Behavior Finance 复旦行为经济学
终于还是行为金融学拿了今年的诺贝尔为芒格喝彩
终于还是⾏为⾦融学拿了今年的诺贝尔为芒格喝彩2017年10⽉9⽇，2017诺贝尔奖最后⼀个奖项——经济学奖颁布，颁给了Richard H. Thaler，获奖原因是'for his contributions to behavioural economics'，表彰他在⾏为经济学（更倾向于⾏为⾦融学）⽅⾯的贡献，是⽼爷⼦⼀个⼈拿奖，值得庆贺。
⽼实说，这个奖项终于揭晓的时候，还是有点窃喜的。
12-14年读⾦融MBA的时候，和教授讨论过经济学、⾦融学的未来发展、现状问题等，当时最直观的问题就是股市⾥明明就是有⼈赔有⼈赚的，有效市场假说条件这么苛刻、现实社会太难达到，⽼师就提到了⾏为⾦融学，对我这个当时的⾦融⼩⽩来讲，很是感兴趣，讨教了不少问题。
⽼师还特意说⾏为⾦融学有很多借鉴⽣物学的地⽅，⽣物系统⾥有⾷物链、⾦字塔、有群体也有个体、有⽣物多样性，⾦融系统有很多类似的地⽅，⽐想象的更复杂、有⽣态。
从此记住了这个词，关注这个领域，没想到⼏年后拿了诺贝尔奖。
⼀. 什么是⾏为⾦融学behavior finance⾏为⾦融学是⾏为经济学behavior economics的分⽀。
根据定义，⾏为⾦融学是研究⼼理、社会、认知、情绪等因素在个体和机构经济决策中的作⽤，以及对市场价格、投资回报、资源分配产⽣的后果。
所以⾏为⾦融学算是交叉学科，是⾦融学、⼼理学、⾏为学、社会学等学科相交叉的边缘学科，⼒图揭⽰⾦融市场的⾮理性⾏为和决策规律。
同样在2013年获得诺贝尔奖的有效市场假说(efficient market hypothesis,EMH)简单假设所有⾦融市场的⼈都是理性的，不理性的⼈会被赶出市场。
要真是这样，那⾲菜怎么会⼀茬⼀茬地被割呢。
简单常识，这个假设没有考虑到⼈的寿命，这⼀波⾮理性的⼈被赶出市场，还有下⼀批新的⾮理性⼈冲进来。
与之相对，⾏为⾦融学认为市场上除了理性参与者，还有有限理性参与者，有限理性参与者是会犯错误的；在绝⼤多数时候，市场中理性和有限理性的投资者都是起作⽤的，共同决定市场价格。
行为经济学教材
行为经济学教材
以下是一些常用的行为经济学教材：
1.《行为经济学》（Behavioral Economics）- 埃尔南·阿兰奇（Hernán Arance）
2.《行为经济学》（Behavioral Economics）- 马克·海尔德雷斯（Mark Hadenrees）
3.《行为经济学》（Behavioral Economics）- 巴勃罗·达席尔瓦·博尔哈斯（Pablo Dias Berdichevsky）
4.《行为经济学》（Behavioral Economics）- 马修·鲍尔斯（Matthew Rabin）
5.《行为经济学导论》（Introduction to Behavioral Economics）- 尤斯·雅格拉斯（José Ignacio Cuesta）
6.《行为经济学与计算机科学》（Behavioral Economics and Computer Science）- 理查德·斯通（Richard Stone）
7.《行为金融学》（Behavioral Finance） - 赫博伊·谢夫兰（Hersh Sheffrin）
这些教材覆盖了行为经济学的基本原理和理论，包括心理学，经济学和行为科学的交叉领域。
读者可以选择适合自己的水平和兴趣的教材进行学习。
journal of behavioral finance好吗
Journal of Behavioral Finance（行为金融学杂志）是一份关注行为金融学领域的学术期刊。
该杂志发表高质量的金融学研究，涉及行为金融学的各个方面，包括投资决策、风险管理和金融市场行为等。
因此，该杂志对于从事行为金融学或金融市场研究的专业人士来说是一个很好的资源。
但是，该杂志的影响力因研究领域和学术界的认可度而异，因此不能一概而论。
此外，该杂志的审稿过程非常严格，需要经过多轮审查和修改才能被接受发表。
因此，如果您想在该杂志上发表文章，需要投入大量的时间和精力进行研究和撰写。
总的来说，Journal of Behavioral Finance在行为金融学领域具有一定的知名度和影响力，对于从事相关研究的专业人士来说是一个很好的资源。
但是，需要注意的是，该杂志的审稿过程较为严格，发表难度较大。
行为金融学的综述--Behavioral Corporate Finance： A Survey -- Baker Ruback Wurgler
Behavioral Corporate Finance: A Survey∗Malcolm BakerHarvard Business School and NBERmbaker@Richard S. RubackHarvard Business Schoolrruback@Jeffrey WurglerNYU Stern School of Business and NBERjwurgler@October 9, 2004AbstractResearch in behavioral corporate finance takes two distinct approaches. The first emphasizes that investors are less than fully rational. It views managerial financing and investment decisions as rational responses to securities market mispricing. The second approach emphasizes that managers are less than fully rational. It studies the effect of nonstandard preferences and judgmental biases on managerial decisions. This survey reviews the theory, empirical challenges, and current evidence pertaining to each approach. Overall, the behavioral approaches help to explain a number of important financing and investment patterns. The survey closes with a list of open questions.∗ This article will appear in the Handbook in Corporate Finance: Empirical Corporate Finance, which is edited by Espen Eckbo. The authors are grateful to Heitor Almeida, Nick Barberis, Zahi Ben-David, Espen Eckbo, Xavier Gabaix, Dirk Jenter, Augustin Landier, Alexander Ljungqvist, Hersh Shefrin, Andrei Shleifer, Meir Statman, and Theo Vermaelen for helpful comments. Baker and Ruback gratefully acknowledge financial support from the Division of Research of the Harvard Business School.Table of ContentsI. Introduction (1)II. The irrational investors approach (4)A. Theoretical framework (6)B. Empirical challenges (10)C. Investment policy (13)C.1. Real investment (14)C.2. Mergers and acquisitions (16)C.3. Diversification and focus (18)D. Financial policy (19)D.1. Equity issues (19)D.2. Repurchases (23)D.3. Debt issues (24)D.4. Cross-border issues (26)D.5. Capital structure (27)E. Other corporate decisions (28)E.1. Dividends (29)E.2. Firm names (31)E.3. Earnings management (32)E.4. Executive compensation (33)III. The irrational managers approach (34)A. Theoretical framework (36)B. Empirical challenges (39)C. Investment policy (40)C.1. Real investment (40)C.2. Mergers and acquisitions (42)D. Financial policy (43)D.1. Capital structure (43)D.2. Financial contracting (44)E. Other behavioral patterns (44)E.1. Bounded rationality (45)E.2. Reference-point preferences (46)IV. Conclusion (48)References (51)I. IntroductionCorporate finance aims to explain the financial contracts and the real investment behavior that emerge from the interaction of managers and investors. Thus, a complete explanation of financing and investment patterns requires an understanding of the beliefs and preferences of these two sets of agents. The majority of research in corporate finance assumes a broad rationality. Agents are supposed to develop unbiased forecasts about future events and use these to make decisions that best serve their own interests. As a practical matter, this means that managers can take for granted that capital markets are efficient, with prices rationally reflecting public information about fundamental values. Likewise, investors can take for granted that managers will act in their self-interest, rationally responding to incentives shaped by compensation contracts, the market for corporate control, and other governance mechanisms.This paper surveys research in behavioral corporate finance. This research replaces the traditional rationality assumptions with potentially more realistic behavioral assumptions. The literature is divided into two general approaches, and we organize the survey around them. Roughly speaking, the first approach emphasizes the effect of investor behavior that is less than fully rational, and the second considers managerial behavior that is less than fully rational. For each line of research, we review the basic theoretical frameworks, the main empirical challenges, and the empirical evidence. Of course, in practice, both channels of irrationality may operate at the same time; our taxonomy is meant to fit the existing literature, but it does suggest some structure for how one might, in the future, go about combining the two approaches.The “irrational investors approach” assumes that securities market arbitrage is imperfect, and thus that prices can be too high or too low. Rational managers are assumed to perceive mispricings, and to make decisions that may encourage or respond to mispricing. While theirdecisions may maximize the short-run value of the firm, they may also result in lower long-run values as prices correct. In the simple theoretical framework we outline, managers balance three objectives: fundamental value, catering, and market timing. Maximizing fundamental value has the usual ingredients. Catering refers to any actions intended to boost share prices above fundamental value. Market timing refers specifically to financing decisions intended to capitalize on temporary mispricings, generally via the issuance of overvalued securities and the repurchase of undervalued ones.Empirical tests of the irrational investors model face a significant challenge: measuring mispricing. We discuss how this issue has been tackled and the ambiguities that remain. Overall, despite some unresolved questions, the evidence suggests that the irrational investors approach has a considerable degree of descriptive power. We review studies on investment behavior, merger activity, the clustering and timing of corporate security offerings, capital structure, corporate name changes, dividend policy, earnings management, and other managerial decisions. We also identify some disparities between the theory and the evidence. For example, while catering to fads has potential to reduce long-run value, the literature has yet to clearly document significant long-term value losses.The second approach to behavioral corporate finance, the “irrational managers approach,” is less developed at this point. It assumes that managers have behavioral biases, but retains the rationality of investors, albeit limiting the governance mechanisms they can employ to constrain managers. Following the emphasis of the current literature, our discussion centers on the biases of optimism and overconfidence. A simple model shows how these biases, in leading managers to believe their firms are undervalued, encourage overinvestment from internal resources, and a preference for internal to external finance, especially internal equity. We note that the predictionsof the optimism and overconfidence models typically look very much like those of agency and asymmetric information models.In this approach, the main obstacles for empirical tests include distinguishing predictions from standard, non-behavioral models, as well as empirically measuring managerial biases. Again, however, creative solutions have been proposed. The effects of optimism and overconfidence have been empirically studied in the context of merger activity, corporate investment-cash flow relationships, entrepreneurial financing and investment decisions, and the structure of financial contracts. Separately, we discuss the potential of a few other behavioral patterns that have received some attention in corporate finance, including bounded rationality and reference-point preferences. As in the case of investor irrationality, the real economic losses associated with managerial irrationality have yet to be clearly quantified, but some evidence suggests that they are very significant.Taking a step back, it is important to note that the two approaches take very different views about the role and quality of managers, and have very different normative implications as a result. That is, when the primary source of irrationality is on the investor side, long-term value maximization and economic efficiency requires insulating managers from short-term share price pressures. Managers need to be insulated to achieve the flexibility necessary to make decisions that may be unpopular in the marketplace. This may imply benefits from internal capital markets, barriers to takeovers, and so forth. On the other hand, if the main source of irrationality is on the managerial side, efficiency requires reducing discretion and obligating managers to respond to market price signals. The stark contrast between the normative implications of these two approaches to behavioral corporate finance is one reason why the area is fascinating, and why more work in the area is needed.Overall, our survey suggests that the behavioral approaches can help to explain a range of financing and investment patterns, while at the same time depend on a relatively small set of realistic assumptions. Moreover, there is much room to grow before the field reaches maturity. In an effort to stimulate that growth, we close the survey with a short list of open questions.II. The irrational investors approachWe start with one extreme, in which rational managers coexist with irrational investors. There are two key building blocks here. First, irrational investors must influence securities prices. This requires limits on arbitrage. Second, managers must be smart in the sense of being able to distinguish market prices and fundamental value.The literature on market inefficiency is far too large to survey here. It includes such phenomena as the January effect; the effect of trading hours on price volatility; post-earnings-announcement drift; momentum; delayed reaction to news announcements; positive autocorrelation in earnings announcement effects; Siamese twin securities that have identical cash flows but trade at different prices, negative “stub” values; closed-end fund pricing patterns; bubbles and crashes in growth stocks; related evidence of mispricing in options, bond, and foreign exchange markets; and so on. These patterns, and the associated literature on arbitrage costs and risks, for instance short-sales constraints, that facilitate mispricings, are surveyed by Barberis and Thaler (2003) and Shleifer (2000). In the interest of space, we refer the reader to these excellent sources, and for the discussion of this section we simply take as given that mispricings can and do occur.But even if capital markets are inefficient, why assume that corporate managers are “smart” in the sense of being able to identify mispricing? One can offer several justifications.First, corporate managers have superior information about their own firm. This is underscored by the evidence that managers earn abnormally high returns on their own trades, as in Muelbroek (1992), Seyhun (1992), or Jenter (2004). Managers can also create an information advantage by managing earnings, a topic to which we will return, or with the help of conflicted analysts, as for example in Bradshaw, Richardson, and Sloan (2003).Second, corporate managers also have fewer constraints than equally “smart” money managers. Consider two well-known models of limited arbitrage: DeLong, Shleifer, Summers, and Waldmann (1990) is built on short horizons and Miller (1977) on short-sales constraints. CFOs tend to be judged on longer horizon results than are money managers, allowing them to take a view on market valuations in a way that money managers cannot.1 Also, short-sales constraints prevent money managers from mimicking CFOs. When a firm or a sector becomes overvalued, corporations are the natural candidates to expand the supply of shares. Money managers are not.Third and finally, managers might just follow intuitive rules of thumb that allow them to identify mispricing even without a real information advantage. In Baker and Stein (2004), one such successful rule of thumb is to issue equity when the market is particularly liquid, in the sense of a small price impact upon the issue announcement. In the presence of short-sales constraints, unusually high liquidity is a symptom of the fact that the market is dominated by irrational investors, and hence is overvalued.1 For example, suppose a manager issues equity at $50 per share. Now if those shares subsequently double, the manager might regret not delaying the issue, but he will surely not be fired, having presided over a rise in the stock price. In contrast, imagine a money manager sells (short) the same stock at $50. This might lead to considerable losses, an outflow of funds, and, if the bet is large enough, perhaps the end of a career.A. Theoretical frameworkWe use the assumptions of inefficient markets and smart managers to develop a simple theoretical framework for the irrational investors approach. The framework has roots in Fischer and Merton (1984), De Long, Shleifer, Summers, and Waldmann (1989), Morck, Shleifer, and Vishny (1990b), and Blanchard, Rhee, and Summers (1993), but our particular derivation borrows most from Stein (1996).In the irrational investors approach, the manager balances three conflicting goals. The first is to maximize fundamental value. This means selecting and financing investment projects to increase the rationally risk-adjusted present value of future cash flows. To simplify the analysis, we do not explicitly model taxes, costs of financial distress, agency problems or asymmetric information. Instead, we specify fundamental value as()Kf−⋅,,Kwhere f is increasing and concave in new investment K. To the extent that any of the usual market imperfections leads the Modigliani-Miller (1958) theorem to fail, financing may enter f alongside investment.The second goal is to maximize the current share price of the firm’s securities. In perfect capital markets, the first two objectives are the same, since the definition of market efficiency is that prices equal fundamental value. But once one relaxes the assumption of investor rationality, this need not be true, and the second objective is distinct. In particular, the second goal is to “cater” to short-term investor demands via particular investment projects or otherwise packaging the firm and its securities in a way that maximizes appeal to investors. Through such catering activities, managers influence the temporary mispricing, which we represent by the function ()⋅δ,where the arguments of δ depend on the nature of investor sentiment. The arguments might include investing in a particular technology, assuming a conglomerate or single-segment structure, changing the corporate name, managing earnings, initiating a dividend, and so on. In practice, the determinants of mispricing may well vary over time.The third goal is to exploit the current mispricing for the benefit of existing, long-run investors. This is done by a “market timing” financing policy whereby managers supply securities that are temporarily overvalued and repurchase those that are undervalued. Such a policy transfers value from the new or the outgoing investors to the ongoing, long-run investors; the transfer is realized as prices correct in the long run.2 For simplicity, we focus here on temporary mispricing in the equity markets, and so δ refers to the difference between the current price and the fundamental value of equity. More generally, each of the firm’s securities may be mispriced to some degree. By selling a fraction of the firm e, long run shareholders gain ()⋅δe.We leave out the budget constraint, lumping together the sale of new and existing shares. Instead of explicitly modeling the flow of funds and any potential financial constraints, we will consider the reduced form impact of e on fundamental value.It is worth noting that other capital market imperfections can lead to a sort of catering behavior. For example, reputation models in the spirit of Holmstrom (1982) can lead to earnings management, inefficient investment, and excessive swings in corporate strategy even when the capital markets are not fooled in equilibrium.3 Viewed in this light, the framework here is2 Of course, we are also using the market inefficiency assumption here in assuming that managerial efforts to capturea mispricing do not completely destroy it in the process, as they would in the rational expectations world of Myers and Majluf (1984). In other words, investors underreact to corporate decisions designed to exploit mispricing. This leads to some testable implications, as we discuss below.3 For examples, see Stein (1989) and Scharfstein and Stein (1990). For a comparison of rational expectations and inefficient markets in this framework, see Aghion and Stein (2004).relaxing the assumptions of rational expectations in Holmstrom, in the case of catering, and Myers and Majluf (1984), in the case of market timing.Putting the goals of fundamental value, catering, and market timing into one objective function, the irrational investors approach has the manager choosing investment and financing to()()[]()()⋅−+⋅+−⋅δλδλ1,max ,e K K f eK , where λ, between zero and one, specifies the manager’s horizon. When λ equals one, the manager cares only about creating value for existing, long-run shareholders, the last term drops out, and there is no distinct impact of catering. However, even an extreme long-horizon manager cares about short-term mispricing for the purposes of market timing, and thus may cater to short-term mispricing to further this objective. With a shorter horizon, maximizing the stock price becomes an objective in its own right, even without any concomitant equity issues.We take the managerial horizon as given, exogenously set by personal characteristics, career concerns, and the compensation contract. If the manager plans to sell equity or exercise options in the near term, his portfolio considerations may lower λ. However, managerial horizon may also be endogenous. For instance, consider a venture capitalist who recognizes a bubble. He might offer a startup manager a contract that loads heavily on options and short-term incentives, since he cares less about valuations that prevail beyond the IPO lock-up period. Career concerns and the market for corporate control can also combine to shorten horizons, since if the manager does not maximize short-run prices, the firm may be acquired and the manager fired.Differentiating with respect to K and e gives the optimal investment and financial policy of a rational manager operating in inefficient capital markets:()()()⋅+−=⋅−K K e K f δλλ11,, and ()()()()⋅++⋅=⋅−−e e e K f δδλλ1,.In words, the first condition is about investment policy. The marginal value created from investment is weighed against the standard cost of capital, normalized to be one here, net of the impact that this incremental investment has on mispricing, and hence its effect through mispricing on catering and market timing gains. The second condition is about financing. The marginal value lost from shifting the firm’s current capital structure toward equity is weighed against the direct market timing gains and the impact that this incremental equity issuance has on mispricing, and hence its effect on catering and market timing gains. This is a lot to swallow at once, so we consider some special cases.Investment policy. Investment and financing are separable if both δK and f e are equal to zero. Then the investment decision reduces to the familiar perfect markets condition of f K equal to unity. Real consequences of mispricing for investment thus arise in two ways. In Stein (1996) and Baker, Stein, and Wurgler (2003), f e is not equal to zero. There is an optimal capital structure, or at least an upper bound on debt capacity. The benefits of issuing or repurchasing equity in response to mispricing are balanced against the reduction in fundamental value that arises from too much (or possibly too little) leverage. In Polk and Sapienza (2004) and Gilchrist, Himmelberg, and Huberman (2004), there is no optimal capital structure, but δK is not equal to zero: mispricing is itself a function of investment. Polk and Sapienza focus on catering effects and do not consider financing (e equal to zero in this setup), while Gilchrist et al. model the market timing decisions of managers with long horizons (λ equal to one).Financial policy. The demand curve for a firm’s equity slopes down under the natural assumption that δe is negative, e.g., issuing shares partly corrects mispricing.4 When investment and financing are separable, managers act like monopolists. This is easiest to see when managers 4 Gilchrist et al. (2004) model this explicitly with heterogeneous investor beliefs and short-sales constraints.have long horizons, and they sell down the demand curve until marginal revenue δ is equal to marginal cost –e δe . Note that price remains above fundamental value even after the issue: “corporate arbitrage” moves the market toward, but not all the way to, market efficiency.5 Managers sell less equity when they care about short-run stock price (λ less than one, here). For example, in Ljungqvist, Nanda, and Singh (2004), managers expect to sell their own shares soon after the IPO and so issue less as a result. Managers also sell less equity when there are costs of suboptimal leverage.Other corporate decisions. Managers do more than simply invest and issue equity, and this framework can be expanded to accommodate other decisions. Consider dividend policy. Increasing or initiating a dividend may simultaneously affect both fundamental value, through taxes, and the degree of mispricing, if investors categorize stocks according to payout policy as they do in Baker and Wurgler (2004a). The tradeoff is()()()⋅+=⋅−−d d e K f δλλ1,, where the left-hand side is the tax cost of dividends, for example, and the right-hand side is the market timing gain, if the firm is simultaneously issuing equity, plus the catering gain, if the manager has short horizons. In principle, a similar tradeoff governs the earnings management decision or corporate name changes; however, in the latter case, the fundamental costs of catering would presumably be small.B. Empirical challengesThe framework outlined above suggests a role for securities mispricing in investment, financing, and other corporate decisions. The main challenge for empirical tests in this area is 5 Total market timing gains may be even higher in a dynamic model where managers can sell in small increments down the demand curve.measuring mispricing, which by its nature is hard to pin down. Researchers have found several ways to operationalize empirical tests, but none of them is perfect.Ex ante misvaluation. One option is to take an ex ante measure of mispricing, for instance a scaled-price ratio in which a market value in the numerator is related to some measure of fundamental value in the denominator. Perhaps the most common choice is the market-to-book ratio: A high market-to-book suggests that the firm may be overvalued. Consistent with this idea, and the presumption that mispricing corrects in the long run, market-to-book is found to be inversely related to future stock returns in the cross-section by Fama and French (1992) and in the time-series by Kothari and Shanken (1997) and Pontiff and Schall (1998). Also, extreme values of market-to-book are connected to extreme investor expectations by Lakonishok, Shleifer and Vishny (1994), La Porta (1996), and La Porta, Lakonishok, Shleifer, and Vishny (1997).One difficulty that arises with this approach is that the market-to-book ratio or another ex ante measure of mispricing may be correlated with an array of firm characteristics. Book value is not a precise estimate of fundamental value, but rather a summary of past accounting performance. Thus, firms with excellent growth prospects tend to have high market-to-book ratios, and those with agency problems might have low ratios—and perhaps these considerations, rather than mispricing, drive investment and financing decisions. Dong, Hirshleifer, Richardson, and Teoh (2003) and Ang and Cheng (2003) discount analyst earnings forecasts to construct an arguably less problematic measure of fundamentals than book value.Another factor that limits this approach is that a precise ex ante measure of mispricing would represent a profitable trading rule. There must be limits to arbitrage that prevent rational investors from fully exploiting such rules and trading away the information they contain about mispricing. But on a more positive note, the same intuition suggests that variables like market-to-book are likely to be a more reliable mispricing metric in regions of the data where short-sales constraints and other (measurable) arbitrage costs and risks are most severe. This observation has been exploited as an identification strategy.Ex post misvaluation. A second option is to use the information in future returns. The idea is that if stock prices routinely decline after a corporate event, one might infer that they were inflated at the time of the event. However, as detailed in Fama (1998) and Mitchell and Stafford (2000), this approach is also subject to several critiques.The most basic critique is the joint hypothesis problem: a predictable “abnormal” return might mean there was misvaluation ex ante, or simply that the definition of “normal” expected return (e.g., CAPM) is wrong. Perhaps the corporate event systematically coincides with changes in risk, and hence the return required in an efficient capital market. Another simple but important critique regards economic significance. Market value-weighting or focusing on NYSE/AMEX firms may reduce abnormal returns or cause them to disappear altogether.There are also statistical issues. For instance, corporate events are often clustered in time and by industry—IPOs are an example considered in Brav (2000)—and thus abnormal returns may not be independent. Barber and Lyon (1997) and Barber, Lyon, and Tsai (1999) show that inference with buy-and-hold returns (for each event) is challenging. Calendar-time portfolios, which consist of an equal- or value-weighted average of all firms making a given decision, have fewer problems here, but the changing composition of these portfolios adds another complication to standard tests. Loughran and Ritter (2000) also argue that such an approach is a less powerful test of mispricing, since the clustered events have the worst subsequent performance. A final statistical problem is that many studies cover only a short sample period. Schultz (2003) showsthat this can lead to a small sample bias if managers engage in “pseudo” market timing, making decisions in response to past rather than future price changes.Analyzing aggregate time series resolves some of these problems. Like the calendar time portfolios, time series returns are more independent. There are also established time-series techniques, e.g. Stambaugh (1999), to deal with small-sample biases. Nonetheless, the joint hypothesis problem remains, since rationally required returns may vary over time.But even when these econometric issues can be solved, interpretational issues may remain. For instance, suppose investors have a tendency to overprice firms that have genuinely good growth opportunities. If so, even investment that is followed by low returns need not be ex ante inefficient. Investment may have been responding to omitted measures of investment opportunities, not to the misvaluation itself.Cross-sectional interactions. Another identification strategy is to exploit the finer cross-sectional predictions of the theory. In this spirit, Baker, Stein, and Wurgler (2003) consider the prediction that if f e is positive, mispricing should be more relevant for financially constrained firms. More generally, managerial horizons or the fundamental costs of catering to sentiment may vary across firms in a measurable way. Of course, even in this approach, one still has to proxy for mispricing with an ex ante or ex post method. To the extent that the hypothesized cross-sectional pattern appears strongly in the data, however, objections about the measure of mispricing lose some steam.C. Investment policyOf paramount importance are the real consequences of market inefficiency. It is one thing to say that investor irrationality has an impact on capital market prices, or even financing policy,。
行为经济学英语
行为经济学英语一、“行为经济学”的英语翻译及详细解释1. 英语翻译- “行为经济学”：behavioral economics。
2. 详细解释- “behavioral”是形容词，来源于名词“behavior”（行为），表示“与行为有关的”。
例如，“behavioral patterns”（行为模式）。
在“behavioral economics”中，它修饰“economics”（经济学），表明这一经济学分支是侧重于研究人类行为对经济决策、经济现象影响的学科。
“economics”是名词，指经济学这一学科领域，涉及到资源的生产、分配和消费等诸多方面的研究。
二、运用“behavioral economics”句子的情况及例子1. 学术研究领域- In the field of academic research, many scholars use behavioral economics to explain why consumers sometimes make irrational purchase decisions.（在学术研究领域，许多学者运用行为经济学来解释为什么消费者有时会做出非理性的购买决策。
）- Behavioral economics provides a new perspective for economists to study the impact of social norms on economic activities.（行为经济学为经济学家研究社会规范对经济活动的影响提供了新的视角。
）2. 企业营销策略制定- Companies often refer to behavioral economics when formulating marketing strategies. For example, they use the concept of'anchoring effect' in behavioral economics to set initial prices for their products.（企业在制定营销策略时经常参考行为经济学。
行为金融学行为资产定价模型
行为金融学行为资产定价模型引言行为金融学是一门研究人类行为与金融市场之间关系的学科。
该领域的研究者认为，人类在投资决策中往往存在着个体差异和非理性行为。
基于这些理论，学者们提出了行为资产定价模型，用于解释金融市场的价格形成和资产定价行为。
本文将对行为金融学行为资产定价模型进行详细阐述。
传统资产定价模型的缺陷传统的资产定价模型，如资本资产定价模型（CAPM）和套利定价理论（APT），在解释股票价格和资产回报方面存在一定的局限性。
这些模型假设投资者是理性的，能够准确地评估资产的风险和收益，并且投资决策是基于期望效用最大化原则进行的。
然而，实证研究表明，投资者的行为往往受到情绪和认知偏差的影响，存在非理性的决策行为。
行为金融学的基本原理行为金融学从认知心理学和其他社会科学领域借鉴了许多理论和方法，用于解释人们在金融市场中的行为。
行为金融学的基本原理包括以下几个方面：•人们的决策往往受到情绪和认知偏差的影响。
例如，人们可能受到过度自信、损失厌恶和羊群效应等因素的影响，而做出非理性的决策。
•人们的决策行为可能存在非标准偏好。
传统的资产定价模型假设投资者的决策是基于期望效用最大化原则的，但实际上，人们的决策行为可能受到风险厌恶、时间偏好和其他非标准偏好的影响。
•人们的决策行为会随着信息的不完全和不对称而发生变化。
投资者在做出投资决策时通常只能获得有限的信息，而且各种投资者之间的信息不对称也会导致市场的非理性行为。
行为资产定价模型的基本原理行为资产定价模型是一种尝试通过引入行为金融学的原理来改进传统资产定价模型的方法。
行为资产定价模型认为，投资者的非理性行为可能会引起市场的非理性定价行为，从而影响资产价格的形成。
行为资产定价模型的基本原理包括以下几个方面：•市场上可能存在投资者的非理性行为，如过度买进和过度卖出。
这种非理性行为可能导致资产价格的波动和不稳定。
•投资者的情绪和情感状态可能会影响其投资决策。
例如，当投资者情绪低落时，他们可能会过度害怕风险，从而导致资产价格的下跌。
行为金融学理论（Behavioralfinancetheory）
行为金融学理论（Behavioral finance theory）The modern financial theory classic that people's decisions are based on rational expectations (Rational Expectation), risk avoidance (Risk Aversion), the utility maximization and constantly update their knowledge and decision making assumptions, but a lot of psychological research shows that people's actual investment decision is not so. Secondly, the modern financial theory and the efficient market hypothesis is established on the basis of effective competition in the market, and a large number of studies show that non rational investors often can obtain higher returns than investors. Behavioral finance is based on this kind of market vision, and develops a new financial study using the psychological study of people's actual decision-making process.Behavioral finance studies the mispricing of investment in the investment market due to its own investment behavior, and the resulting behavioral anomaly is the place where Alfa (beyond the market rate of return) is generated. Experts on behavioral finance more, managers have more chances to find Alfa, but also the financial behavior so the seed and buried self destruction, Alfa in the market is less, the market will become more effective, and behavioral anomalies in the market less, then study the financial financial will have no need to there. Second, the more managers who want to beat the market, the harder they work, the more effective the market will become and the less likely it will be to beat the market.The emergence of 4.3.1. behavioral financeAs early as 1950s, people began to study behavioral economics,but earlier studies were rather scattered. It was not until 1970s that Kahneman (Daniel Kahneman) and Tversky (Amos Tversky) conducted extensive and systematic research on this field. Behavioral economics emphasizes that people's behavior is not only driven by interest, but also influenced by many psychological factors. The prospect theory combines psychological research and economic research effectively, reveals the decision-making mechanism under uncertainty, and opens up a completely new research field.4.3.2. is a leading representative of behavioral financeKahneman, the founder of Behavioral Finance (Daniel Kahneman) in 1934 was born in Israel in 1954, graduated from the Hebrew University, and in 1961 obtained a doctorate in psychology at the University of California, after the turn at the Hebrew University faculty. Another creator Tversky (Amos Tversky) was born on 1937 in Israel, has been at the University of Michigan studied philosophy and psychology at the Hebrew University, after graduation, here met his best partner Kahneman, which opened their lifelong friendship and excellence in academic research, and in 1979 jointly issued the basic theory of "behavioral finance prospect theory" (Prospect Theory). Later, he went to the University of California at Berkeley in the United States, and he went to Standford in the United states.Kahneman because of the prospect theory of behavioral finance contribution in 2002 received the Nobel Prize in economics, but it is a pity but Tversky in 6 years ago (1996 years) died, only 59 years old, can not wait for the arrival of honor.4.3.3. behavioral finance, major perspectivesBehavioral finance mainly puts forward two theories:A. BSV (Barberis, Shlefer, and, Vishny, 1998),B. DHS (Daniel, Hirsheifer, and, Subramanyam, 1998).First, the BSV theory holds that returns are stochastic, but the general investor erroneously believes that there are two paradigms for income change:Paradigm A: investors think that earnings change is mean reversion, and stock volatility is only a temporary phenomenon, and does not need to adjust its behavior according to changes in income. This behavior will cause investors to respond to the expected lack of earnings, and when the actual earnings do not match the expectations, they will be adjusted, so that changes in the stock price reaction to changes in earnings lags behind.Paradigm B: investors think that changes in earnings tend to be trend, and share prices have the same direction and continuous effects on earnings. Such investors tend to tend to expand the trend by mistake and overreact to changes in earnings.Second, DHS theory divides investors into two categories: one is the information one, the other is the non information. Without information, its investment behavior will not be affected by the judgment bias, and the information can be easily affected by the judgment bias.The DHS model divides the judgment bias of the information into two categories: one is overconfidence, and the other is biased self attribution (self-contribution). Overconfidence leads investors to exaggerate the accuracy of their stock valuation; biased self attribution leads investors to underestimate the impact of public information on stock value. That is to say, when the investor pursues this model, it will lead to the deviation between the personal information and the public information,This divergence leads to short-term continuity and long-term support for share prices.4.3.4. main behavioral finance modelUnder the framework of the two kinds of BSV and DHS, put forward the prospect theory of Behavioral Finance (Prospect Theory), behavioral portfolio theory (Behavioral Portfolio Theory) and the behavior asset pricing model (Behavioral BAPM Asset Pricing Model) on behavioral finance model.A. prospect theoryTheory (Prospect) combines psychological research and economic research effectively, reveals the decision-making mechanism under uncertainty, and opens up a whole new research field. In this sense, Kahneman's award may change the direction of future economics.In general, the prospect theory has the following three basicprinciple: (a) the majority of people in the face of the time are risk averse; (b) the majority of people in the face of loss when the risk preference; (c) are more sensitive to losses than get.Law of prospect theory: people are often cautious and unwilling to take risks when they are faced with them, while everyone is an adventurer in the face of losses. In the face of the time to avoid risks, and in the face of preference for the risk of loss, and the loss and the gain is relative to the reference point for the change, people use things in the evaluation point of view, can change people's attitude toward risk.The law of prospect theory two: People's sensitivity to loss and gain is different, and the pain of loss is far greater than that of happiness. In the 1992 study, Tversky and Kahneman found that people usually needed two times the loss of earnings to make up for the pain caused by the loss.B. behavioral portfolio theoryThe combination theory of BPT (Behavioral Portfolio Theory) behavior of assets, in 1985 by Shefrin and Statman put forward the theory that Pyramid investors have layered structure of the portfolio, each layer corresponds to the specific investment objectives and risk investors. Some of the money is invested at the bottom of the safest, and some funds are invested in more risky higher ups, with correlations between layers.Relatively speaking, the traditional portfolio theory to portfolio as a whole, and it is assumed that only the covariancebetween different securities account in building the portfolio, and are risk averse investors, and this behavior in real life is not entirely consistent.C. behavioral asset pricing modelBehavioral Model BAPM (Behavioral Asset Pricing asset pricing) investors are divided into information traders and noise traders. Information traders are rational investors who support the CAPM model of modern financial theory, avoid cognitive errors, and have variance preferences. Noise traders are apt to make conscious errors and have no strict variance preferences.When the information traders occupy the main body of the market, the market is efficient; when the noise traders occupy the market main body, the market is inefficient. In BAPM, the returns on securities are determined by the "Behavioral Beta", where the market portfolio is more representative. For example, noise traders tend to overestimate the price of growth stocks, and the proportion of growth stocks in the corresponding market is higher, because the behavioral portfolio is proportional to the market mix and the proportion of mature stocks should be raised.Statman further pointed out that the decision to supply and demand is people's utilitarian considerations (product costs, alternatives, prices, etc.) and value expression considerations (personal tastes, special preferences, etc.). CAPM includes only utilitarian considerations, while BAPM includes both. Due to the characteristics of BAPM value, andthe utilitarian characteristics, therefore, it is effective to accept a market from can't beat the market, on the other hand, from the meaning of rationalism of refuse market efficiency, the future development of finance has a profound revelation.In short, the behavioral finance through questioning on modern financial core hypothesis "theory of rational people", put forward the prospect theory, utility function of investors is concave function, and face the loss of utility function is a convex function. In financial transactions, investors psychological factors will make the actual decision-making process of optimal decision process is described from the classical finance theory, and system of rational deviation, and not because of the statistical average and eliminate.The investment strategies based on behavioral finance include average capital strategy, time diversification strategy, contrarian investment strategy and inertial investment strategy.4.3.5. behavioral finance explains the main behavioral anomalies in the marketA. overreactionPeople are too sensitive to asset prices, information conferences make people overreact, resulting in excessive or falling securities prices.B. disposition effectDue to the cognitive bias of investors,For the performance of the investment profit and loss of certainty ". The" loss aversion of the heart ", reflected in the behavior for selling profitable stocks to sell, easy to be a losing stock phenomenon, resulting in the relatively long time firmly.C. noise tradingShort - term investors and noise traders in the market have their own information. In his collection of information, by which investors more specific information, the more likely he is to profit, and such information may be associated with the basic value of information, also may be unrelated with the basic value of noise, which is called the information aggregation positive spillover effect. This effect may make the traders who obtain new information can not get the corresponding return, which is not conducive to the collection of information and the allocation of resources.D. herd effectInvestors are affected and imitated by other investors under the influence of uncertain information. That is, "all investors run in the same direction, and no one struggles with the overwhelming majority of people."."There are two main herding effects in the stock market:The first is the information based herd effectComplete information is a premise hypothesis of neo classical finance theory, but in fact, even in the modern society where information is highly disseminated, information is inadequate. In the case of insufficient information, investors do not make decisions entirely on the basis of their own information decisions, but on the basis of other people's investment behavior. The herding performance is "follow suit" or "the village" phenomenon.The second is the reputation based and reward based herd effectThis effect is most common in the fund manager, because employers do not understand the fund managers, fund managers do not understand their own investment capacity, in order to avoid investment mistakes and reputation risks and their remuneration, fund managers have motivation to mimic other fund managers' investment behavior. If many fund managers take the same action, the herd effect will emerge.。
IntroductiontoBehavioralEconomics复旦行为经济学
• 弗农·史密斯在亚利桑那大学十一个班级进 行了长达六年的实验，验证了竞争均衡理 论。据此实验所撰写的论文《竞争市场行 为的实验研究》在1962年的《政治经济学 杂志》发表，标志着实验经济学的诞生。
• Self-Control无限意志力: Has perfect will-power and the ability to make and follow intertemporal plans (even contingent ones), with no conflict between the preferences of current and future selves.
有限理性
• 人的有限性包括两个方面的含义，一是环 境是复杂的，在非个人交换形式中，人们 面临的是一个复杂的、不确定的世界，而 且交易越多，不确定性就越大，信息也就 越不完全；二是人对环境的计算能力和认 识能力是有限的，人不可能无所不知。
• 西蒙认为,人们在决定过程中寻找的并非是 “最优”的标准，而只是“满意”的标准。
• 弗农·史密斯的意义最重大的工作涉及市场 机制。他对竞争性市场所做的创新性实验
(1962)、对不同拍卖形式的检验(1965， 1976，1980)，以及对“诱导价值 法”(induced-value，1976)的设计，都为 这一领域的研究奠定了基础。
• 查尔斯·普洛特认为：“实验室建立的经济 与现实经济相比可能特别简单，但是却一 样地真实。真实的人被真实的金钱所驱动 ，因为真实的天赋和真实的局限，作出真 实的决策和真实的错误，并为其行为后果 而真实地悲喜”。
行为金融
3、假设你面对这样一个选择：在商品和服务价 格相同的情况下，你有两种选择： • A.其他同事一年挣6万元的情况下，你的年收 入7万元。 • B.其他同事年收入为9万元的情况下，你一年 有8万元进账。
分析： • 调查结果出人意料：大部分人选择了前者。 • 事实上，我们拼命赚钱的动力，多是来自人 与人之间的嫉妒和攀比。 • 我们对得与失的判断，是来自比较。 • （培根曾言：皇帝通常不会被人嫉妒，除非 对方也是皇帝。 ）
2、假设有这样一个赌博游戏，投一枚均匀的 硬币，正面为赢，反面为输。如果赢了可 以获得50000元，输了失去50000元。请问 你是否愿意赌一把？请做出你的选择。 • A.愿意 • B.不愿意
分析: • 从整体上来说，这个赌局输赢的可能性相同，就是 说这个游戏的结果期望值为零，是绝对公平的赌局。 • 大量类似实验的结果证明，多数人不愿意玩这个游 戏。为什么人们会做出这样的选择呢？ • 这个现象同样可以用损失规避效应解释，虽然出现 正反面的概率是相同的，但是人们对“失”比对 “得”敏感。想到可能会输掉50000元，这种不舒 服的程度超过了想到有同样可能赢来50000元的快 乐。
为学生的继续深造打好基础。
学科特点 系统性和逻辑性 前瞻性 开放性和动态性 理论与实证结合 理论与应用结合
教学内容
身边的行为金融学 行为金融学: 1、概论（1）； 2、标准金融学所面临的挑战与困惑（2-4）； 3、介绍行为金融学的思想及理论（5-7）； 4、运用思想与原理（8-9）； 5、实证研究（10-12）。
请大致估计有多少非洲国家是联合国成员。 这里要告诉你的是，肯定在100个以内。
请大致估算
• 1024+512+256+……+1＝？
行为经济学参考文献-行为经济学文献综述
行为经济学参考文献-行为经济学文献综述行为经济学的研究综述一、行为经济学的概念所谓行为经济学Behavioral Economics，顾名思义，就是指以人类行为作为基本研究对象的经济理论，它通过观察和实验等方法对个体和群体的经济行为特征进行规律性的研究。
二、行为经济学的兴起80年代以后，以理查德·泰勒RichardThaler为首的经济学家，从进化心理学获得启示。
认为大多数人既非完全理性，也不是凡事皆从自私自利的角度出发。
以此为理论基础，专门研究人类非理性行为的行为经济学便应运而生。
行为经济学形成于1994年，哈佛大学经济学家戴维·莱布森DavidLaibson，从心理学和行为角度探讨了人类的意志和金钱，把经济运作规律和心理分析有机组合，研究市场上人性行为的复杂性，认为人也有生性活泼的另一面，即人性中也有情感的、非理性的、观念引导的成分。
2001年美国经济学联合会将该学会的最高奖两年一度的“克拉克奖ClarkMedal”颁给了加利福尼亚大学伯克利分校的经济学家马修·拉宾Rabin Matthew, 1998，以表彰他为行为经济学的基础理论所做出的开创性贡献。
拉宾的研究主要是以实际调查为根据，对在不同环境中观察到的人的行为进行比较，然后加以概括并得出结论〔2002年诺贝尔经济学奖授予了美国普林斯顿大学的丹尼尔·坎内曼DanielKahneman，瑞典皇家科学院在宣布他的主要贡献时指出，丹尼尔·坎内曼是“因为将心理学研究结合到经济学中，特别是关于不确定条件下的人类判断和决策行为”。
这说明行为经济学作为经济学重要分支的地位得到确认和加强。
除此之外，阿莫斯·特维尔斯基Amos Tversky, 1992、爱德华Edwards,1954等则提出将行为决定作为心理学研究的主题，并确定了研究的程序。
西蒙Simon, 1997, 2001则提出了基于有限理性的信息处理和决策方法。
行为金融学复习资料Behavioral finance博迪投资学
行为金融学的理论架构
预测错误 信息处理偏差 认知心理学 框定偏差
过度自信
保守主义 忽视样本规模和代表性
套利限制
心理账户 决策偏差 后悔规避
前景理论
认知心理学和套利限制构成了行为金融的两大根基。 行为金融学发展到今日，累积了许多独特的分析范式，但是，仍旧没有形成一个系统的理论，不同的行为 金融学家发表的理论比较分散
市场是否有效
传统金融理论的基石——有效市场假说(EMH) - 1) 信息是无成本的 - 2) 所有交易者同时接受信息 - 3) 所有市场的参与者都是理性的，并且追求效用的最大化。 行为金融学认为： - 1) 在现实的金融市场上，交易者行为和市场的信息特征是完全不同的 - 2) 证券价格没有反映全部的相关信息 - 3) 投资者的信息是不完备的和不对称的 - 4) 内幕信息可以给内幕交易人带来收益 - 5) 信息对搜集者具有相当的价值，这种套利就是有成本和风险的 - 6) 因而市场是无效的
ZHOU RUOQIAN
忽视样本规模和代表性: 投资者基于小样本过快地推出一种模式，并推断出未来的趋势。
决策偏差
即使给定未来收益的概率分布，投资者做出的决策通常是前后矛盾或次优的。 - 结果: 行为偏差 框定偏差: 风险是如何描述的，是“面临有风险的可能损失”还是“面临有风险的可能收益”，可能会影 响到投资者的决策。 心理账户: 投资者会根据风险-报酬将账户或资金分成不同部分，他们不愿动用原有资本。 后悔规避: 投资者不依惯例进行决策并出现不利结果时会更后悔。 前景理论：效用取决于财富水平的变化量。
信息处理偏差
投资者通常不能正确处理信息。 - 结果：不能正确推断未来收益的概率分布。
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CMA: Behavioral Finance 预测错误: 过于依赖近期经验。 过度自信：投资者高估自己的信念和预测的准确性。 保守主义: 投资者对最近出现的事件反应太慢，对新发布的消息反应不足。
行为金融学综述
行为金融学综述摘要行为金融学(behavioralfinanceBF)作为新兴的金融学分支与占据金融学统治地位已经有三十年之久的有效市场假说(efficientmarkethypothesis,EMH)对金融学的基础——套利投资人理性以及自1980年代以来涌现出来的大量异常现象进行了达二十年之长的争论双方此消彼长加深了人们对金融市场的理解促进了金融学向更广更深的方向发展一、介绍在传统金融学的范式中“理性”意味着两个方面首先代理人的信仰是正确的他们用于预测未知变量未来实现的主观分布就是那些被抽取实现的分布其次给定他们的信仰在与Savage的主观期望效用（SEU）概念相一致的意义上代理人做出正常可接受的选择BF是一种研究金融市场崭新方法至少部分地以对传统范例面临的困难做出反应的面貌出现的广义上BF认为通过使用某些代理人不是完全理性的模型可以更好的理解某些金融现象在某些行为金融学模型中代理人的信仰不完全正确大都是因为不恰当的应用贝叶斯法则在另一些模型中代理人的信仰是正确的但做出的选择通常是有疑问的与SEU不相容BF最大的成功之一是一系列理论文章表明在理性交易者和非理性交易者相互影响的经济体中非理性对价格的影响是实质性的和长期的文献称之为“套利限制（limitsofarbitrage）”这构成了BF的两大块之一（见第二部分）为了做出清晰的预测行为模型常需要指定代理人的非理性形式人们究竟怎样误用贝叶斯法则或偏离SEU呢在此引导下行为经济学家们典型地求助于认知心理学家汇编的大量实验证据这些都是关于人们形成信仰时潜在的偏误和人们的偏好或给定信仰后怎样做出决策的因此心理学构成了BF的第二大块（见第三部分）我们考虑BF的特殊应用理解整个股市平均回报的横截面情况封闭式基金定价；理解投资者特殊群体怎样选择其资产组合和跨时交易；理解证券发行资本结构和公司的股利政策最后总结和指出未来的研究方向二、套利限制2．1市场有效性EMH认为实际价格等于基本价值在有效市场中没有免费午餐没有投资策略可以赚得风险调整的超额回报BF认为资产价格的某些特征最有可能用对基本价值的偏离来解释而且这些偏离是由非理性交易者的存在引起的对此种观点持长期反对意见可追溯到Friedman（1953）他认为理性交易者（也称为套利者）会很迅速消除非理性交易者（也称为噪声交易者）引起的偏离现象本质上这种观点基于两个主张首先只要偏离基本价值——较简单地说误价（mispricing）—一一个有吸引力的投资机会产生了其次理性交易者将立即抓住机会因此纠正了误价BF对第二个主张很少有异议但对第一个主张有争论即使当一种资产被广泛的误价时设计纠正这种误价的策略可能非常有风险（即下面将要提到的四种风险）使之失去了吸引力因此误价仍是存在2.2理论在前一节中我们强调了当误价发生时设计纠正它的策略不担有风险而且成本昂贵因此允许误价存在的思想现在我们就讨论一些已确认的风险和成本2.2.1基本面风险关于某只股票基本价值的一些坏消息引起股票进一步下跌导致损失而且替代性证券很少是完美的经常是高度不完美的使得消除所有基本面风险成为不可能2.2.2噪声交易者风险指被套利者利用的误价在短期内恶化的风险此思想由DeLonget.al（1990a）提出即使某只股票拥有完美的替代性证券套利者仍面临那些本来使这只股票低估的消极投资者更加消极促使估价进一步下跌的风险一旦想当然认为估价不同于其基本价值是可能的那么想当然认为未来价格运动将增加发散性也是可能的当然如果价格最终收敛于基本价值那么有长远视野的套利者会对噪声交易者风险臵之不理噪声交易者风险之所以重要是现实世界中许多套利者是短视的而非有长远视野的这是因为许多套利者——职业资产组合经理人——不是管理自有资金而是代客理财用ShleiferandVishny(1997)的话说这是“大脑与资本的分离”这种代理特征有重要的后果缺乏专业知识去评价套利者策略的投资者可能简单地基于套利者的回报来评价他如果套利者正试图利用的误价在短期内变遭导致损失投资者可能认为他不称职而撤资套利者远远不能等到短期损失过去此时恰是投资机会最吸引人之时他可能被迫过早地变现这种过早变现的恐惧使他行如短视者这些问题仅会使债权人烦恼在短期受损后债权人看到附属抵押品贬值会要求偿还贷款又引起过早变现2.2.3执行成本恰当地运用利用误价的策略经常是很困难的许多困难与卖空证券有关而这是套利者为了避免基本面风险所必须做的对大部分货币管理人——特别是养老基金管理人和共同基金管理人——卖空是不允许的一名允许卖空的货币管理人——例如对冲基金管理人——仍不能卖空如果卖空供给不能满足它的需求的话即使他能卖空套利者不能确保他能继续足够长的时间借到证券直到误价自我纠正使他获利假使证券的原先拥有者要收回套利者将不得不在可能不利时通过在公开市场上买入证券（称为“大宗买入”）以补进他的卖空头寸某些套利策略需要在外国市场上买卖证券这经常有法律限制阻止美国投资者这样做通过法律漏洞绕过这些限制是昂贵的最后“执行成本”也包括执行套利策略时面临的一般交易成本例如佣金和买卖差价2.2.4模型风险即使一旦误价发生套利者经常仍然不能确信这是否真的存在考虑这种情况的一种方法是设想在寻求吸引人的机会时套利者依赖于一个可以告诉他基本价值的模型来判断是否误价然而套利者不能确信证券被误价也可能是模型错了股票事实上正确定价了这种不确定性来源称之为模型风险它也会限制头寸与教科书中的套利相比现实世界中套利包括大量风险在某些条件下将限制套利和允许基本价值的偏离一直存在为了理解这些条件是什么考虑两种情况:首先假设误价的证券没有相近的替代性证券因此套利者将暴露于基本面风险之下在这种情况下套利受到限制的充分条件是（1）套利者是风险规避者；和（2）基本面风险是系统性的因此不能通过拥有许多头寸来分散条件（1）确保了误价不会被单个套利者拥有误价的证券大额头寸而消除条件（2）确保了误价不会被大量套利者每人都在误价的证券当前持有量上增加少量头寸所消除噪声交易者风险、模型风险或执行成本的存在仅是进一步限制了套利其次即使完美的替代性证券存在套利仍然受到限制替代型证券的存在使套利者不受基本面风险和模型风险的影响如果两种证券拥有未来状态下相同的现金流而卖不同的价格那么他完全相信发生了误价我们可以进一步假设不存在执行成本因此仅有噪声交易者风险DeLonget.al(1990a)表明了噪声交易者风险是强有力的即使仅有这种形式的风险套利有时也受到限制充分条件与上面的相似捕捉其他现实世界情形的努力使得完备套利更加不可能例如大量不同个人不能干涉纠正误价的努力可能有其他原因一个可能性是进行套利需要的资源和关系仅能被少数训练有素的职业人士所获得另外可能是获悉套利机会有成本(Merton,1987)因此实际上仅有一小撮人随时能意识到套利机会到目前为止我们已讨论了像对冲基金这样的套利者利用市场无效性是不易的然而对冲基金不是试图利用噪声交易者的唯一市场参与者企业经理人也玩这个游戏如果经理人认为投资人正高估了其企业股票他可以通过以吸引人的价格发行额外的企业股票而受益这样产生的额外供给可能潜在地将价格拉回到基本价值不幸的是就像对冲基金一样对经理人来说这种游戏也是有风险的在这种情况下模型风险可能特别重要经理人很少能确信投资人正高估了其企业股票如果他发行股票认为股票高估而此时事实上并非如此他将招致偏离其目标资本结构带来的成本而无任何回报受益2.3证据从理论的角度看有理由认为套利是一个有风险的过程因此限制了它的有效性原则上任何持续误价的例子立即证明套利限制如果套利不受限制误价会迅速消失但问题是当许多定价现象被理解为偏离基本价值时仅在少数例子中确定误价的存在没有任何合理的怀疑这是因为Fama(1970)所称之为“联合假说问题(jointhypothesisproblem)”为了证券价格不同于其恰当的贴现未来现金流需要一个“恰当的”贴现模型因此误价的任何检验不可能避免地是误价和贴现率模型的联合检验这使给无效性提供确定性的证据变得困难起来尽管有这种困难金融市场仍有大量的现象可以几乎确定地证明是误价并持久存在2.3.1孪生股权(twinshares)1907年皇家荷兰（在美国和纽芬兰交易）和壳牌运输（在英国交易）按6040的基率同意合并他们的股权但仍保留为分离的实体如果价格等于基本价值皇家荷兰的股权价值应总是壳牌股权价值的1.5倍FrootandDabora(1999)发现两者的股权价值之比严重偏离 1.5而且皇家荷兰按平价有时35%被低估有时15%被高估2.3.2ADR’sADR’s是以信托形式被美国金融机构持有的外国证券股份这些股份的收益在美国交易在许多情况下外国公司的ADR在纽约的交易价格与标的股份在母国的交易价格非常不同2.3.3编入指数（indexinclusions）SP500中的一个公司离开指数通常是因为被兼并或破产而换入另外一家公司HarrisandGurel(1986)和Shleifer(1986)发现一个显著的事实当一只股票被编入指数时它的价格平均暴涨3.5%而且这种暴涨是持久的这种现象的引人注目的实例之一是当Yahoo（雅虎）被编入指数时其股票单天暴涨24%2.3.4互联网出让(internetcarve-outs)2000年3月3Com在其全资子公司PalmInc.的首次公开发行(IPO)中卖掉了5%的股份保留了余下的95%所有权在IPO之后3Com的股东间接拥有1.5倍的Palm股票3Com也宣布在9个月之内剥离Palm其余股份的意向同时将给3Com股东1.5倍的Palm股份在IPO之后首次交易收盘时Palm的估价在$95,按1.5倍估价3Com的价格下限是$142事实上3Com 的实际价格是$81这暗含着3Com除Palm之外的子公司的市场估价为每股-%60基本面风险噪声交易者风险执行成本模型风险皇家荷兰/壳牌无有无无ADR’s无有有无编入指数有有无无Palm/3Com无无有无表1利用误价引起的套利风险三、心理学在这一节里我们总结了可能是金融经济学家特别感兴趣的心理学3.1信仰3.1.1过度自信人们对他们的判断过度自信一是人们估计概率时很少校准；二是人们设计估计量的臵信区间太窄3.1.2乐观主义和如意算盘(wishfulthinking)大多数人对他们的能力和前途抱不切实际的乐观看法3.1.3代表性(representativeness)当人们试图确定模型B产生数据集A的概率时他们用A反映B重要特征的程度来评估该概率在大多数情况下代表性是有益的启发但也产生某些严重偏误一是基率忽视（baserateneglect）过分高估B对A 的代表性二是样本大小忽视(samplesizeneglect)当推断特定模型产生数据集的似然性人们不考虑样本的大小3.1.4保守主义相对于代表性会导致低估基率保守主义是指过多重视基率的情形3.1.5确认偏误(confirmaionbias)一旦人们已形成一个假说有时误认为另外的不利证据实际上也支持该假说3.1.6定位(anchoring)人们形成估计时经常先始于某值（可能是任意的）然而相对于此值做出调整实验证据表明人们“定位”的初值太多3.1.7记忆偏误人们推断事件的概率时经常搜索记忆中相关信息有时经济学家们对这些实验证据的主要部分小心翼翼因为他们认为（1）通过重复人们将学会去除偏误的方法；（2）领域中的专家例如投行中的交易者很少犯错误；和（3）用更有效的激励这些效应会消失3.2偏好3.2.1展望理论(prospecttheoryPT)任何试图理解资产价格或交易行为的模型必不可少的部分之一是关于投资者偏好或投资者怎样评估风险性赌博的假设绝大数模型假设投资者根据期望效用(EU)框架评估赌博不幸地是当人们在风险性赌博间选择时系统地违背EU理论因此有大量地的非EU理论试图更好与实验证据相匹配其中之一展望理论(KahhemanandTversky,1979)可能是最有希望解释金融市场出现的基本事实PT有许多关键特征首先效用定义在损益(gainsandlosses)而非最终财富头基础上这是Markowitz(1952)首先提出的思想其次价值函数凹于收益凸于损失这表明对损益的灵敏性大于对收益的这一特征称为损失规避(lossaversion)最后是非线性概率转换对小概率加权太重(overweight)而且人们在较高概率水平上对概率差异较敏感展望理论解释人们在相同的最终财富水平情形下做出不同的选择源于该理论的重要特征——架构(framing)或问题描述效应在很多实际选择情况下决策者在怎样考虑问题上也有灵活性价值函数的非线性特征使心理会计(mentalaccounting)至关重要它使个人赌博与财富其他部分具有相分离倾向3.2.2模糊规避(ambiguityaversion)到目前为止我们的讨论集中在理解赌博结果已知时人们怎样按客观概率行动现实中概率客观上很少已知为了处理这种情况Savage(1964)发展了主观期望效用(SEU)框架Ellsberg(1961)的著名实验指出了人们厌恶主观或模糊不确定性甚于厌恶客观不确定性这已发现称为“模糊规避”三、应用（略）四、结论行为金融学是一个新兴领域正式始于1980年代我们讨论过的很多研究是过去五年里完成的我们处于什么状况呢在众多前沿问题已取得实质性进展5.1对于显著的异常事实的研究当DeBondtandThaler(1985)的论文发表时许多学者认为对他们发现的最好解释是这是一个程序错误自此以后他们的结论已被不但同情他们观点的而且持另外观点的学者们重复了很多次此时我们认为大部分经验事实已被大部分同行所接受尽管对这些事实的解释仍在争论中这是进步如果我们都认为行星围绕太阳运行我们可以集中理解为什么这样了5.2套利限制二十年前许多金融经济学家们认为有效市场假说必须正确因为套利的力量现在我们懂得这是一种天真的观点而且套利限制容许大量的误价现在也大都懂得缺乏有利可图的投资策略因为有风险和成本不仅仅是指缺乏误价价格可以是非常错误的而不产生获利机会5.3理解有限理性主要感谢认知心理学家如DanielKahneman和AmosTversky的工作现在我们有一长串稳健的实证发现将人类实际形成预期和决策的方式进行分类在记下这些过程的正式模型中展望理论最有名也取得了进展经济学家们从前认为行为或是理性的或是不可能形式化现在我们知道有限理性模型不但是可能的而且比纯理性模型更精确地描述了行为5.4行为金融学理论的构建在过去几年里金融市场中代理人不完全理性的理论建模工作有所突破这些论文或通过信仰形成过程或通过决策过程放松了完全理性假设像上面讨论过的心理学家工作这些论文是重要的存在性证明表明体现人类行为的显著方面同时紧凑地考虑资产定价是可能的5.5投资者行为现在我们已开始一项重要的工作试图提供证明和理解投资者不但业余的投资者而且职业投资者怎样做出他们的资产组合选择直到最近这项研究明显缺少全体金融经济家们的参与或许因为构建资产定价的错误信仰不需知道经济体中代理人的行为情况这是在短时期内取得的成就但是我们仍然更靠近研究议事日程的开始而非结束我们知道要冒足够的预测风险才能了解到该领域的未来进展大部分是不可预测的虽然这样我们还是忍不住冒险对下一步的可能进展提出少量意见首先我们已总结过的大部分工作范围很窄模型明显捕捉了投资者信仰或他们的偏好或套利限制的一些特征而不是捕捉了三者全部这一评论可以运用于经济学大部分研究而且自然暗含研究者也是有限理性的事实然而随着不断进步我们希望理论家们开始将它们更多体现并运用进他们的模型中一个例子或许可以理解这一点实证文献反复发现资产定价异常现象在小型和中型股票上比大型股票上表现更显著这好像可能是这一发现反映了套利限制交易较小股票的成本较高而且低流动性使许多潜在套利者失去兴趣这一观察是明显的但仍没有构建为正式的模型我们希望在套利限制与认知偏误之间的研究成为今后几年的一个重要研究领域其次对某些经验事实明显有竞争性的行为解释某些批评家认为这是该领域的一个弱点已总结的一长串认知偏差有时确实为行为建模者解释时提供了许多自由度我们承认有众多自由度但注意理性建模者从中也有许多选择权像Arrow(1986)具有说服力的讨论理性本身不产生许多预测预测来自于从属的假设比较另外的理论行为的或理性的真正仅有一种科学方法用经验检验简言之一是寻找理论取得新奇预测例如Lee,Shleifer,andThaler(1991)检验了他们模型预测小公司回报与封闭式基金贴现相关而Hong,LimandStein(2000)检验了HongandStein(1999)模型的含义赶大势(momentum)在交易不频繁交易者之间的股票表现较强.另一种检验是寻找代理人按模型要求的方式实际行动的证据Odean(1998)和GenesoveandMayer(2000)用实际市场行为研究出售效应(dispositioneffect)可归入这一类Bloomfieldet.al(2000)对Bareris,Shleifer,andVishny(1998)的行为理论给出了实证检验当然这样的检验从未是无懈可击的但我们应怀疑建立在无实证地事实证明行为之上的理论因为行为理论要求建立在行为的真实假设之上我们希望行为金融学研究者继续对他们的假设给出仔细的实证检验我们相同的希冀理性理论研究者我们对经济模型假设的直接检验的练习结果有两个预测首先我们发现我们目前理论大部分不但理性的而且行为的都错了其次我们产生更好的理论。
行为经济学对传统主流经济学的挑战
行为经济学对传统主流经济学的挑战
马涛
【期刊名称】《社会科学》
【年(卷),期】2004(000)007
【摘要】本文分析了行为经济学的研究特点是重视对人的非理性行为的研究,打破了主流经济学的界限及视域,行为经济学的创新之处就在于将行为分析理论与经济运行规律有机结合,从而将心理学研究视角与经济科学结合起来,以观察现在经济学模型中的错误或遗漏,并修正主流经济学关于人的理性、自利、完全信息、效用最大化及持续偏好等基本假设的不足.行为经济学的崛起,对传统主流经济学基本理论前提既提出了挑战,也进行了拓展.
【总页数】9页(P18-26)
【作者】马涛
【作者单位】复旦大学
【正文语种】中文
【中图分类】F069.9
【相关文献】
1.新经济挑战传统主流经济学 [J], 金晓斌
2.行为经济学兴起背景下应用型本科传统主流经济学教学融合初探 [J], 卢泽回
3.新经济对传统主流经济学的挑战 [J], 金晓斌
4.循环经济挑战传统主流经济学范式 [J], 张连国
5.行为经济学与传统主流经济学教学融合的探索 [J], 蔡昭映
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历史回顾
• 20 世纪50 年代,冯·纽曼和摩根斯坦(Von Neumann-Morgenstern) 在公理化假设的基 础上建立了不确定条件下对理性人(rational actor) 选择进行分析的框架,即期望效用函 数理论。阿罗和德布鲁(Arrow-Debreu) 后 来发展并完善了一般均衡理论,成为经济学 分析的基础,从而建立了现代经济学统一的 分析范式。这个范式也成为现代金融学分 析理性人决策的基础。
有效市场假说
• 投资者是完全理性的，能够完全估计出股票的价 值和价格。
• 即使投资者不是完全理性的，由于交易的随机性， 使得价格不会偏离其基本价值。
• 假设承认非理性交易者(噪音交易者)的行为趋同 使得价格偏离不能冲销，但存在理性的套利者， 他们的套利行为会使价格重新回复到真实价值。
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噪声交易者
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• 假定投资者根据金融资产的预期收益率和 标准差来选择投资组合，而他们所选取的 投资组合具有较高的收益率或较低的风险 。
• 假定多种金融资产之间的收益都是相关的 ，如果得知每种金融资产之间的相关系数 ，就有可能选择最低风险的投资组合。
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行为组合理论(Behavioral Portfolio Theory，BPT)
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• 但是,20 世纪80 年代对金融市场的大量实 证研究发现了许多现代金融学无法解释的 异象(anomalies) ,为了解释这些异象,一些 金融学家将认知心理学的研究成果应用于 对投资者的行为分析,至90 年代这个领域涌 现了大量高质量的理论和实证文献,形成最 具活力的行为金融学派。
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市场有效性
• 该理论主要解决投资者如何衡量不同的投资风险以及如何合理组合自 己的资金以取得最大收益问题。
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• 假设市场是有效的，投资者能够得知金融 市场上多种收益和风险变动及其原因。
• 假设投资者都是风险厌恶者，都愿意得到 较高的收益率，如果要他们承受较大的风 险则必须以得到较高的预期收益作为补偿 。风险是以收益率的变动性来衡量，用统 计上的标准差来代表。
• 行为组合理论是斯塔曼(Meir Statman)和谢 弗林(Hersh Shefrin)借鉴Markowitz的现代 资产组合理论于2000年首创性地提出的， 它针对均值－方差方法以及以其为基础的 投资决策行为分析理论的缺陷，从投资人 的最优投资决策实际上是不确定条件下的 心理选择的事实出发.
• 该理论打破了现代投资组合理论中存在的
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1952 年马克威茨(Markowitz) 发表了著名的 论文“portfolio selection”,建立了现代资 产组合理论,标志着现代金融学的诞生。
20 世纪60 年代夏普和林特纳(Sharp， Lintner) 建立并扩展了资本资产定价模型 (CAPM)。
20 世纪70 年代法马(Fama) 对有效市场假说
• Banz(1981)发现小公司股票的收益率在 排除风险因素后依然要高于大公司股票的 收益率。Reinganum(1981)也发现公司规 模最小的普通股票组的收益率要比规模最 大组的收益率高19.8%。Siegl（1998）研 究发现，平均而言小公司股票比大公司股 票的年收益率高出4.7%。
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理论基础
• 1。 前景理论。
• Kahneman和Tversky(1979)大多数投资者并非是标准金融 投资者而是行为投资者，他们的行为不总是理性的，也并 不总是风险回避的。期望理论认为投资者对收益的效用函 数是凹函数，而对损失的效用函数是凸函数，表现为投资 者在投资帐面值损失时更加厌恶风险，而在投资帐面值盈 利时，随着收益的增加，其满足程度速度减缓。
• 噪声: 指虚假的或者失真的信号，是一种与 投资价值无关的信息。它可能是市场参与 者主动制造的信息，也可以是参与者判断 失误的信息。
• 噪声交易者就是不拥有内部信息却非理性 地把噪音当成有效信息进行交易的人。
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• 这种观点基于两个主张：首先，只要偏离 基本价值——较简单地说，误价 （mispricing）—一一个有吸引力的投资机 会产生了。其次，理性交易者将立即抓住 机会，因此纠正了误价。
• 利用前景理论解释了不少金融市场中的异常现象：如股价 溢价之迷(equity premium puzzle)
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2. 行为组合理论(Behavioral Portfolio Theory，BPT)和行为资产定价模型 (Behavioral Asset Pricing Model， BAPM)。一些行为金融理论研究者认为将 行为金融理论与现代金融理论完全对立起 来并不恰当。将二者结合起来，对现代金 融理论进行完善，正成为这些研究者的研 究方向。
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噪声交易者风险
指被套利者利用的误价在短期内恶化的风险。此思想由 De Long et.al（1990a）提出。即使某只股票拥有完美的 替代性证券，套利者仍面临那些本来使这只股票低估的消 极投资者更加消极促使估价进一步下跌的风险。
许多套利者是短视的而非有长远视野的。这是因为许多套 利者——职业资产组合经理人——不是管理自有资金，而 是代客理财。用Shleifer and Vishny(1997)的话说，这是 “大脑与资本的分离”。这种代理特征有重要的后果
行为金融学
• 行为金融学是金融学、心理学、行为学、 社会学等学科相交叉的边缘学科，力图揭 示金融市场的非理性行为和决策规律。行 为金融理论认为，证券的市场价格并不只 由证券内在价值所决定，还在很大程度上 受到投资者主体行为的影响,即投资者心理 与行为对证券市场的价格决定及其变动具 有重大影响。
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• ①投资者是有限理性的，投资者是会犯错 误的。
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• 我国的股票投资者大多符合噪音交易者的 特征:
• 1。不具备专业知识，很大程度上受某种” 消息”的影响，
• 2。羊群效应明显，导致市场反应过度
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行为金融学观点
• BF认为资产价格的某些特征最有可能用对 基本价值的偏离来解释，而且这些偏离是 由非理性交易者的存在引起的。
• BF认为即使当一种资产被广泛的误价时， 设计纠正这种误价的策略可能非常有风险 （即下面将要提到的四种风险），使之失 去了吸引力。因此，误价仍是存在。
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• 执行成本 恰当地运用利用误价的策略经常是很
困难的。许多困难与卖空证券有关，而这 是套利者为了避免基本面风险所必须做的。 对大部分货币管理人——特别是养老基金 管理人和共同基金管理人——卖空是不允 许的。
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• 模型风险 即使一旦误价发生，套利者经常仍然
不能确信这是否真的存在。考虑这种情况 的一种方法是设想在寻求吸引人的机会时， 套利者依赖于一个可以告诉他基本价值的 模型来判断是否误价。然而，套利者不能 确信证券被误价：也可能是模型错了，股 票事实上正确定价了。这种不确定性来源 称之为模型风险，它也会限制头寸。
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四种风险
• 基本面风险 关于某只股票基本价值的一些坏消息，
引起股票进一步下跌导致损失。而且替代 性证券很少是完美的，经常是高度不完美 的，使得消除所有基本面风险成为不可 能。
• 比如: 福特汽车的基本价值 $20， 现跌到 $15，理性投资者会买进福特股票，同时为 规避风险，卖空替代股票通用汽车。
• 2、季节效应。季节效应是指在某些特定时 间内进行股票交易可以获得超额收益。比如
French(1980)和Hess(1981)的研究显示，股票在星期一的收益明显为 负值，星期五的收益率明显高于一周内的其它交易日。一年中一月的 股票收益高。
• Cross(1973)和French(1980)研究了S&P500指数收益发现周五取得较 高的平均收益而周一较低。
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实证
• 孪生股权(twin shares)
1907年皇家荷兰（在美国和纽芬兰交
易）和壳牌运输（在英国交易）按60：40
的基率同意合并他们的股权，但仍保留为
分离的实体。如果价格等于基本t and Dabora(1999)发现两者
的股权价值之比严重偏离1.5，而且，皇家
• 范钛和张明善(2002)以随机游走模型为基础，利用近10年的数据对中 国证券市场是否存在周末效应进行实证检验，其结论是中国证券市场 存在周末效应，并且沪市的周末效应更加明显，
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• 股权溢价之谜。股票市场投资与债券市场投资历 史平均水平回报率存在巨大的差额。
• 红利之谜。在1974年纽约城市电力公司（CEC） 准备取消红利支付，该公司的股东大会上，许多 中小股东为此闹事。这一事件是主流金融学所无 法解释的。根据套利定价理论，一美元的红利与 一美元的资本利得并没有什么差异；而在美国的 税收体制下，股利要比资本利支付更高的所得税， 减少股利支付会对股东的境况更好。按照主流金 融学的框架，CEC的股东只会对能源危机对公司 股价的影响敏感，而绝不会对公司暂停红利的支 付如此激动。
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现代资产组合理论（Modern Portfolio Theory 简称MPT）- 马科维茨
• 该理论认为，有些风险与其他证券无关，分散投资对象可以减少个别 风险（unique risk or unsystematic risk），由此个别公司的信息就显 得不太重要。个别风险属于市场风险，而市场风险一般有两种：个别 风险和系统风险（systematic risk），前者是指围绕着个别公司的风 险，是对单个公司投资回报的不确定性；后者指整个经济所生的风险 无法由分散投资来减轻。