Do Individuals Have Preferences Used in Macro-Finance Models? An Experimental Investigation

Published Online:https://doi.org/10.1287/mnsc.2013.1794

References

  • Abdellaoui M, Diecidue E, Onculer A (2011) Risk preferences at different time periods: An experimental investigation. Management Sci. 57(5):975–987.LinkGoogle Scholar
  • Ahlbrecht M, Weber M (1997) Preference for gradual resolution of uncertainty. Theory Decision 43(2):167–185.CrossrefGoogle Scholar
  • Ahn D, Choi S, Gale D, Kariv S (2013) Estimating ambiguity aversion in a portfolio choice experiment. Working paper, University of California, Berkeley, Berkeley.Google Scholar
  • Andersen S, Harrison GW, Lau MI, Rutström EE (2006) Elicitation using multiple price list formats. Experiment. Econom. 9(4):383–405.CrossrefGoogle Scholar
  • Andreoni J, Sprenger C (2012) Estimating time preferences from convex budgets. Amer. Econom. Rev. 102(7):3333–3356.CrossrefGoogle Scholar
  • Arrow KJ (1971) Essays in the Theory of Risk-Bearing (Markham Publishing, Chicago).Google Scholar
  • Bansal R, Yaron A (2004) Risks for the long run: A potential resolution of asset pricing puzzles. J. Finance 59(4):1481–1509.CrossrefGoogle Scholar
  • Barksy RB, Juster FT, Kimball MS, Shapiro MD (1997) Preference parameters and behavioral heterogeneity: An experimental approach in the health and retirement study. Quart. J. Econom. 112(2):537–579.CrossrefGoogle Scholar
  • Baucells M, Heukamp FH (2012) Probability and time trade-off. Management Sci. 58(4):831–842.LinkGoogle Scholar
  • Benzion U, Rapoport A, Yagil J (1989) Discount rates inferred from decisions: An experimental study. Management Sci. 35(3):270–284.LinkGoogle Scholar
  • Bernoulli D (1954) Exposition of a new theory on the measurement of risk. Econometrica 22(1):23–36.CrossrefGoogle Scholar
  • Biernacki C, Celeux G, Govaert G (1999) An improvement of the nec criterion for assessing the number of clusters in a mixture model. Pattern Recognition Lett. 20(3):267–272.CrossrefGoogle Scholar
  • Binswanger HP (1980) Attitudes toward risk: Experimental measurement in rural India. Amer. J. Agricultural Econom. 62(3):395–407.CrossrefGoogle Scholar
  • Bossaerts P, Plott C (2004) Basic principles of asset pricing theory: Evidence from large-scale experimental financial markets. Rev. Finance 8(2):135–169.CrossrefGoogle Scholar
  • Bossaerts P, Plott C, Zame WR (2007) Prices and portfolio choices in financial markets: Theory, econometrics, experiments. Econometrica 75(4):993–1038.CrossrefGoogle Scholar
  • Bossaerts P, Ghirardato P, Guarnaschelli S, Zame WR (2010) Ambiguity in asset markets: Theory and experiment. Rev. Financial Stud. 23(4):1325–1359.CrossrefGoogle Scholar
  • Bruhin A, Fehr-Duda H, Epper T (2010) Risk and rationality: Uncovering heterogeneity in probability distortion. Econometrica 78(4):1375–1412.CrossrefGoogle Scholar
  • Campbell JY (1993) Intertemporal asset pricing without consumption data. Amer. Econom. Rev. 83(3):487–512.Google Scholar
  • Campbell JY, Viceira LM (1999) Consumption and portfolio decisions when expected returns are time varying. Quart. J. Econom. 114(2):433–495.CrossrefGoogle Scholar
  • Caplin A, Leahy J (2001) Psychological expected utility theory and anticipatory feelings. Quart. J. Econom. 116(1):55–79.CrossrefGoogle Scholar
  • Chew SH, Ho JL (1994) Hope: An empirical study of attitude toward the timing of uncertainty resolution. J. Risk Uncertainty 8(3):267–288.CrossrefGoogle Scholar
  • Coble KH, Lusk JL (2010) At the nexus of risk and time preferences: An experimental investigation. J. Risk Uncertainty 41(1):67–79.CrossrefGoogle Scholar
  • Cohen M, Jaffray J-Y, Said T (1987) Experimental comparison of individual behavior under risk and under uncertainty for gains and for losses. Organ. Behav. Human Decision Processes 39(1):1–22.CrossrefGoogle Scholar
  • Coller M, Williams MB (1999) Eliciting individual discount rates. Experiment. Econom. 2(2):107–127.CrossrefGoogle Scholar
  • Dave C, Eckel C, Johnson C, Rojas C (2010) Eliciting risk preferences: When is simple better? J. Risk Uncertainty 41(3):219–243.CrossrefGoogle Scholar
  • Ebert JEJ, Prelec D (2007) The fragility of time: Time-insensitivity and valuation of the near and far future. Management Sci. 53(9):1423–1438.LinkGoogle Scholar
  • Eckel C, Johnson C, Montmarquette C (2005) Savings Decisions of the Working Poor: Short- and Long-Term Horizons, Vol. 10 (Emerald Group, West Yorkshire, UK).Google Scholar
  • Eckel CC, Grossman PJ (2008) Forecasting risk attitudes: An experimental study using actual and forecast gamble choices. J. Econom. Behav. Organ. 68(1):1–17.CrossrefGoogle Scholar
  • Eliaz K, Schotter A (2010) Paying for confidence: An experimental study of the demand for non-instrumental information. Games Econom. Behav. 70(2):304–324.CrossrefGoogle Scholar
  • Epper T, Fehr-Duda H (2012) The missing link: Unifying risk taking and time discounting. Working Paper 96, Department of Economics, University of Zurich, Zurich, Switzerland.Google Scholar
  • Epstein LG (2008) Living with risk. Rev. Econom. Stud. 75(4):1121–1141.CrossrefGoogle Scholar
  • Epstein LG, Schneider M (2010) Ambiguity and asset markets. Annual Rev. Financial Econom. 2(1):315–346.CrossrefGoogle Scholar
  • Epstein LG, Zin SE (1989) Substitution, risk aversion, and the temporal behavior of consumption and asset returns: A theoretical framework. Econometrica 57(4):937–969.CrossrefGoogle Scholar
  • Epstein LG, Zin SE (1991) Substitution, risk aversion, and the temporal behavior of consumption and asset returns: An empirical analysis. J. Political Econom. 99(2):263–286.CrossrefGoogle Scholar
  • Erev I, Haruvy E (2010) Two-stage lotteries and the value of unresolved uncertainty. Marketing Lett. 21(2):149–162.CrossrefGoogle Scholar
  • Erickson T, Whited TM (2000) Measurement error and the relationship between investment and q. J. Political Econom. 108(5):1027–1057.CrossrefGoogle Scholar
  • Erickson T, Whited TM (2002) Two-step GMM estimation of the errors-in-variables model using high-order moments. Econometric Theory 18(3):776–799.CrossrefGoogle Scholar
  • Erickson T, Whited TM (2012) Treating measurement error in Tobin's q. Rev. Financial Stud. 25(4):1286–1329.CrossrefGoogle Scholar
  • Frederick S, Loewenstein G, O'Donoghue T (2002) Time discounting and time preference: A critical review. J. Econom. Literature 40(2):351–401.CrossrefGoogle Scholar
  • Gneezy U, Kapteyn A, Potters J (2003) Evaluation periods and asset prices in a market experiment. J. Finance 58(2):821–837.CrossrefGoogle Scholar
  • Gomes J, Kogan L, Zhang L (2003) Equilibrium cross section of returns. J. Political Econom. 111(4):693–732.CrossrefGoogle Scholar
  • Grant S, Kajii A, Polak B (1998) Intrinsic preference for information. J. Econom. Theory 83:233–259.CrossrefGoogle Scholar
  • Grant S, Kajii A, Polak B (2000) Temporal resolution of uncertainty and recursive non-expected utility models. Econometrica 68(2):425–434.CrossrefGoogle Scholar
  • Greiner B (2004) The online recruitment system ORSEE 2.0—A guide for the organization of experiments in economics. Discussion paper, University of Cologne, Cologne, Germany.Google Scholar
  • Hansen LP, Singleton KJ (1982) Generalized instrumental variables estimation of nonlinear rational expectations models. Econometrica 50(5):1269–1286.CrossrefGoogle Scholar
  • Hansen LP, Heaton JC, Li N (2008) Consumption strikes back? Measuring long run risk. J. Political Econom. 116(2):260–302.CrossrefGoogle Scholar
  • Harrison GW, Johnson E, McInnes MM, Rutström EE (2005) Risk aversion and incentive effects: Comment. Amer. Econom. Rev. 95(3):897–901.CrossrefGoogle Scholar
  • Holt CA, Laury SK (2002) Risk aversion and incentive effects. Amer. Econom. Rev. 92(5):1644–1655.CrossrefGoogle Scholar
  • Jeong D, Kim H, Park JY (2009) Does ambiguity matter? Estimating asset pricing models with a multiple-priors recursive utility. Working paper, Mays Business School, Texas A&M University, College Station.CrossrefGoogle Scholar
  • Kahneman D, Tversky A (1979) Prospect theory: An analysis of decision under risk. Econometrica 47(2):263–292.CrossrefGoogle Scholar
  • Kang MJ, Hsu M, Krajbich IM, Loewenstein G, McClure SM, Wang JT-y, Camerer CF (2009) The wick in the candle of learning epistemic curiosity activates reward circuitry and enhances memory. Psych. Sci. 20(8):963–973.CrossrefGoogle Scholar
  • Kihlstrom RE, Mirman LJ (1974) Risk aversion with many commodities. J. Econom. Theory 8(3):361–388.CrossrefGoogle Scholar
  • Kim H, Lee HI, Park JY, Yeo H (2009) Macroeconomic uncertainty and asset prices: A stochastic volatility model. Working paper, Mays Business School, Texas A&M University, College Station.Google Scholar
  • Klos A, Weber EU, Weber M (2005) Investment decisions and time horizons: Risk perception and risk behavior in repeated gambles. Management Sci. 51(12):1777–1790.LinkGoogle Scholar
  • Kluger BD, Wyatt SB (2004) Are judgment errors reflected in market prices and allocations? Experimental evidence based on the monty hall problem. J. Finance 59(3):969–997.CrossrefGoogle Scholar
  • Koopmans TC (1960) Stationary ordinal utility and impatience. Econometrica 28(2):287–309.CrossrefGoogle Scholar
  • Kreps DM, Porteus EL (1978) Temporal resolution of uncertainty and dynamic choice theory. Econometrica 46(1):185–200.CrossrefGoogle Scholar
  • Loewenstein G (1994) The psychology of curiosity: A review and reinterpretation. Psych. Bull. 116(1):75–98.CrossrefGoogle Scholar
  • McFadden D (1974) Conditional logit analysis of qualitative choice behavior. Zarembka P, ed. Frontiers in Econometrics (Academic Press, New York).Google Scholar
  • Mehra R, Prescott EC (1985) The equity premium: A puzzle. J. Monetary Econom. 15(2):145–161.CrossrefGoogle Scholar
  • Merton RC (1971) Optimum consumption and portfolio rules in a continuous-time model. J. Econom. Theory 3(4):373–413.CrossrefGoogle Scholar
  • Pratt JW (1964) Risk aversion in the small and in the large. Econometrica 32(1/2):122–136.CrossrefGoogle Scholar
  • Stahl DO, Wilson PW (1995) On players' models of other players: Theory and experimental evidence. Games Econom. Behav. 10(1):218–254.CrossrefGoogle Scholar
  • Strzalecki T (2013) Temporal resolution of uncertainty and recursive models of ambiguity aversion. Econometrica 81(3):1039–1074.CrossrefGoogle Scholar
  • van Winden F, Krawczyk M, Hopfensitz A (2011) Investment, resolution of risk, and the role of affect. J. Econom. Psych. 32(6):918–939.CrossrefGoogle Scholar
  • von Gaudecker H-M, van Soest A, Wengstrom E (2011) Heterogeneity in risky choice behavior in a broad population. Amer. Econom. Rev. 101(2):664–94.CrossrefGoogle Scholar
  • von Gaudecker H-M, van Soest A, Wengström E (2012) Experts in experiments. J. Risk Uncertainty 45(2):159–190.CrossrefGoogle Scholar
  • von Neumann J, Morgenstern O (1944) Theory of Games and Economics Behavior (Princeton University Press, Princeton, NJ).Google Scholar
  • Wakker P, Deneffe D (1996) Eliciting von Neumann-Morgenstern utilities when probabilities are distorted or unknown. Management Sci. 42(8):1131–1150.LinkGoogle Scholar
  • Weil P (1990) Nonexpected utility in macroeconomics. Quart. J. Econom. 105(1):29–42.CrossrefGoogle Scholar
  • Wu G (1999) Anxiety and decision making with delayed resolution of uncertainty. Theory Decision 46(2):159–199.CrossrefGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.