文献综述部分(7篇)

文献综述一：
Calvet,L., Campbell,J., Sodini,P., 2009a. Fight or flight? Portfolio rebalancing by individual investors.Quarterly Journal of Economics 124, 301–348.
《逃跑还是战斗？个人投资者的投资组合再调整》
This paper investigates the dynamics of individual portfolios in a unique data set containing the disaggregated wealth of all households in Sweden. Wealthy, educated investors with better diversified portfolios tend to rebalance more actively.Households are more likely to fully sell directly held stocks if those stocks have performed well, and more likely to exit direct stockholding if their stock portfolios have performed well; but these relationships are much weaker for mutual funds, a pattern that is consistent with previous research on the disposition effect among direct stockholders and performance sensitivity among mutual fund investors. Finally, the tendency for households to fully sell winning stocks is weaker for wealthy investors with diversified portfolios of individual stocks.
论文数据来源于财富分散化的瑞典家庭，研究了个人投资者投资组合的动态情况。

发现富有的、受过良好教育且投资多样化的投资者更倾向于积极地再调整投资组合。

（一般情况）投资者倾向于卖出表现好的股票，此现象在共同基金领域不太明显，这也与先前关于股票持有者处置效应和共同基金投资者敏感性的研究相一致。

对富有且投资组合多样化的投资者来说，处置效应不甚明显。

Calvet,L., Campbell,J., Sodini,P., 2009b. Measuring the financial sophistication of households.American Economic Review 99, 393–398.
《衡量家庭的金融复杂性》
In this paper, we jointly analyze several investment mistakes in a comprehensive, high-quality panel of household finances. We use the Swedish panel to simultaneously investigate three types of investment mistakes: underdiversification, inertia in risk taking, and the disposition effect in direct stockholdings. Consistent with earlier research, financial wealth, family size and education are found to have a negative impact on the level of all three mistakes. These findings motivate the construction of an index of financial sophistication, which is obtained by regressing the negative of the mistake vector on a single combination of household characteristics.
分析了家庭金融三种类型的投资误区：多样化程度低、风险承担方面的惯性、直接股票持有方面的处置效应。

与早期的研究相一致，金融财富、家庭规模和教育程度对上述三种投资误区有反向影响。

这些研究发现也促进了金融复杂性指数的构建。

Odean,T.,1999. Do investors trade too much? American Economic Review 89,1279–1298.
《投资者交易过多吗》
This paper takes a first step towards demonstrating that overall trading volume in equity markets is excessive, by showing that it is excessive for a particular group of investors: those with discount brokerage accounts. One possible cause of excessive trading is ovreconfidence. Overconfident investors will trade too frequently, that is, the gains overconfident investors realize through trade will be less than they anticipate and may not even offset trading costs. On average, the securities they purchase actually underperform those they sell.
这篇论文研究表明股市总成交量是过度的，尤其是对于那些使用折扣经纪账户的投资者（散户投资者）。

过度自信会导致这种现象。

过度自信的交易者会频繁交易，他们的收益甚至不能抵消交易成本。

平均来说，他们购买的证券的业绩表现要差于他们卖出的证券。

Barber,B., Lee,Y., Liu,Y., Odean,T., 2009. Just how much do individual investors lose by trading?Review of Financial Studies 22,609–632.
《个人投资者在交易中损失了多少？》
Individual investor trading results in systematic and economically large losses. Using a complete trading history of all investors in Taiwan, we document that the aggregate portfolio of individuals suffers an annual performance penalty of 3.8 percentage points. Individual investor losses are equivalent to 2.2% of Taiwan's gross domestic product or 2.8% of the total personal income. Virtually all individual trading losses can be traced to their aggressive orders. In contrast, institutions enjoy an annual performance boost of 1.5 percentage points, and both the aggressive and passive trades of institutions are profitable.
个人投资者在交易结果方面显示出较大的经济损失。

运用台湾交易者的历史数据，发现个人投资者的总体投资组合遭受到每年3.8%的绩效损失，约等同于台湾经济总产出的2.2%或个人收入总量的2.8%。

几乎所有的个人投资者交易损失都可以归结于积极的订单。

对比来看，机构投资者每年有1.5%的绩效增长，
积极的和被动的交易都是获益的。

Grinblatt, M., Keloharju,M., 2000. The investment behavior and performance of various investor-types: a study of Finland’s unique data set. Journal of Financial Economics 55,43–67.
《不同类型投资者的投资行为和表现：基于芬兰独特数据组的研究》
Using data from Finland, this study analyzes the extent to which past returns determine the propensity to buy and sell. It also analyzes whether these differences in past-return-based behavior and differences in investor sophistication drive the performance of various investor types. We find that foreign investors tend to be momentum investors, buying past winning stocks and selling past losers. Domestic investors, particularly households, tend to be contrarians. The distinctions in behavior are consistent across a variety of past-return intervals. The portfolios of foreign investors seem to outperform the portfolios of households, even after controlling for behavior differences.
论文分析了过去的交易回报对投资者买卖倾向的影响程度，也分析了基于过去收益行为的区别和投资复杂性的区别是否影响不同类型投资者的交易表现。

发现国外投资者倾向于趋势投资者，购买过去表现好的股票、卖掉过去表现差的。

而国内投资者，尤其是家庭住户，则情况相反。

即便剔除了行为差异，国外投资者投资组合的表现也要优于国内家庭住户投资者。

文献综述二：
Grossman, S.,1978. Further results on the informational efficiency of competitive stock markets. Journal of Economic Theory,101–121.
《关于竞争型股票市场信息有效性的进一步研究》
If traders have diverse information about the returns on risky assets, then the competitive equilibrium asset prices will, to some extent, aggregate their information. Grossman [7,8] gives an example of an economy with one risky and one risk free asset, where consumers have constant absolute risk aversion utility functions. The purpose of this paper is to extend and elaborate the above results to an economy with many risky assets where no special assumption is made about trader utility functions. This leads to a strong implication about the form of the “Capital Asset Pricing Model” in “informati onally eficient markets.”
如果交易者有关于风险资产回报的多样化信息，那么竞争性的均衡资产价格也会增加他们的信息。

Grossman 以一个只含一种风险资产和一种无风险资产
的经济体来进行说明。

这篇论文的目的在于在一个含有多重风险资产的经济体中扩展和进一步阐述上述结果。

这也促进了信息有效市场中资产定价模型的形成。

文献综述三：
Coval, J., Hirshleifer,D., Shumway,T., 2003. Can Individual Investors Beat the Market?Unpublished Working Paper. Harvard Business School, University of California at Irvine, and University of Michigan.
《个人投资者能战胜市场吗？》
We document strong persistence in the performance of trades of individual investors. The correlation of the risk-adjusted performance of an individual across sample periods is about 10 percent. Investors classified in the top performance decile in the first half of our sample subsequently outperform those in the bottom decile by about 8 percent per year. Strategies long in firms purchased by previously successful investors and short in firms purchased by previously unsuccessful investors earn abnormal returns of 5 basis points per day. These returns are not confined to small stocks nor to stocks in which the investors are likely to have inside information.Our results suggest that skillful individual investors exploit market inefficiencies to earn abnormal profits, above and beyond any profits available from well-known strategies based upon size, value, or momentum.
论文研究了个人投资者交易表现的强烈持续性。

样本期间个人投资者风险调整表现的关联度是10%。

在样本中表现最好的投资者每年要优于表现最差的投资者8%。

买入成功投资者先前购买的股票并卖出失败投资者先前购买的股票，这一策略能带来每天5个基点的非正常利润。

上述结果不适用于小公司股票或投资者掌握了内幕信息的股票。

研究表明有技巧的个人投资者利用市场的效率低下来获取非正常利润，这一利润要高于以规模、价值、动量为基础的广为人知的交易策略所能带来的利润量。