Do behavioral biases affect prices?

被引：300

作者：

Coval, JD ^{[1
]}

Shumway, T

机构：

[1] Harvard Univ, Sch Business, Cambridge, MA 02138 USA

[2] Univ Michigan, Sch Business, Ann Arbor, MI 48109 USA

来源：

JOURNAL OF FINANCE | 2005年 / 60卷 / 01期

关键词：

D O I：

10.1111/j.1540-6261.2005.00723.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper documents strong evidence for behavioral biases among Chicago Board of Trade proprietary traders and investigates the effect these biases have on prices. Our traders appear highly loss-averse, regularly assuming above-average afternoon risk to recover from morning losses. This behavior has important short-term consequences for afternoon prices, as losing traders actively purchase contracts at higher prices and sell contracts at lower prices than those that prevailed previously. However, the market appears to distinguish these risk-seeking trades from informed trading. Prices set by loss-averse traders are reversed significantly more quickly than those set by unbiased traders.

引用

页码：1 / 34

页数：34

共 37 条

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