Lumsdaine Robin L, van Loon Rogier J D Potter
American University.
Erasmus University Rotterdam.
J Behav Financ. 2018;19(2):209-220. doi: 10.1080/15427560.2017.1376330. Epub 2017 Nov 7.
This paper considers whether survey respondents' views regarding the likelihood of stock index returns exceeding specific thresholds are comparable to market views indicated by index options with strikes at analogous thresholds. It is motivated by the observation thatthe wording used to elicit subjective beliefs in surveys about expected future returns resembles the question a purchaser of a call option might ask. Building on this association, we document a similarity between the views of survey respondents and those of financial market participants as measured through call options, although the association is not one-for-one. We find a closer association for those demonstrating a better understanding of the laws of probability, suggesting that numeracy affects the accuracy of an elicited response.
本文探讨了调查受访者对于股票指数回报超过特定阈值可能性的看法，是否与执行价格处于类似阈值的指数期权所反映的市场观点具有可比性。其动机源于这样一种观察结果：在关于预期未来回报的调查中，用于引出主观信念的措辞类似于看涨期权购买者可能会问的问题。基于这种关联，我们记录了调查受访者的观点与通过看涨期权衡量的金融市场参与者观点之间的相似性，尽管这种关联并非一一对应。我们发现，对于那些对概率法则有更好理解的人，这种关联更为紧密，这表明数学能力会影响所引出回答的准确性。
