This article considers three standard asset pricing models with adaptive agents and stochastic dividends. The models only differ in the parameters to be estimated. We assume that only limited information is used to construct estimators. Therefore, parameters are not estimated consistently. More precisely, we assume that the parameters are estimated by exponential smoothing, where past parameters are down-weighted and the weight of recent observations does not decrease with time. This situation is familiar for applications in finance. Even if time series of volatile stocks or bonds are available for a long time, only recent data is used in the analysis. In this situation the prices do not converge and remain a random variable. This raises the question how to describe equilibrium behavior with stochastic prices. However, prices can reveal properties such as ergodicity, such that the law of the price process converges to a stationary law, which provides a natural and useful extension of the idea of equilibrium behavior of an economic system for a stochastic setup. It is this implied law of the price process that we investigate in this paper. We provide conditions for the ergodicity and analyze the stationary distribution. (author's abstract) / Series: Working Papers SFB "Adaptive Information Systems and Modelling in Economics and Management Science"

In many important economic situations, decision makers influence each other. The subject of game theory offers a mathematical framework to describe such strategic interaction. This dissertation focuses largely on helping to answering the question,"What will someone do in a particular strategic situation?" In order to do this, it is useful to interweave theory with experimentation. After all, observation of what people really do is a necessity when attempting to create models of what people really do. At the same time, theory can help significantly when formulating interesting hypotheses to test. The chapters in my dissertation illustrate this interweaving of theory and experiments.

Le résumé en français n'a pas été communiqué par l'auteur. / This paper studies firms’ disclosure decisions of product information in a duopoly setting, as well as the welfare implication of compulsory disclosure policy. I show that there is a problem of externality between the two firms: even if disclosure weakens price competition in the market and increases total industry profits, a firm could have incentive not to disclose product information because it decreases his market share. As a result, regulatory policy could increase total industry profits as it could rectify the problem of externality. Therefore, despite more information allows consumers to make a better choice between different alternatives, it might backfire as it could increase the average price in the market. I also present simple conditions on when providing more information could harm consumers, and when it will improve consumer welfare. This paper studies the information processing behavior of a decision maker (DM) who has limited information processing ability. More specifically, the DM can process only a subset of all available information. Before taking an action, he chooses whether to process or ignore signals about the state of the world which he receives sequentially. I show that at the optimum, the DM processes only signals which are strong enough, but will process a weaker signal if it confirms his existing strong belief or if it supports a much more desirable state of the world. This explains some phenomena which have been well documented in the psychology literature, such as preference for strong signals, confirmation bias for individuals with strong prior and wishful thinking. Moreover, I analyze how the Internet, and in general changes in information structures, affects the processing behavior of the DM. The results shed light on different issues in the information era, including polarization and media strategy. This paper studies experimentally whether confirmation bias arises when individuals are exposed to information overload, or equivalently have limited ability to perfectly update their belief with all available information. In our experiment, subjects have to form beliefs as they navigate a sequence of signals within a limited period of time. We compare belief formation under two settings, where the treatment setting imposes a larger information/cognitive load than the control setting. We find that subjects in the treatment setting exhibit a stronger confirmation bias than those in the control setting. Upon receiving a belief-challenging signal, subjects in the treatment group update their belief less than those in the control group. In contrast, upon receiving a belief-confirming signal, subjects update similarly in both settings. As a result, subjects in the treatment setting are also less likely to switch sides: once they believe that one state is more probable than another, they are less likely to switch even if they receive enough belief-challenging signals. Not only do these results show that the limited ability of information processing plays a role in the formation of confirmation bias, they also improve our understanding on the impact of information overload, for example on polarization.

This article considers three standard asset pricing models with adaptive agents and stochastic non-stationary dividends. We assume that the parameters are estimated by exponential smoothing, such that prices and returns remain random variables. This paper provides sufficient conditions for the ergodicity of the return process and checks whether the perceived law assumed by the bounded rational agents can be considered to be sound with the returns observed. (author's abstract) / Series: Report Series SFB "Adaptive Information Systems and Modelling in Economics and Management Science"

In this paper we study the behavior of boundedly rational agents in a two good economy where trading is costly with respect to time. All individuals have a fixed time budget and may spend time for the production of good one, the production of good two and trading. They update their strategies, which determine their time allocation, according to a simple imitation type learning rule with noise. In a setup with two different type of agents with different production technologies we show by the means of simulations that both direct trade and trade via mediators who specialize in trading can emerge. We can also observe the transition from a pure production economy via direct trade to an economy with mediated trade. (author's abstract) / Series: Report Series SFB "Adaptive Information Systems and Modelling in Economics and Management Science"

Adaptive agent models are supposed to result in the same limit behavior as models with perfectly rational agents. In this article we show that this claim cannot by accepted in general, even in a simple capital market model, where the agents apply sample autocorrelation learning to perform their forecasts. By applying this learning algorithm, the agents use sample means, the sample autocorrelation coefficient, and the sample variances of prices to predict the future prices, and to determine the demand for the risky asset. Therefore, even if the agents are not perfectly rational, we require that the agents' forecasts are consistent with the underlying information. In this article a sufficient condition for convergence is derived analytically, and checked by means of simulations. The price sequence as well as the sequence of parameters - estimated by means of sample autocorrelation learning - converge, if the initial value of the price sequence is sufficiently close to the steady-state equilibrium, and a random variable derived from the dividend process is not too volatile to skip the price trajectory out of the attracting region. Therefore, the market price can even diverge, and the region of convergence could become very small depending on the underlying parameters. Thus, divergence of the price sequences is not a pathological example, since it possibly occurs over a wide range of parameters. Therefore, the often claimed coincidence of adaptive agents models and ration agent models cannot be observed even in a simple capital market model. (author's abstract) / Series: Working Papers SFB "Adaptive Information Systems and Modelling in Economics and Management Science"

Data räknas idag som en av världens värdefullaste resurser. I takt med att internet har blivit mer etablerat och utökat sina användningsområden, har insamlingen av information om dess användare ökat. Genom att använda sig av cookies kan företag analysera sina kunders vanor på internet och på så sätt tillgodose personligt riktad reklam och specialanpassade flöden. Tidigare studier visar att internetanvändare är oroliga över deras personliga integritet på nätet men att de inte tar åtgärder för att skydda den. Fenomenet kallas för privacy paradox och det finns rapporter som tyder på att detta fenomen inte är närvarande hos svenska internetanvändare. Studiens syfte är att undersöka om privacy paradox finns hos svenska internetanvändare och om fenomenet kan förklaras via en avsaknad av kunskap inom området, även kallat bounded rationality. Studiens datamängd samlades in via en internetbaserad enkät och analyserades utifrån studiens teoretiska modell som utgår ifrån det teoretiska ramverket Knowledge-Attitude-Behaviour(KAB). Univariat-, bivariat- och multivariat statistik användes för att beskriva datamängden och besvara forskningsfrågan. SmartPLS användes för att konstruera och analysera PLS-SEM modellerna som användes i den multivariata analysen. Det statistiska programmeringsspråket R användes vid den univariata och bivariata analysen. Resultatet visade att privacy paradox inte kunde fastställas i studiens datamängd. Det kunde även fastställas att datamängden påvisade en hög kunskap gällande cookies, vilket talar emot en förekomst av bounded rationality. / Data is now considered one of the world's most valuable resources. As the internet has become more established and expanded its uses, the collection of user information has increased. By using cookies, companies can analyze their customers' habits on the internet and thus provide personalized advertising and customized feeds. Previous studies show that internet users are concerned about their online privacy but do not take steps to protect it. The phenomenon is called the privacy paradox and there are reports that suggest that this phenomenon is not present among Swedish internet users. The purpose of the study is to investigate whether the privacy paradox is present among Swedish internet users and whether the phenomenon can be explained by a lack of knowledge in the area, also known as bounded rationality. The study's data set was collected via an Internet-based questionnaire and analyzed in the study's theoretical model, a model based on the theoretical framework Knowledge-Attitude-Behavior (KAB). Univariate, bivariate and multivariate statistics were used to describe the data set and answer the research question. SmartPLS was used to construct and analyze the PLS-SEM models used in the multivariate analysis. The statistical programming language R was used for the univariate and bivariate analysis. The results showed that privacy paradox could not be established in the study's data set. It was also determined that the data set showed a high level of knowledge about cookies which is contradicting bounded rationality.

Den svenska fastighetsmarknaden är en högaktuell och attraktiv marknad med en högefterfrågan. Det finns därför ett stort intresse av värdering av fastigheter, vilket är en viktigdel av en fastighetsförsäljning, ett fastighetsköp eller belåning. Hur arbetar då en värderarepå den kommersiella fastighetsmarknaden för att värdera en fastighet, på en marknad därasymmetrisk information gör att de olika aktörerna sitter på olika mycket information? Syftet med detta arbete är att undersöka hur en värderare på den kommersiellafastighetsmarknaden arbetar för att kompensera för den asymmetriska information som blandannat en försäljning genom fastighetspaketering medför. Studien kommer även undersöka omdet finns någon skillnad i processen om värderingen utförs av ett företag med entransaktionsavdelning kopplad till den, eller då värderingsföretaget inte har entransaktionsavdelning. Syftet uppnås i denna studie genom intervjuer utförda med några avde mer etablerade aktörerna inom fastighetsvärdering på den kommersiellafastighetsmarknaden. Studien visar på att det finns klara likheter i hur arbetsprocessen vid värdering av enkommersiell fastighet ser ut, men den visar även på att det finns skillnader företagen emellan,framför allt skillnader mellan företagen med en transaktionsavdelning och de utan en sådanavdelning. Värderare på ett företag med en transaktionsavdelning verkar förlita sig i en relativtstor utsträckning på sin egen transaktionsavdelning vid insamlandet av information,någonting som kan leda till psykologiska begränsningar i informationsinsamlandet. Värderarepå företag som inte har en transaktionsavdelning tenderar att gå mer informella vägar vidinsamlingen av information. / The Swedish property market is a highly current and attractive market with a high demand.Therefore there is a high interest in valuation of properties, which is an important part of realestate sales, buying property or taking loans from the bank. How does a property appraiserwork on the commercial property market, which is known for its asymmetric informationwhere the parties have different amounts of information? The purpose of this study is to examine how a property appraiser on the commercial real estatemarket compensates for the asymmetric information which real estate packaging brings. Thisstudy will also look into whether there is any difference in the process if the valuation isperformed by a company which has a transaction department or if it ́s performed by acompany which does not have a transaction department. The purpose in this study is fulfilledthrough interviews with some of the more established commercial property appraisers. The study shows similarities in the process of valuing a commercial property between thedifferent companies, however, it also shows differences in the process. The differences mainlyshow between the companies with a transaction department and the companies that doesn ́thave this department. Appraisers in a company with a transaction department seems to relyto a wider extent on its own transaction department, when it comes to gather information,something that may lead to psychological restraints in the information gathering. Theappraisers in the companies without a transaction department, take more informal ways togather the information.

In many financial agent based models, the concept of adaptive switching be- havior is employed as a substitute for the, elegant yet unrealistic, assumption of rational expectations. Studies estimating these models however frequently suggest that agents do not behave adaptively. To better understand the source of this discrepancy, we propose a test for the presence of switching which does not require us to specify beforehand the exact form of the switching mecha- nism nor the strategies among which agents can choose. We verify the ability of the test to detect switching by Monte Carlo simulations and then apply it to stock prices from the New York Stock Exchange. The null hypothesis of the absence of switching is strongly rejected. Furthermore, we assess robustness of this finding by applying the test individually to various sub-sets of the data-set. The switching is prevalent in all considered sub-periods and in all groups of stocks categorized by traded volume. JEL Classification G02, G12, G14, D83, D84 Keywords Bounded Rationality, Adaptive Switching, In- tensity of Choice, Market Efficiency Author's e-mail stanek.fi@gmail.com Supervisor's e-mail jiri.kukacka@fsv.cuni.cz

O mercado de capitais brasileiro tem se desenvolvido ao longo dos anos, e com o fim do longo período inflacionário, houve a possibilidade das pessoas fazerem planejamentos de longo prazo, sem se preocupar apenas com a perda do valor do dinheiro no curto prazo. Alguns fatores levaram à entrada de investidores no mercado de capitais, que tem sido crescente nos últimos anos. Para que se atraia cada vez mais investidores para esse mercado, e de forma sustentável, instruindo-os para que possam ter mais consciência na hora de investir, é essencial conhecer vieses que influenciam suas decisões, pois, diferentemente do que apontam as Teorias Tradicionais e Modernas de Finanças, os investidores (e as pessoas em geral) não agem de forma completamente racional quando fazem escolhas, podendo ser influenciados, de forma mais ou menos intensa, por vieses, como excesso de confiança, falácia de custos irrecuperáveis, aversão à perda, entre outros, que poderão afetar essas escolhas, e por fim, o mercado em geral. Dessa forma, o objetivo deste estudo foi de identificar a intensidade em que vieses estão presentes em decisões de investidores individuais do mercado de capitais brasileiro, e verificar se essa intensidade está relacionada ao sexo e ao tempo como investidor do mercado, fornecendo subsídio para que sejam desenvolvidos programas, focados inicialmente naqueles vieses que se mostram mais presentes nas decisões, para instruir investidores e possíveis investidores sobre essa influência, ajudando-os a identificar padrões em suas escolhas que possam ser prejudiciais a eles. Para isso, o instrumento de pesquisa utilizado foi um questionário com questões múltipla escolha, disponibilizado em provedor de serviços de pesquisas eletrônicas, por meio do qual foi efetuada a coleta de dados. O link do questionário foi enviado a instituições relacionadas ao mercado de capitais para divulgação a investidores e a grupos de investidores por meio de redes sociais. No total, 178 pessoas responderam à pesquisa, sendo que 80 são investidores no mercado de capitais, cujas respostas foram analisadas. Para efetuar a interpretação das respostas foi utilizada análise descritiva. Observou-se que, dos 13 vieses analisados, apenas 4 se mostraram com alta intensidade na escolha de investidores, sendo eles os vieses de excesso de confiança, excesso de negociação, contabilização mental e ancoragem, e que, para maioria dos vieses não se observa diferença significativa de intensidade entre sexo masculino e feminino, mas é possível perceber que para alguns dos vieses quanto maior o tempo como investidor, menor a intensidade do viés. As respostas de não investidores também foram analisadas, como forma de identificar a intensidade em que vieses estariam presentes em pessoas que poderiam em algum momento ser investidores, e percebeu-se que, comparativamente aos investidores, eles apresentaram maior intensidade dos vieses. Para pessoas que estão envolvidas com o mercado de capitais a intensidade dos vieses não foi tão alta, mas para aqueles que não são investidores a alta intensidade foi predominante para um maior número de vieses, o que poderia estar relacionado à experiência adquirida no mercado de alguma forma, e que mostra a necessidade de apresentar situações a que as pessoas poderiam estar expostas e cuidados a serem tomados para mitigar as influências que podem sofrer ao investir no mercado. / The Brazilian capital market has developed over the years, and with the end of a long inflationary period, there was the possibility of people making long-term plans, instead of only being worried about the loss of value of money in the short term. Some factors have led to the entry of investors in the capital market, which has been growing in recent years. In order to attract more and more investors to this market, and in a sustainable way, instructing them so they can be more aware when investing, it is essential to know the biases that influence their decisions, since, unlike what the Traditional and Modern Finance Theories describe, investors (and people in general) do not act completely rationally when they make choices and may be influenced more or less intensely by biases such as overconfidence, sunk cost fallacy, loss aversion, among others, which may affect these choices, and ultimately, the market. Thus, the aim of this study was to identify the intensity in which biases are present in the decisions of individual investors in the Brazilian capital market, and verify if this intensity is related to sex and time as market investor, providing information so that programs can be developed, focused initially on those biases that are more present in decisions, to instruct investors and potential investors of this influence, helping them to identify patterns in their choices that may be harmful to them. For this, the research instrument was a questionnaire with multiple choice questions, available in electronic research services provider, through which was collected the data. The link to the questionnaire was sent to the capital market related institutions, so they could send it to investors, and groups of investors through social networks. 178 people responded to the survey, of which 80 are investors in the capital market, whose responses were analyzed. To analyze the responses it was used descriptive analysis. It was observed that, of the 13 biases analyzed, only 4 showed up with high intensity in the choice of investors, namely the bias of overconfidence, excessive trading, mental accounting and anchor, and that for, most biases, no significant difference in intensity is observed between males and females, however, for some biases, it is possible to see that when higher the period the person has been an investor, lower the intensity of the biases. The responses of non-investors were also analyzed as a way to identify the intensity in which biases were present in people who might be, at some point, investors, and it was noticed that, compared to investors, they showed greater intensity of biases. For those people who are involved with the capital market the intensity of biases was not as high as for those who are not, for whom the high intensity was prevalent for a larger number of biases. This could be related, somehow, to the experience gained in the market, and shows the need to present situations that people could be exposed and be careful about, being aware of steps that could be taken to mitigate the influences that they can suffer when investing in the market.