Article dans une série de papiers de travail :

Christophe Bisière, Jean-Paul Décamps et Stefano Lovo, « Risk Attitude, Beliefs Updating and the Information Content of Trades: An Experiment », TSE Working Paper, n°09-036, mai 2009, révision mai 2012.
[ Texte complet ]


We conduct a series of experiments that simulate trading in financial markets and which allows us to identify the different effects that subjects’ risk attitudes and belief updating rules have on the information content of the order flow. We find that there are very few risk-neutral subjects and that subjects displaying risk aversion or risk-loving tend to ignore private information when their prior beliefs on the asset fundamentals are strong. Consequently, private information struggles penetrating trading prices. We find evidence of non-Bayesian belief updating (confirmation bias and under-confidence). This reduces (improves) market efficiency when subjects’ prior beliefs are weak (strong).

Codes JEL

G14 : Information and Market Efficiency; Event Studies
D82 : Asymmetric and Private Information

Groupes thématiques TSE

Economie comportementale et expérimentale

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