کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
883990 912363 2010 36 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Rational investor sentiment in a repeated stochastic game with imperfect monitoring
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Rational investor sentiment in a repeated stochastic game with imperfect monitoring
چکیده انگلیسی

We consider a repeated stochastic coordination game with imperfect public monitoring. In the game any pattern of coordinated play is a perfect Bayesian Nash equilibrium. Moreover, standard equilibrium selection arguments either have no bite or they select an equilibrium that is not observed in actual plays of the game. We give experimental evidence for a unique equilibrium selection and explain this very robust finding by equilibrium selection based on behavioral arguments, in particular focal point analysis, probability matching and overconfidence. Our results have interesting applications in finance because the observed equilibrium exhibits momentum, reversal and excess volatility. Moreover, the results may help to explain why technical analysis is a commonly observed investment style.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Behavior & Organization - Volume 76, Issue 3, December 2010, Pages 669–704
نویسندگان
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