高等经济研究院教师论文被国际权威经济学期刊接收发表

2025年11月12日

近日，东北财经大学高等经济研究院赵书辰副教授的独作论文“Pricing Skewed Assets in Multi-Asset Experimental Markets”被国际权威经济学期刊 Games and Economic Behavior 接收并线上发表。

该论文通过一系列实验经济学研究，系统考察了个人层面偏好正偏资产的行为在市场环境中是否仍然存在。研究首先利用传统的BDM机制验证个体投资者在面对具有相同期望收益与方差但偏度相反的资产时，表现出对正偏资产的显著偏好。然而，在连续双向拍卖（CDA）市场中，这一偏好并未延续：当市场初始禀赋平衡时，两类资产的市场价格趋于一致，与资本资产定价模型（CAPM）的预期一致；而当初始禀赋不平衡时，却出现了“价格反转”现象——负偏资产价格反而高于正偏资产。研究进一步通过改变市场机制、交易人数与资产数量等方式进行稳健性检验，发现这一价格反转现象稳定存在。

论文指出，制度结构与初始禀赋在决定市场均衡价格中起着关键作用，个体层面的行为偏好并不会简单汇聚为市场层面的价格偏差。该研究为理解现实金融市场中资产定价偏差提供了新的实验依据。

 

 

Associate Professor Shuchen Zhao's Paper Accepted for Publication in Games and Economic Behavior

 

November 12, 2025

Recently, a paper authored by Associate Professor Shuchen Zhao from IAER has been accepted and published online in the prestigious economics journal Games and Economic Behavior. Entitled "Pricing Skewed Assets in Multi-Asset Experimental Markets", the study investigates whether individual preferences for positively skewed assets, widely documented in behavioral finance, persist and influence prices in market settings where assets with both positive and negative skewness coexist.

 

Using a combination of BDM and continuous double auction (CDA) market experiments, the study finds that while individuals strongly prefer positively skewed assets in isolated decision-making, this preference disappears in markets with balanced endowments, where prices converge in line with the Capital Asset Pricing Model (CAPM). Surprisingly, when initial endowments are unbalanced, a price inversion emerges, with negatively skewed assets becoming more expensive. Robustness checks across trading formats, group sizes, and asset scopes confirm the persistence of this pattern.

 

The findings highlight how institutional structures and initial endowments critically mediate the translation of behavioral preferences into market outcomes. This research contributes to experimental evidence relevant to real-world financial markets.