Cheap Talk으로 제시된 비대칭 정보와 위험회피 성향, 그리고 불확실성 하에서의 의사결정 시간: 실험경제학적 접근
Is Risk Aversion Related to Asymmetric Information Suggested by Cheap Talk and Decision Making Time under Uncertainty?: Experimental Economics Approach
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참고문헌
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초록
본 연구에서는 실험경제학적 접근방법을 통해 위험회피성향을 측정하는데 가장 널리 사용되는 Holt와 Laury(2002)의 방법론이 가진 몇 가지 한계들을 극복할 수 있는 보다 수정 및 보완된 형태의 위험회피성향 측정 방법론을 제시하고자 하였다. 또한 새로운 방법론의 유용성을 입증하기 위해, 본 연구에서는 새롭게 개발된 방법론을 이용하여 투자자가 자신에게 불리한 정보를 마주하게 되는 경우 이들의 위험에 대한 태도와 의사결정 시간이 어떻게 변하는지를 살펴보았다. 피실험자에게 불리한 비대칭정보의 상황과 그렇지 않은 상황을 각각 가정하여 실험을 진행하고 위험회피성향과 의사결정 시간을 측정하여 분석한 결과, 투자자들은 자신에게 불리한 비대칭정보의 상황에서 보다 위험 회피적인 성향을 보였으며, 불확실성이 증대된 상황에서 의사결정 시간이 길어질 것이라는 예상과는 달리 오히려 짧아짐을 확인하였다.
Abstract
We propose a supplemented eliciting method of measuring risk aversion through a laboratory experiment to overcome disadvantages of the multiple pricing list format developed by Holt and Laury (2002) and to standardize the risk aversion ranking by quantile normalization. Our method does not adhere to any specific utility function and is free of the framing effect or the multiple switching problem. Furthermore, with the new measure of risk aversion, we examine how individuals change risk attitude and decision making time when they face new informational disadvantages, i.e., less information about asset markets than experts. Decision making time gets shorter and risk aversion rises significantly when individuals perceive themselves informationally disadvantaged.
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