信息瀑布——序贯决策中行为匹配的实验研究

›› 2015, Vol. 27 ›› Issue (10): 84-94.

信息瀑布——序贯决策中行为匹配的实验研究

李建标¹, 王鹏程², 巨龙³

1. 南开大学中国公司治理研究院, 天津 300071;
2. 天津财经大学商学院, 天津 300222;
3. 中国工商银行总行, 北京 100032

收稿日期:2013-02-01 出版日期:2015-10-31 发布日期:2015-11-06
作者简介:李建标,南开大学中国公司治理研究院,南开大学商学院教授,博士生导师,博士;王鹏程,天津财经大学商学院讲师,博士;巨龙,中国工商银行总行,博士。
基金资助:
国家自然科学基金项目(71372094;71172068;71132001);教育部人文社会科学重点研究基地重大项目(14JJ-D630006)。

Information Cascades——An Experimental Research of Sequential Decision-Making Behavior Matching

Li Jianbiao¹, Wang Pengcheng², Ju Long³

1. China Academy of Corporate Governance of Nankai University, Tianjin 300071;
2. Business School of Tianjin University of Finance and Economics, Tianjin 300222;
3. Industrial & Commercial Bank of China, Beijing 100032

Received:2013-02-01 Online:2015-10-31 Published:2015-11-06

摘要/Abstract

摘要：

本文沿着行为分析进路、运用实验经济学方法研究序贯决策中的信息瀑布现象及其行为匹配,率先分离了序贯决策中的决策行为——贝叶斯法则决策、非贝叶斯法则决策和平衡。设计了包含被试类型、备选集对称性等设置的序贯决策实验,结果表明,备选集对称性和决策序位等因素对决策者的行为方式和效率影响显著,被试类型、累积损益等因素的影响不显著;受禀赋效应和模糊规避的影响,平衡状态下决策者对私人信息赋予了较高权重。对序贯决策行为进行全面分析,分离出信息瀑布行为,并厘清其发生机理和决策特征及效率,这对理解和治理银行挤兑、网络群体性事件、金融危机等现象有着重要的理论和现实意义。

关键词: 信息瀑布, 序贯决策, 贝叶斯法则, 行为匹配, 实验

Abstract:

Using the behavioral analysis approach and the experimental method, this paper researches the information cascades and behavior matching of sequential decision-making, and divides sequential decision-making behaviors into three classes: Bayes rule decision, non-Bayes rule decision and balance. And then, we design specific experiments which include four treatments such as different subjects' types, symmetry and asymmetry urns. Results show that symmetry & asymmetry urns and decision order have significant effect on behavior pattern and efficiency, while subject's types, cumulative profit or loss do not. What's more, subjects prefer to make decision based on their private signals under balance condition because of endowment effect and ambiguity aversion. In this paper, we analyze sequential decision-making behaviors comprehensively and separate information cascades from them to find out the mechanism, characteristic and efficiency of information cascades. It has important theoretical and practical significance for understanding phenomena such as the bank run, the network group events and financial crisis.

Key words: information cascades, sequential decision-making, Bayes rule, behavior matching, experiment

李建标, 王鹏程, 巨龙. 信息瀑布——序贯决策中行为匹配的实验研究[J]. , 2015, 27(10): 84-94.

Li Jianbiao, Wang Pengcheng, Ju Long. Information Cascades——An Experimental Research of Sequential Decision-Making Behavior Matching[J]. , 2015, 27(10): 84-94.

参考文献

[1] Simon H. A. Administrative Behavior[M]. New York: Free Press, 1976
[2] Avery C., Zemsky P. Multidimensional Uncertainty and Herd Behavior in Financial Markets[J]. The American Economic Review, 1998,88(4):724-748
[3] 郭磊,吴冲锋.中国股票市场理性与非理性羊群行为实证研究[J]. 管理评论, 2004,16(11):53-57
[4] 贲立欣,金秀,冯英洁.我国上海股票市场羊群行为的实证研究[J]. 管理评论, 2006,18(2):10-14
[5] 柯昇沛,黄静.基于CSAD非线性模型的房地产市场羊群行为研究[J]. 管理评论, 2012,24(9):19-25
[6] 饶育蕾,彭叠峰,王建新.金融危机下行为金融学研究的历史使命: 一个综述[J]. 管理评论, 2012,24(1):3-10
[7] Anderson L. R., Holt C. A. Information Cascades in the Laboratory[J]. The American Economic Review, 1997,87(5):847-862
[8] Alevy J. E., Haigh M. S., List J. A. Information Cascades: Evidence from a Field Experiment with Financial Market Professionals[J]. Journal of Finance, 2007,12(1):151-180
[9] Bikhchandani S., Hirshleifer D., Welch I. A Theory of Fads, Fashion, Custom, and Cultural Change as Informational Cascades[J]. The Journal of Political Economy, 1992,100(5):992-1026
[10] Çelen B., Kariv S. Distinguishing Informational Cascades from Herd Behavior in the Laboratory[J]. The American Economic Review, 2004,94(3):484-498
[11] Goeree J., Palfrey T., Rogers B., Mckelvey R. Self-Correcting Information Cascades[J]. Review of Economic Studies, 2007,74(3):733-762
[12] Acemoglu D., Munther A. D., Ilan L., Asuman O. Bayesian Learning in Social Networks[J]. Review of Economic Studies, 2011,78(4):1201-1236
[13] Herrera H., Hörner J. A Necessary and Sufficient Condition for Information Cascades[R]. Working Paper, Yale University, 2011
[14] Herrera H., Hörner J. Biased Social Learning[J]. Games and Economic Behavior, 2013,80:131-146
[15] Antonio G., Heike H., Steffen H. Aggregate Information Cascades[J]. Games and Economic Behavior, 2011,73(1):167-185
[16] 唐毅南,陈平.群体动力学和金融危机的预测[J]. 经济研究, 2010,45(6):53-65
[17] 李建标,巨龙,刘桂林.信息瀑布中的动物精神[J]. 南开管理评论, 2010,13(6):115-124
[18] Earl P., Peng T. C., Potts J. Can Speculative Decision-rule Cascades Explain Asset Price Inflation?[J]. Journal of Economic Psychology, 2007,28(3):351-364
[19] Brian A. Have Institutional Investors Destabilized Emerging Markets?[J]. Contemporary Economic Policy, 1998,16(2):173-184
[20] Grinblatt M., Titman S., Wermers R. Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior[J]. The American Economic Review, 1995,85(5):1088-1105
[21] Cai H. B., Chen Y. Y., Fang H. M. Observational Learning: Evidence from a Randomized Natural Field Experiment[J]. The American Economic Review, 2009,99(3):864-882
[22] 李建标,巨龙,任广乾,赵玉亮.旅游体验研究的行为分析范式[J]. 旅游学刊, 2009,24(8):12-16
[23] Veldkamp L. Media Frenzies in Markets for Financial Information[J]. The American Economic Review, 2006,96(3):577-601
[24] Morck R. Behavioral Finance in Corporate Governance: Economics and Ethics of the Devil's Advocate[J]. Journal of Management and Governance, 2008,12(2):179-200
[25] Demski J. Corporate Conflicts of Interest[J]. Journal of Economic Perspectives, 2003,17(2):51-72
[26] Kübler D., Weizsäcker G. Information Cascades in the Labor Market[J]. The Journal of Economics, 2003,80(3):211-229
[27] North D. C. Structure and Change in Economic History[M]. New York: Norton, 1981