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Conservatisme, représentativité et ancrage dans un contextedynamique : Une approche expérimentale

Published online by Cambridge University Press:  17 August 2016

Anne Corcos  and
François Pannequin
Anne Corcos
Affiliation:
CRIISEA, Université de Picardie anne.corcos@u-picardie.fr
François Pannequin
Affiliation:
CES (Université de Paris 1) et ENS-Cachanpannequin@ecogest.ens-cachan.frLes 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 leséconomistes afin de rendre compte des comportements sur les marchésfinanciers. Elles soulignent les biais cognitifs qui affectent les croyancesindividuelles, et s'efforcent d'expliquer dans une certaine mesure lesanomalies constatées sur les marchés financiers. L'expérimentation menéevise à tester les heuristiques de conservatisme, de représentativité etd'ancrage-ajustement dans un contexte dynamique de quinze périodes : lessujets reçoivent, à chaque période, une information financière et révisentindividuellement leurs croyances quant à la qualité d'une entreprise. Lescroyances observées s'avèrent incompatibles avec l'hypothèse de révisionbayésienne: les sujets ont tendance à surévaluer les petites probabilités età sous-évaluer les fortes probabilités. L'heuristique de représentativitéest, de la même manière, invalidée : le traitement économétrique montre queles sujets sous-pondèrent les signaux les plus intenses, preuve qu'ils netirent pas parti de leurs intensités informationnelles. Les hypothèses deconservatisme et d'ancrage-ajustement sont au contraire conjointementvalidées : les sujets sous-pondèrent l'information nouvelle quand ilsrévisent leurs croyances mais ce comportement de révision est pleinementconditionné au fait que les sujets s'écartent ou se rapprochent d'une valeurd'ancrage.

Summary

Summary

Several heuristics have been developed by economists and psychologists inorder to explain economic behaviour on financial markets. They stress thecognitive bias that affect individual judgments and that partially couldexplain anomalies observed on financial markets. The aim of our experimentis to test the pertinence of one or the other of conservatism,representativeness and anchorage-adjustment heuristics in a financialcontext. Its specificity relies on its dynamical context. Fifteen periodsalong, subjects are given financial information on firm profitability. Theyare asked to formulate beliefs and to update them accordingly to newinformation. Econometric treatment of our experimental panel data refutesBayesian updating: subjects underestimate high probabilities andoverestimate low ones. Representativeness heuristic seems to be invalidatedin the same way: subjects underweight the most intensive signals and thus,never exploit the whole information. On the contrary, conservatism andanchorage-adjustment are jointly accepted: subjects underweight newinformation when updating, but this behaviour becomes actually obvious whendistinguishing situations in which subjects move away from the anchoringvalue, 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

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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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