Source Recursive Utility with Lab and Field Evidence relating to Home Bias
Chew Soo Hong 周恕弘 教授
周恕弘教授是西南财经大学中国行为经济与行为金融研究中心特聘主任，计量经济学会院士、经济学理论促进学会（SAET）院士（Fellow），世界著名的实验经济学家和行为经济学家，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。其在经济学以及其他学科顶级权威期刊比如Journal of Political Economy，Econometrica，Review of Economic Studies，Journal of Economic Theory，Neuron，Proceedings of the National Academy of Sciences，Management Science等共发表过学术论文六十余篇。
Rich Mixture Set, Process Preference, and Home Bias
CHEW Soo Hong， Gavin KADER， WANG Wenqian
摘要：Decision making often involves compounding of risks from different sources. Building on the Herstein-Milnor mixture set axiomatization of expected util- ity 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 lot- teries. 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 be- ing 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.
EXPERIMENTAL EVIDENCE OF SOURCE PREFERENCE: Home Bias Explained by Familiarity, Not Ambiguity
CHew Soo Hong, LI King King, Jacob SAGI
摘要：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.