Learning to Wait: A Laboratory Investigation

S-Tier
Journal: Review of Economic Studies
Year: 2009
Volume: 76
Issue: 3
Pages: 1103-1124

Score contribution per author:

2.681 = (α=2.01 / 3 authors) × 4.0x S-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Human subjects decide when to sink a fixed cost C to seize an irreversible investment opportunity whose value V is governed by Brownian motion. The optimal policy is to invest when V first crosses a threshold V* = (1 + w*)C, where the wait option premium w* depends on drift, volatility, and expiration hazard parameters. Subjects in the Low w* treatment on average invest at values quite close to optimum. Subjects in the two Medium and the High w* treatments invested at values below optimum, but with the predicted ordering, and values approached the optimum by the last block of 20 periods. Copyright , Wiley-Blackwell.

Technical Details

RePEc Handle
repec:oup:restud:v:76:y:2009:i:3:p:1103-1124
Journal Field
General
Author Count
3
Added to Database
2026-01-25