A case-based model of probability and pricing judgments / Lyle A. Brenner in Management science, Vol. 58 N° 1 (Janvier 2012)  

Public ISBD [article]  inManagement science > Vol. 58 N° 1 (Janvier 2012) . - pp. 159-178 Titre : A case-based model of probability and pricing judgments : Biases in buying and selling uncertainty Type de document : texte imprimé Auteurs : Lyle A. Brenner, Auteur ; Dale W. Griffin, Auteur ; Derek J. Koehler, Auteur Année de publication : 2012 Article en page(s) : pp. 159-178 Note générale : Management Langues : Anglais (eng) Mots-clés : Probability Finance Asset pricing Decision analysis Prospect theory Value function Forecasting Résumé : We integrate a case-based model of probability judgment with prospect theory to explore asset pricing under uncertainty. Research within the “heuristics and biases” tradition suggests that probability judgments respond primarily to case-specific evidence and disregard aggregate characteristics of the class to which the case belongs, resulting in predictable biases. The dual-system framework presented here distinguishes heuristic assessments of value and evidence strength from deliberative assessments that incorporate prior odds and likelihood ratios following Bayes' rule. Hypotheses are derived regarding the relative sensitivity of judged probabilities, buying prices, and selling prices to case- versus class-based evidence. We test these hypotheses using a simulated stock market in which participants can learn from experience and have incentives for accuracy. Valuation of uncertain assets is found to be largely case based even in this economic setting; however, consistent with the framework's predictions, distinct patterns of miscalibration are found for buying prices, selling prices, and probability judgments. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/1/159.abstract [article] A case-based model of probability and pricing judgments : Biases in buying and selling uncertainty [texte imprimé] / Lyle A. Brenner, Auteur ; Dale W. Griffin, Auteur ; Derek J. Koehler, Auteur . - 2012 . - pp. 159-178. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 1 (Janvier 2012) . - pp. 159-178 Mots-clés : Probability Finance Asset pricing Decision analysis Prospect theory Value function Forecasting Résumé : We integrate a case-based model of probability judgment with prospect theory to explore asset pricing under uncertainty. Research within the “heuristics and biases” tradition suggests that probability judgments respond primarily to case-specific evidence and disregard aggregate characteristics of the class to which the case belongs, resulting in predictable biases. The dual-system framework presented here distinguishes heuristic assessments of value and evidence strength from deliberative assessments that incorporate prior odds and likelihood ratios following Bayes' rule. Hypotheses are derived regarding the relative sensitivity of judged probabilities, buying prices, and selling prices to case- versus class-based evidence. We test these hypotheses using a simulated stock market in which participants can learn from experience and have incentives for accuracy. Valuation of uncertain assets is found to be largely case based even in this economic setting; however, consistent with the framework's predictions, distinct patterns of miscalibration are found for buying prices, selling prices, and probability judgments. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/1/159.abstract

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