时 间：2023年5月17日（周三）14：00
地 点：理科大楼A508室，#腾讯会议：215222081会议密码：598719
题 目：来源递归效用理论与实验室和田野实验的实据（Recursive Source Preference with Evidence of Home Bias from Laboratory and Field Experiments）
报告人：周恕弘 新加坡国立大学终身荣誉教授
主持人：龚冰琳 研究员
主办：经管学部、华东师范大学中国经济研究中心
摘要：
This talk is based on two related papers (abstracts appended)
Rich Mixture Set, Process Preference, and Home Bias
CHEW Soo Hong∗ Gavin KADER† WANG Wenqian
Abstract
Decision making often involves compounding of risks from different sources. Building on the Herstein-Milnor mixture set axiomatization of expected utility theory, we employ multiple mixture operators each modeling a source of risk to arrive at the definition of a rich mixture set, elements of which are rich lotteries. Our modeling framework enables a source-dependent weakening of the independence axiom as well as the reduction of compound lottery axiom. This yields a representation for preference over rich lotteries called source recursive expected utility (SREU). When there is consistent preference for the “same” lottery arising from different sources, SREU implies a preference for risk being resolved more decisively by the preferred source. We further show that an SREU investor always exhibits home bias when she consistently prefers risks arising from the domestic stock market over identically distributed risks from
the foreign stock market.
Lab and Field Evidence of Source Preference: Home Bias Explained by Familiarity, Not Ambiguity
Chew Soo Hong, Li King King, Jacob Sagi
Abstract
The source preference hypothesis of Fox and Tversky (1995) posits that people may have preference between equally distributed risks depending on the underlying source of uncertainty. Using a novel trailing digit design, we identify familiarity bias that is free from other confounds such as ambiguity aversion or information advantage. The first set of four experiments show familiarity bias in portfolio choice, valuation of stocks, and market indices. In a further experiment using real-life investors in Hong Kong, we find evidence of subjects' home bias in stock holding being linked to familiarity bias but not to ambiguity aversion.
报告人简介：
周恕弘Chew Soo Hong，新加坡国立大学终身荣誉教授
著名实验经济学家和行为经济学家
世界计量经济学会院士、经济学理论促进学会（SAET）院士
曾执教于美国亚利桑那大学、约翰·霍普金斯大学、加州大学尔湾分校、香港科技大学等高校
其在《Journal of Political Economy》、《Econometrica》、《Review of Economic Studies》、《Journal of Economic Theory》、《Neuron》、《Proceedings of the National Academy of Sciences》、《Management Science》等经济学及其他学科权威期刊上共发表过学术论文六十余篇。