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Conservatisme, représentativité et ancrage dans un contexte dynamique : Une approche expérimentale

Published online by Cambridge University Press:  17 August 2016

Anne Corcos  and
François Pannequin
Anne Corcos
Affiliation:
CRIISEA, Université de [email protected]
François Pannequin
Affiliation:
CES (Université de Paris 1) et [email protected] auteurs remercient les deux rapporteurs anonymes de la revue pour leurs remarques précieuses.
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Résumé

Différentes heuristiques ont été avancées par les psychologues et les économistes afin de rendre compte des comportements sur les marchés financiers. Elles soulignent les biais cognitifs qui affectent les croyances individuelles, et s'efforcent d'expliquer dans une certaine mesure les anomalies constatées sur les marchés financiers. L'expérimentation menée vise à tester les heuristiques de conservatisme, de représentativité et d'ancrage-ajustement dans un contexte dynamique de quinze périodes : les sujets reçoivent, à chaque période, une information financière et révisent individuellement leurs croyances quant à la qualité d'une entreprise. Les croyances observées s'avèrent incompatibles avec l'hypothèse de révision bayésienne: les sujets ont tendance à surévaluer les petites probabilités et à sous-évaluer les fortes probabilités. L'heuristique de représentativité est, de la même manière, invalidée : le traitement économétrique montre que les sujets sous-pondèrent les signaux les plus intenses, preuve qu'ils ne tirent pas parti de leurs intensités informationnelles. Les hypothèses de conservatisme et d'ancrage-ajustement sont au contraire conjointement validées : les sujets sous-pondèrent l'information nouvelle quand ils révisent leurs croyances mais ce comportement de révision est pleinement conditionné au fait que les sujets s'écartent ou se rapprochent d'une valeur d'ancrage.

Summary

Summary

Several heuristics have been developed by economists and psychologists in order to explain economic behaviour on financial markets. They stress the cognitive bias that affect individual judgments and that partially could explain anomalies observed on financial markets. The aim of our experiment is to test the pertinence of one or the other of conservatism, representativeness and anchorage-adjustment heuristics in a financial context. Its specificity relies on its dynamical context. Fifteen periods along, subjects are given financial information on firm profitability. They are asked to formulate beliefs and to update them accordingly to new information. Econometric treatment of our experimental panel data refutes Bayesian updating: subjects underestimate high probabilities and overestimate low ones. Representativeness heuristic seems to be invalidated in the same way: subjects underweight the most intensive signals and thus, never exploit the whole information. On the contrary, conservatism and anchorage-adjustment are jointly accepted: subjects underweight new information when updating, but this behaviour becomes actually obvious when distinguishing situations in which subjects move away from the anchoring value, from those in which they move closer this value.

Keywords

experimental economicsrepeated investmentsuncertainty environmentupdating beliefsBayesian inferencecognitive processover and underreactionsheuristicsconservatismanchoragerepresentativnessJ64J65économie expérimentaleenvironnement incertainrévisions des croyan-cesinférence bayésienneheuristiquesconservatismeancrage-ajustementreprésentativitéprocessus cognitifsur-réactionssous-réactionsC11C91D8D9
Type
Research Article
Information
Recherches Économiques de Louvain/ Louvain Economic Review , Volume 74 , Issue 1 , 2008 , pp. 77 - 110
Copyright
Copyright © Université catholique de Louvain, Institut de recherches économiques et sociales 2008 

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