The effect of short-term information on long-term investment: An experimental study*

Uri Benzion, Lena Krupalnik, Ahron Rosenfeld, Shosh Shahrabani, Tal Shavit (2012) “The effect of short-term information on long-term investment: An experimental study."Economics Letters, Volume 116, Issue 1, July 2012, Pages 20–22. DOI: http://dx.doi.org/10.1016/j.econlet.2012.01.003. ****.

notes by yinung

其它的 MLA 實驗文獻都著重在投資期間短/長, 和報酬資訊迴饋高/低 對風險資產持有意願之影響, 這篇的實驗是比較同樣是 8 期一次決定的 “長期" 投資決策, 可是 treatment 是有沒有報酬資訊迴饋 (8期都有, 或是都沒有), 結果發現:

  • 沒有資訊下的 “長期投資" > 有資訊下的 “長期投資"
  • 有資訊下: After “aggregate loss" 的 “長期投資" < After “aggregate gain " 的 “長期投資" (這好像是 house money effects)
  • 無資訊下: After “aggregate loss" 的 “長期投資" ~= After “aggregate gain " 的 “長期投資"

本文主旨係針對  Fellner and Sutter (2009) 實驗指出「短期資訊對長期投資無影響」來研究 (其實 Langer and Weber (2008) 也有類似發現)

引文:
[They] found that when the investment horizon was three periods, feedback frequency had no effect on the allocation to the
risky asset. …
Adaptive reaction to feedback implies under-diversification (待了解) (Benzion et al., 2010; De Bondt and Thaler, 1990; Nosic and Weber, 2009)

作者的解釋

引文
(1) individuals tend to rely on small samples of past experiences for decision-making, which leads them to chase after past returns in the financial markets (Barron and Erev, 2003; Chevalier and Ellison, 1997; Sirri and Tufano, 1998).
(2) disappointment aversion: …Fielding and Stracca (2007) suggested, ‘‘It is reasonable to interpret loss and disappointment aversion in terms of the losses and disappointments that one might face, not from investing at all, but rather from investing in a risky asset instead of a safe one’’ [p. 225].

Original Abstract

We present a multi-trial experiment that extends the classic experiment of Thaler et al. (1997) by adding short-term information to long-term investment. The allocation to the risky asset is reduced in the long-term, when we add short-term information.

Highlights

► We test experimentally how short-term returns’ information affects long-term investment. ► In two treatments, subjects allocated funds between two assets for eight periods in advance. ► In treatment 1, subjects received information about the aggregate and each period returns. ► In treatment 2, the subjects received information only about the aggregate return. ► The allocation to the risky asset is lower in treatment 1 than in treatment 2.

JEL classification

Keywords

  • Myopic loss aversion, Regret, Multi-periods

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