, K. Kanagaretnam, Gerald J. Lobo","doi":"10.2139/ssrn.2708318","DOIUrl":"https://doi.org/10.2139/ssrn.2708318","url":null,"abstract":"We study whether bank managers’ use their discretion in estimating the allowance for loan losses (ALL) for efficiency or for opportunistic reasons. We do so by examining whether the use of this discretion relates to bank stability and bank risk taking, or whether it relates to earnings management to meet or beat earnings benchmarks. We find that banks that had higher abnormal ALL during the period prior to the 2007-2009 financial crisis engaged in less risk taking during the pre-crisis period and had a lower probability of failure during the crisis period. In tests related to earnings management to meet or beat earnings benchmarks, we find that abnormal ALL is unrelated to next period’s loss avoidance and just meeting or beating the prior year’s earnings. Our results suggest that bank managers use their discretion over ALL for efficiency and not for opportunistic purposes. They inform policy makers and accounting standard setters on banks’ use of accounting discretion as a means to build a cushion against future credit losses as they transition from the incurred loss model to the expected loss model for loan loss accounting.","PeriodicalId":281936,"journal":{"name":"ERN: Other Microeconomics: Decision-Making under Risk & Uncertainty (Topic)","volume":"644 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116090114","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 27

Measuring Multivariate Risk Preferences 测量多变量风险偏好

ERN: Other Microeconomics: Decision-Making under Risk & Uncertainty (Topic) Pub Date : 2015-07-30 DOI: 10.2139/ssrn.2637964

S. Ebert, Gijs van de Kuilen

引用次数: 22

Constant Bet Size? Don't Bet on It! Testing Expected Utility Theory on Betfair Data 恒定的投注规模?不要在这上面下注!对必发数据的期望效用理论检验

ERN: Other Microeconomics: Decision-Making under Risk & Uncertainty (Topic) Pub Date : 2015-07-01 DOI: 10.2139/ssrn.2637553

F. Kopřiva

{"title":"Constant Bet Size? Don't Bet on It! Testing Expected Utility Theory on Betfair Data","authors":"F. Kopřiva","doi":"10.2139/ssrn.2637553","DOIUrl":"https://doi.org/10.2139/ssrn.2637553","url":null,"abstract":"I analyze the risk preferences of bettors using data from the world's largest betting exchange, Betfair. The assumption of a constant bet size, commonly used in the current literature, leads to an unrealistic model of bettors' decision making as a choice between a high return - low variance and low return - high variance bet, automatically implying risk-loving preferences of bettors. However, the data show that bettors bet different amounts on different odds. Thus, simply by introducing the computed average bet size at given odds I transform the bettor's decision problem into a standard choice between low return - low variance and high return - high variance bets, and I am able to correctly estimate the risk attitudes of bettors. Results indicate that bettors on Betfair are either risk neutral (tennis and soccer markets) or slightly risk loving (horse racing market). I further use the information on the average bet size to test the validity of Expected utility theory (EUT). The results suggest that, when facing a number of outcomes with different winning probabilities, bettors tend to overweight small and underweight large differences in probabilities, which is in direct contradiction to the linear probability weighting function implied by EUT.","PeriodicalId":281936,"journal":{"name":"ERN: Other Microeconomics: Decision-Making under Risk & Uncertainty (Topic)","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124082814","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 4

Fluctuations in Uncertainty, Efficient Borrowing Constraints and Firm Dynamics 不确定性波动、有效借贷约束和企业动态

ERN: Other Microeconomics: Decision-Making under Risk & Uncertainty (Topic) Pub Date : 2015-07-01 DOI: 10.2139/ssrn.2880690

S. Dyrda

{"title":"Fluctuations in Uncertainty, Efficient Borrowing Constraints and Firm Dynamics","authors":"S. Dyrda","doi":"10.2139/ssrn.2880690","DOIUrl":"https://doi.org/10.2139/ssrn.2880690","url":null,"abstract":"In this paper, I quantify the importance of microeconomic uncertainty shocks for the firm dynamics over the business cycle in an economy with frictional financial markets. To begin, I document facts on asymmetric response across age and size groups of firms in the U.S. to the changes in aggregate economic conditions. I argue that age rather than size is a relevant margin for the magnitude of employment volatility over the cycle; in particular total employment of young firms varies 2.6 times more relative to the old firms. Then I propose a theory that, contrary to the existing studies, generates endogenously a link between firm's age and size and its ability to obtain financing, and induces an asymmetric response to shocks. A key element of my theory is a financial friction originating from the presence of the firm's private information and long-term, efficient lending contract between a risk averse entrepreneur and financial intermediary, which manifests itself as a borrowing constraint. I argue that, for any given expected return on project, young firms are more constrained in borrowing and they grow out of the constraint as they age up to the optimal, unconstrained size. Next I establish that, for any given age, firm's financing increases in line with the average return on a project. In times of high idiosyncratic uncertainty the financial contract calls for tightening of the borrowing constraint transmitting the initial impulse into a decline in demand for production inputs and further, including general equilibrium effects, into an economic downturn. This mechanism affects disproportionally young firms. Not only are they more constrained in borrowing but also they start smaller due to a reduced level of initial financing. A quantitative version of the model accounts for the fall of the aggregate output, employment and investment, decline of credit to GDP ratio and asymmetric employment dynamics of different groups of firms observed in the US data in recessions.","PeriodicalId":281936,"journal":{"name":"ERN: Other Microeconomics: Decision-Making under Risk & Uncertainty (Topic)","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130057822","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 11

A Refinement of Logit Quantal Response Equillibrium Logit量子响应平衡的一种改进

ERN: Other Microeconomics: Decision-Making under Risk & Uncertainty (Topic) Pub Date : 2015-06-26 DOI: 10.2139/ssrn.2623493

P. Blavatskyy

引用次数: 0

The Ambiguity Triangle: Uncovering Fundamental Patterns of Behavior Under Uncertainty 模棱两可三角:揭示不确定性下的基本行为模式

ERN: Other Microeconomics: Decision-Making under Risk & Uncertainty (Topic) Pub Date : 2015-06-22 DOI: 10.2139/ssrn.2625529

Daniel R. Burghart, Thomas Epper, E. Fehr

{"title":"The Ambiguity Triangle: Uncovering Fundamental Patterns of Behavior Under Uncertainty","authors":"Daniel R. Burghart, Thomas Epper, E. Fehr","doi":"10.2139/ssrn.2625529","DOIUrl":"https://doi.org/10.2139/ssrn.2625529","url":null,"abstract":"The probability triangle (also called the Marschak-Machina triangle) allows for compact and intuitive depictions of risk preferences. Here, we develop an analogous tool for choice under uncertainty - the ambiguity triangle - and show that indifference curves in this triangle capture preferences for unknown probabilities. In particular, the ambiguity triangle allows us to examine whether subjects adhere to the generalized axiom of revealed preference (GARP) and satisfy a non-parametric test for constant ambiguity attitudes. We find that more than 95% of subjects adhere to GARP and that about 60% satisfy our test for a constant ambiguity attitude. Yet, among these 60% of subjects there is substantial preference heterogeneity. We characterize this heterogeneity with finite-mixture estimates of a one-parameter extension of Expected Utility Theory wherein 48% of subjects are ambiguity averse, 22% are ambiguity seeking, and 30% are close to ambiguity neutral. The ambiguity triangle also highlights how variable ambiguity attitudes arise mainly because indifference curves are ’fanning-in’ across the triangle. This fanning-in property implies that aversion to ambiguity increases as the likelihood of receiving a good outcome increases. We capture this behavior with a simple parametric model that also allows for finite mixture characterizations of preference heterogeneity for these subjects. We show that for a substantial share of these subjects (43%) their fanning-in is so strong that, although they are initially ambiguity seeking, they become strongly ambiguity averse as the likelihood of receiving a good outcome increases.","PeriodicalId":281936,"journal":{"name":"ERN: Other Microeconomics: Decision-Making under Risk & Uncertainty (Topic)","volume":"633 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-06-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123075072","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 10