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Structural Behavioral Finance

Paper Session

Sunday, Jan. 8, 2023 10:15 AM - 12:15 PM (CST)

Hilton Riverside, Kabacoff
Hosted By: American Economic Association
  • Chairs:
    Tarun Ramadorai, Imperial College London
  • Alberto G. Rossi, Georgetown University

Algorithm Aversion: Theory and Evidence from Portfolio Choice

Ansgar Walther
,
Imperial College London
Tarun Ramadorai
,
Imperial College London
Alberto G. Rossi
,
Georgetown University
Stephen Utkus
,
Vanguard Group
Cynthia Pagliaro
,
Vanguard Group

Abstract

How do humans interact with algorithms? We answer this question using a structural model estimated on unique data that captures interactions between human clients and "hybrid" robo-advisors offering different levels and standards of human counseling to complement algorithmic investment. The model features a per-period disutility of dealing with the algorithm and a "learning" channel through which the client refines their understanding of the value that the algorithm provides over time and across states. We estimate the model's parameters using quasi-random variation in the matching of clients with different human counselors generated by mechanical allocation rules. We find that evidence that both ongoing disutility and learning are at play in the data and estimate a series of counterfactuals to explore possible mechanisms to make client-algorithm matching most efficient.

Arbitration with Uninformed Consumers

Mark L. Egan
,
Harvard Business School
Gregor Matvos
,
Northwestern University
Amit Seru
,
Stanford University

Abstract

This paper studies the impact of the arbitrator selection process on consumer outcomes. Using data from consumer arbitration cases in the securities industry over the past two decades, where we observe detailed information on case characteristics, the randomly generated list of potential arbitrators presented to both parties, the selected arbitrator, and case outcomes, we establish several motivating facts. These facts suggest that firms hold an informational advantage over consumers in selecting arbitrators, resulting in industry-friendly arbitration outcomes. We then develop and calibrate a quantitative model of arbitrator selection in which firms hold an informational advantage in selecting arbitrators. Arbitrators, who are compensated only if chosen, compete with each other to be selected. The model allows us to decompose the firms’ advantage into two components: the advantage of choosing pro-industry arbitrators from a given pool, and the equilibrium pro-industry tilt in the arbitration pool that arises because of arbitrator competition. Selecting arbitrators without the input of firms and consumers would increase consumer awards by $60,000 on average relative to the current system. Forty percent of this effect arises because the pool of arbitrators skews pro-industry due to competition. Even an informed consumer cannot avoid this pro-industry equilibrium effect. Counterfactuals suggest that redesigning the arbitrator selection mechanism for the benefit of consumers hinges on whether consumers are informed. Policies intended to benefit consumers, such as increasing arbitrator compensation or giving parties more choice would benefit informed consumers but hurt the uninformed.

The Supply and Demand for Data Privacy: Evidence from Mobile Apps

Huan Tang
,
London School of Economics
Xinchen Ma
,
London School of Economics
Bo Bian
,
University of British Columbia

Abstract

Since December 2020, Apple has required all apps to disclose their data collection practices by filling out privacy “nutrition” labels that are standardized and easy-to-read. We web-scrape these privacy labels and first document the following stylized facts regarding the supply of privacy: (i) 80% of the data collected are used for purposes unrelated to app functionality; (ii) top data collectors tend to be developed by public firms and enjoy a larger market share and better ratings; (iii) games, news, shopping, and entertainment apps collect more data for advertising and marketing purposes. Second, augmenting privacy labels with weekly app downloads and revenues, we study how consumers react to the disclosure of data collection practices. We exploit the staggered release of privacy labels and use the nonexposed Android version of each app to construct the counterfactual. After privacy label release, an average iOS app experi- ences a 12-15% drop in weekly downloads and revenues when compared to its Android counterpart, with an even stronger effect for more privacy-invasive and substitutable apps. Consumers in the US, UK, and Canada respond more negatively, suggesting that they are most averse to data collection. We also observe adverse stock market reactions, especially among firms that harvest more data. Our findings highlight the lack of consumer awareness of firms’ data collection practices as a key barrier to privacy protection.

The Endowment Effect and Collateralized Loans

Gautam Rao
,
Harvard University
Michael Kremer
,
University of Chicago
Xinyue Lin
,
Harvard University
Kevin Carney
,
Harvard University

Abstract

The unwillingness to exchange an endowed good for another is a classical finding in behavioral economics. We focus on how the endowment effect among individual borrowers interacts with collateral requirements of loans. Many loans are collateralized using the assets financed by the loans themselves, e.g. home loans, car loans, lease-to-own, many business-equipment loans. Other loans require providing existing assets as collateral. This paper employs evidence from a field experiment in Kenya to address the following questions: Does the endowment effect cause borrowers to prefer collateralizing with new rather than old assets? Is this because borrowers under-estimate how “attached” they will come to feel to the new asset in the future? A structural model is used to quantify the implications for consumer welfare.

Discussant(s)
Hunt Allcott
,
Microsoft Research
Alessandro Gavazza
,
London School of Economics
Claudia Robles-Garcia
,
Stanford University
Giorgia Barboni
,
University of Warwick
JEL Classifications
  • G4 - Behavioral Finance
  • G5 - Household Finance