Essays on Behavioral Finance and Neurofinance.
详细信息
文摘
Investors behavior departs from the predictions of neoclassical economic models that rely on unrealistic assumptions of rationality. This paper adopts the behavioral approach,making more psychologically plausible assumptions about behavior and seeking the physiological basis for investors decision-making. The first two chapters investigate the disposition effect,which refers to the investors tendency to disproportionately sell more gaining assets than losing ones. Chapter 1 is an empirical study that documents the disposition effect in the closed-end fund market,where fundamental values are public information. The magnitude of the effect depends largely upon the selection of reference point. I evaluate the empirical validity of three candidate reference points,and test how the magnitude of the disposition effect changes with the sizes of gain or loss and as the investors know the fundamental values of funds. Chapter 2 further delves into the underlying behavioral mechanism for the disposition effect,experimentally evaluating two competing alternatives: belief in mean reversion and prospect theory. In the experiment,fully 61% of the participants significantly exhibited the disposition effect. I use the participants elicited risk preferences and beliefs about price movements to explain their selling decisions,and find that belief in mean reversion alone explains 17% of the between-subject variation in the disposition effect. The prospect theory parameters and demographic variables turn out to be insignificant after controlling for beliefs. The majority of professional traders are male and a growing literature shows that testosterone influences financial decision-making. In Chapter 3,to test if highly competitive males drive asset market bubbles,we administered synthetic testosterone or placebo to 140 male participants in an asset-trading experiment. We find that participants given testosterone generated substantially larger bubbles than those given placebo. High-testosterone males were more willing to buy assets as prices rose,held them longer,and performed worse. All these effects scaled with testosterone levels as measured in blood. Our results show that testosterone causally inflates experimental asset market bubbles.