投资者情绪与企业投资行为

value of its future payoffs
V
t



i 1
E D (
|
t
t i
(1 r )i
)
• Then, operationally, the EMH is often interpreted to mean price reflects a stock's intrinsic value
• Long-term and short-term winners turn into losers and vice verse
• 1987 crash of over 20% in one day not based on any news
• January effect • Small firm effect • Monday effect • Documented over-reaction and under-reaction to
• Behavioral finance holds that cohorts of investors do these things in predictable ways, not randomly
• Such coordinated activity can outweigh arbitrageurs
10
John von Neumann
“If people do not believe that mathematics is simple, it is only because they do not realize how complicated life is”
11
Theoretical Objections To EMH
投资者情绪与企业投资行为研究 ——研究现状及中国背景下的研究展望
南开大学 刘志远
Should capital market researchers assume price = value?
“Price is what you pay, value is what you get.”
- Warren Buffett
Availability 易得性偏差
• Investors form opinions based on the most available/noticeable data
• Could apply to recent market gains or losses “familiarity breeds investment”.
19
Anchoring 锚定效应
• People tend to make estimates based on a pre-determined anchor point
• Adjustments from anchor are too small • Setting a different anchor changes
(P V , t)
t
t
Why do we believe markets are efficient?
Shleifer (2001): The theoretical case for the EMH
1. All investors are rational 2. Some investors irrational, but their trades cancel out 3. Some systematic irrationality, but it is eliminated by rational
• Arbitrage in the real world is risky and therefore limited
• Investors acting irrationally may not be doing so randomly
12
The Madness Of People:
Deviations From Rationality
– Lee (2001):
1. Arbitrage is merely a mechanism
•
Ocean vs. millpond
2. It is almost always costly and risky
•
Information, trading, & holding costs
3. It requires sufficient mispricing to function properly
无套利均衡
• 主要研究路径与基本命题 基础价值决定资产价格
Fama(1970) ▪▪▪
资产价格
企业投资行为
Tobin(1969) ▪▪▪
资产价格反映投资机会
The Efficient Market Hypothesis
• Fama (1965, 1991): The market price "incorporates"
•
Arbitrage and mispricing must co-exist
“Markets can stay irrational longer than you can stay insolvent.” John Maynard Keynes
13
Attitudes Toward Risk 风险态度
• 国内研究述评 • 基于中国资本市场背景的研究展望
问题的提出
• 资产定价与企业投资行为
--传统财务理论的分析逻辑
• 经济史实的反思与问题的提出
--经济史实 --投资者情绪可能对企业投资行为 产生实体影响（real effect）？
资产定价与企业投资行为 ----传统财务理论的分析逻辑
• 基本前提：有效资本市场 理性经济人
all "currently available information"
•In past prices (Weak)
Quickly and Without bias
•In public domain (S.S.)
•Both public & private (S.)
• If we define the intrinsic value of a firm as the present
Extremely high opening day returns.
The Roll Call Of Anomalies 有效市场异例
• Volatility studies establish that asset price volatility is far greater than can be justified by fundamental changes
• Investors do not “calculate through” rationally to a final wealth value a la von Neumann – Morgenstern
• Investors use a reference point in measuring risk
• Clearly, not all investors are rational, so equilibrium must rely on arbitrage
• Effective arbitrage requires “close substitute” assets which often are not available
反思1：资产价格有可能“系统性的显著偏离其基本价值”（Shleifer,2000）
Isaac Newton
“I can calculate the motions of heavenly bodies, but not the madness of people”
-upon losing 20,000 pounds in the South Sea Bubble of 1720
answers • Can create under-reaction
20
Fashions and Fads
• People are influenced by each other. There is a social pressure to conform.
• Herding behavior: “safety-in-numbers”. • Informational Cascades • Positive Feedback • Example: excessive demand for internet IPOs.
15
Cognitive Dissonance 认知失调
• People cannot deal with data that contradicts previous conclusions
• Reject data inconsistent with most wellformed models/attitudes or “fit” data to preconceptions
B. “The Price is Right” (Pt = Vt)
B. => A. but definitely A. ≠> B. (Consider P = V + e; and e is r.w.)
经济史实的反思与问题的提出 • 经济史实：并非有效的市场（Shleifer，2003） • 美国：1945-1980
• Different outcome if potential investor is shown long-term stock returns versus shortterm volatility
• Regret Avoidance: anticipation of a future regret can influence current decision.
– judgement based on similarity. – “Patterns in random sequences”.
17
一个小实验
• LINDA 今年31岁，单身，坦率直言，非常聪 明。她的专业是哲学。在学生时代，她非常 关注歧视和社会公正问题，并且参加过反对 核武器的示威活动。 请问以下选项中哪个可能性更高： 1.LINDA 是一个银行出纳 2.LINDA 是一个银行出纳,并且积极投身女权 运动
arbitrageurs
=> A visceral faith in the process of arbitrage !
源自文库
There are two definitions of market efficiency:
A: “No free lunch” (Zero arbitrage profits)
• Closely related to joining the group consensus
16
Representativeness 代表性偏差
• Equivalent to stereotyping • Investors try apply experience from a
small sample to a larger population of possible outcomes • Causes violations of Bayes rule • Probably the biggest factor underlying the tendency to assume the current trend will continue longer than is rational
• Loss aversion – skewed payoff preference (hold losers)
“the hurt of a $1000 loss is more painful than the benefit of a $1000 gain”.
14
Framing 框架效应
• How the problem is stated determines behavior
提纲
• 问题的提出
--资产定价与企业投资行为（传统财务理论的分析逻辑） --经济史实的反思与问题的提出
• 投资者情绪的含义与相关研究框架 • 国外研究述评
--投资者情绪是否影响企业投资行为的理论与经验证据 --投资者情绪影响企业投资行为的作用机理 --投资者情绪与企业投资策略 --投资者情绪影响企业投资行为的经济后果