金融学专业外文翻译---行为金融学

中文3092字
本科毕业论文外文
外文题目：Behavioral Finance
出处Pacific-Basin Finance Journal V ol.11，No.4，
(September 2003)pp.429-437
作者：Jay R.Ritter
原文： Behavioral Finance
This article provides a brief introduction to behavioral finance. Behavioral finance encompasses research that drops the traditional assumptions of expected utility maximization with rational investors in efficient markets. The two building blocks of behavioral finance are cognitive psychology (how people think) and the limits to arbitrage (when markets will be inefficient).The growth of behavioral finance research has been fueled by the inability of the traditional framework to explain many empirical patterns, including stock market bubbles in Japan, Taiwan, and the U.S.
1. Introduction
Behavioral finance is the paradigm where financial markets are studied using models that are less narrow than those based on Von Neumann-Morgenstern expected utility theory and arbitrage assumptions. Specifically, behavioral finance has two building blocks: cognitive psychology and the limits to arbitrage. Cognitive refers to how people think. There is a huge psychology literature documenting that people make systematic errors in the way that they think: they are overconfident, they put too much weight on recent experience, etc. Their preferences may also create distortions. Behavioral finance uses this body of knowledge, rather than taking the arrogant approach that it should be ignored. Limits to arbitrage refers to predicting in what circumstances arbitrage forces will be effective, and when they won't be.
Behavioral finance uses models in which some agents are not fully rational, either because of preferences or because of mistaken beliefs. An example of an assumption about preferences is that people are loss averse - a $2 gain might make people feel better by as much as a $1 loss makes them feel worse. Mistaken beliefs arise because people are bad Bayesians. Modern finance has as a building block the Efficient Markets Hypothesis (EMH). The EMH argues that competition between investors seeking abnormal profits drives prices to their “correct” value. The EMH does not assume that all investors are rational, but it does assume that markets are rational. The EMH does not assume that markets can foresee the future, but it does
assume that markets make unbiased forecasts of the future. In contrast, behavioral finance assumes that, in some circumstances, financial markets are informationally inefficient.
Not all misvaluations are caused by psychological biases, however. Some are just due to temporary supply and demand imbalances. For example, the tyranny of indexing can lead to demand shifts that are unrelated to the future cash flows of the firm. When Yahoo was added to the S&P 500 in December 1999, index fund managers had to buy the stock even though it had a limited public float. This extra demand drove up the price by over 50% in a week and over 100% in a month. Eighteen months later, the stock price was down by over 90% from where it was shortly after being added to the S&P.
If it is easy to take positions (shorting overvalued stocks or buying undervalued stocks) and these misvaluations are certain to be corrected over a short period, then “arbitrageurs” will take positions and eliminate these mispricings before they become large. But if it is difficult to take these positions, due to short sales constraints, for instance, or if there is no guarantee that the mispricing will be corrected within a reasonable timeframe, then arbitrage will fail to correct the
mispricing.1 Indeed, arbitrageurs may even choose to avoid the markets where the mispricing is most severe, because the risks are too great. This is especially true when one is dealing with a large market, such as the Japanese stock market in the late 1980s or the U.S. market for technology stocks in the late 1990s. Arbitrageurs that attempted to short Japanese stocks in mid- 1987 and hedge by going long in U.S. stocks were right in the long run, but they lost huge amounts of money in October 1987 when the U.S. market crashed by more than the Japanese market (because of Japanese government intervention). If the arbitrageurs have limited funds, they would be forced to cover their positions just when the relative misvaluations were greatest,
resulting in additional buying pressure for Japanese stocks just when they were most overvalued!
2. Cognitive Biases
Cognitive psychologists have documented many patterns regarding how people behave.
Some of these patterns are as follows:
Heuristics
Heuristics, or rules of thumb, make decision-making easier. But they can sometimes lead to biases, especially when things change. These can lead to suboptimal investment decisions.When faced with N choices for how to invest retirement money, many people allocate using the 1/N rule. If there are three funds, one-third goes into each. If two are stock funds, two-thirds goes into equities. If one of the three is a stock fund, one-third goes into equities. Recently,Benartzi and Thaler (2001) have documented that many people follow the 1/N rule.
Overconfidence
People are overconfident about their abilities. Entrepreneurs are especially likely to be overconfident. Overconfidence manifests itself in a number of ways. One example is too little diversification, because of a tendency to invest too much in what one is familiar with. Thus, people invest in local companies, even though this is bad from a diversification viewpoint because their real estate (the house they own) is tied to the company’s fortunes. Think of auto industry employees in Detroit, construction industry employees in Hong Kong or Tokyo, or computer hardware engineers in Silicon Valley. People invest way too much in the stock of the company that they work for.
Men tend to be more overconfident than women. This manifests itself in many ways,including trading behavior. Barber and Odean (2001) recently analyzed the trading activities of people with discount brokerage accounts. They found that the more people traded, the worse they did, on average. And men traded more, and did worse than, women investors.
Mental Accounting
People sometimes separate decisions that should, in principle, be combined. For example, many people have a household budget for food, and a household budget for entertaining. At home, where the food budget is present, they will not eat lobster or shrimp because they are much more expensive than a fish casserole. But in a restaurant, they will order lobster and shrimp even though the cost is much higher than a simple fish dinner. If they instead ate lobster and shrimp at home, and the simple fish in a restaurant, they could save money. But because they are thinking separately about restaurant meals and food at home, they choose to limit their food at home.
Framing
Framing is the notion that how a concept is presented to individuals matters. For example, restaurants may advertise “early-bird” specials or “after-theatre” discounts, but they never use peak-period “surcharges.” They get more business if people feel they are getting a discount at off-peak times rather than paying a surcharge at peak periods, even if the prices are identical. Cognitive psychologists have documented that doctors make different recommendations if they see evidence that is presented as “survival probabilities” rather than “mortality rates,” even though survival probabilities plus mortality rates add up to 100%.
Representativeness
People underweight long-term averages. People tend to put too much weight on recent experience. This is sometimes known as the “law of small numbers.” As an example, when equity returns have been high for many years (such as 1982-2000 in the U.S. and western Europe), many people begin to believe that high e quity returns are “normal.”
Conservatism
When things change, people tend to be slow to pick up on the changes. In other words,they anchor on the ways things have normally been. The conservatism bias is at war with the representativeness bias. When things change,
people might underreact because of the conservatism bias. But if there is a long enough pattern, then they will adjust to it and possibly overreact, underweighting the long-term average.
Disposition effect
The disposition effect refers to the pattern that people avoid realizing paper losses and seek to realize paper gains. For example, if someone buys a stock at $30 that then drops to $22 before rising to $28, most people do not want to sell until the stock gets to above $30. The disposition effect manifests itself in lots of small gains being realized, and few small losses. In fact, people act as if they are trying to maximize their taxes! The disposition effect shows up in aggregate stock trading volume. During a bull market, trading volume tends to grow. If the market then turns south, trading volume tends to fall. As an example, trading volume in the Japanese stock market fell by over 80% from the late 1980s to the mid 1990s. The fact that
volume tends to fall in bear markets results in the commission business of brokerage firms having a high level of systematic risk.
One of the major criticisms of behavioral finance is that by choosing which bias to emphasize, one can predict either underreaction or overreaction. This criticism of behavioral finance might be called "model dredging." In other words, one can find a story to fit the facts to ex post explain some puzzling phenomenon. But how does one make ex ante predictions about which biases will dominate? There are two excellent articles that address this issue: Barberis and Thaler (2002), and Hirshliefer (2001). Hirshliefer (p. 1547) in particular addresses the issue of when we would expect one behavioral bias to dominate others. He emphasizes that there is a
tendency for people to excessively rely on the strength of information signals and under-rely on the weight of information signals. This is sometimes described as the salience effect.
3. The limits to arbitrage
Misvaluations of financial assets are common, but it is not easy to reliably make abnormal profits off of these misvaluations. Why? Misvaluations are of two types: those that are recurrent or arbitrageable, and those that are nonrepeating and long-term in nature. For the recurrent misvaluations, trading strategies can reliably make money. Because of this, hedge funds and others zero in on these, and keep them from ever getting too big. Thus, the market is pretty efficient for these assets, at least on a relative basis. For the long-term, nonrepeating misvaluations, it is impossible in real time to identify the peaks and troughs until they have passed. Getting in too early risks losses that wipe out capital. Even worse, if limited partners or other investors are supplying funds, withdrawals of capital after a losing streak may actually result in buying or selling pressure that exacerbates the inefficiency.
本科毕业论文外文翻译
外文题目：Behavioral Finance
出处Pacific-Basin Finance Journal V ol.11，No.4,
(September 2003)pp.429-437
作者：Jay R.Ritter
译文：行为金融学
本文简要介绍了行为金融学。

行为金融学的研究摒弃了有效市场上预期效用最大化和理性投资者的传统假设。

行为金融学的两个基石是认知心理学（人们怎么想）和套利限制（当市场将无效）。

传统金融学分析框架在解释包括日本、台湾以及美国市场泡沫金融行为方面的无能推动了行为金融学的突飞猛进。

1．介绍
行为金融学就是金融市场较少或几乎不运用比冯诺依曼-摩根斯坦期望效用理论和套利假设的模型来进行研究的范例。

具体来说，行为金融学有两个组成部分：认知心理学和套利的限制。

认知是指人们的想法。

有一个巨大的心理学文献记载人们以自我的想法做出了系统误差：他们是过于自信，他们把最近的经验看得太重，等等。

他们的喜好也可能造成扭曲。

行为金融学使用这种知识体系，而不是采取应该被忽略的傲慢做法。

套利限制是指判定在什么情况下套利效力将会是有效的，以及在判定在什么情况下将会是无效的。

行为金融学的运用模型作用还不完全合理，是因为喜好或者是因为错误的信仰模式。

关于喜好的一个假设例子，人们厌恶损失-2美元的收益可能让人感觉更好和获得多达1美元的损失使他们感觉更糟糕。

误区的产生是因为人恩都是不好的贝叶斯。

现代金融业作为构建块的有效市场假说。

有效市场假说表明一种投资者寻找异常的利润驱使价格达到他们“正确的“价值的竞争。

有效市场假说并不假设所有投资者都是理性的，但是它认为，市场是理性的。

有效市场假说认为，市场不能够预见未来，但确实认为，市场可以对
未来作出无偏预测。

与此相反，行为金融学假设，在某些情况下，金融市场的信息效率低下。

并不是所有的错误评价是由心理偏见引起的,但有些人就是由于暂时的
供求失衡。

例如,暴政指数会导致那些无关公司未来现金流量的需求变化。

当雅虎在1999年12月被加入到标准普尔500指数，指数基金经理即使只有有限的公众持股量也不得不买股票。

这种额外的需求在一周内推高了50%，并在一个月内超过100%的价格。

18个月之后，那些在不久之后被添加到标准普尔的份额股票价格下降超过90%以上。

如果抢占位置是简单的(卖空估值过高的股票或购买低估股票)而且这些错误的评价一定要在短期内得到解决，那么“套利“将抢占立场并且消除这些错误定价在它们变大之前。

有自己的观点立场和消除这些错误定价才会大。

但是如果很难抢占这些位置,由于条件的限制卖空,例如,或者如果没有保证那些错误定价将会在合理的时间内被纠正,那么套利将无法修正错误定价。

事实上, 由于风险太大了，套利者可能会选择避免错误定价最严重的市场。

尤其是当涉及巨大市场的时候,如在80年代末或90年代末在美国科技股市场的日本股市。

套汇人曾经试图短期套利日本股市在1987年年中和对冲美国股市长期从长远来看是正确的，但是他们失去了在1987年10月当美国市场比日本市场崩溃时的巨资(因为日本政府干预)。

如果套汇人只有有限的资金, 当相对错误定价最大他们将被迫覆盖他们的位置,当他们被过高的估计时，将导致额外购买日本股票的压力。

2．认知偏差
认知心理学家已经证明许多关于人们如何行为的模式。

其中的一些模式如下: 启发式
启发式的,或经验法则,使决策更加容易。

但是他们有时会导致偏见,特别是当情况发生变化。

这些会导致次优投资决定。

当面临如何投资的退休金的N种选择时,许多人分配使用1 / N规则。

如果有三个基金,三分之一的人进入彼此。

如果两个是股票基金,三分之二流入股票。

如果有三个一个是股票基金、三分之一进入股票。

最近,Benart和Thaler(2001)记载，都有许多人遵循1 / N规则。

过度自信
过于自信的人对自己的能力充满信心。

企业家是特别容易过于自信的。

过度自信表现在许多方面。

其中一个例子就是太少多样化，由于投资于自己所熟悉的倾向太严重。

因此, 人们投资本土企业,即使这从多元化的角度来看是不好的，因为他们的房地产(他们自己的房子)是连接到公司的命运。

认为汽车工业员工在底特律，建筑行业员工在香港或东京，或者计算机硬件的工程师在硅谷。

人们投资的方式太过于在在他们工作的公司。

男人往往比女性更自信。

这表现在许多方面，包括交易行为本身。

Barber 和Odean (2001)最近分析了人们与折扣经纪账户交易活动。

他们发现平均来看，越多的人交易，他们越糟糕的表现。

而男人更多的交易，并没有逊于女性投资者。

心理账户
人们有时认为，在原则上，独立的决定应该被结合。

例如,许多人对食物有有一个家庭预算并且会做一个使家人愉快的预算编排。

在家里，那里的食物预算是存在的,他们不吃龙虾或虾因为它们比一砂锅鱼更昂贵。

但是在一间餐厅,他们会点龙虾和虾虽然成本远高于一顿简单的鱼餐。

如果他们用在家吃着龙虾和虾，在餐厅吃简单的各种各样的鱼来代替，那么他们可以攒钱。

但因为他们都在分别考虑餐厅食物和在家的食物，他们选择限制他们在家里的食物。

框架
框架的概念是如何对个人的事情的概念。

例如餐厅可以进行宣传“早鸟”或“后剧场”折扣，但他们从来没有使用高峰期的“附加费”。

如果人们觉得他们获得在非高峰时段的折扣，而不是在繁忙时段支付附加费，即使价格是相同的，他们会得到更多的业务。

认知心理学家们已经证明，医生做出不同的建议，如果他们看到证据表明所提出的是“残余概率”,而不是“死亡率”，即使残余概率加上死亡率达到100%呈现。

代表性
人们减持长期平均水平。

人们倾向于把最近的经验看得太重。

它有时被称为“小数目的法律。

”作为一个例子,当股市回报率已经多年高(如1982-2000在美国和西方欧洲),许多人开始相信,高股市回报是“正常。

”
保守主义
当情况发生变化,人们往往是缓慢跟上变化的步伐。

换句话说,它们主导方式通常都有。

偏见是保守的战争代表性的偏见。

当事情的变化，人们可能会未作出应有的反应，因为保守主义倾向。

但是如果有足够长的模式,然后他们会调整，可能反应过度，减持长期平均比重。

处置效应
处置效应是指人们避免的实现账面亏损，并寻求实现纸上收益的模式。

举例来说,如果有人买一个股票30美元,然后下降至22美元上升到28美元之前,大多数人并不打算卖掉股票，知道到达30美元以上。

这中处置效应表现在许多小收益被实现,而造成很小很小的损失。

事实上,人们的所作所为,好像他们扮演着正试着将他们的税收最大化的角色！处置效应的效果体现在总股票的交易量。

在牛市中,成交量趋于增长。

如果市场然后转向南，成交量倾向于下降。

作为一个例子, 从20世纪80年代末到90年代中期，日本股市交易数量下跌幅度超过80%。

事实上，总量倾向于倒在熊市场经销商的结果在经纪人公司有高水平的系统风险的公司委托业务。

对行为金融学的主要批评之一是，通过选择偏向强调，任何人可以预测反应不足或过度反应。

这种行为金融学的批评可以被称为“模型疏浚。

”换句话说，人们可以找到一个故事，以适应事实，事后解释一些令人费解的现象。

但是要如何才能事先预测哪些偏见将主宰？有两篇优秀的文章，解决这一问题:巴尔贝里斯和Thaler(2002)，Hirshliefer(2001)。

Hirshliefer(1547页特别是)个人地址问题，我们会预期的一个主宰他人行为的偏差问题。

他还强调，有一种倾向，人们过分依赖于信息信号的强度和欠依靠信息信号的重量。

这有时被形容为突出效果。

3．套利的局限
金融资产的错误定价很普遍，但它不容易使这下错误定价的异常利润逃走。

为什么呢？错误定价有两种类型：那些周期性的或可套利的和那些不重复的和长期性的术语。

对于周期性的错误定价，交易策略可以可靠地赚钱。

正因为如此，对冲基金和其他这方面的零点，并保持他们不断变得过于庞大。

因此，市场对于这些资产的相当高效率，至少在一个相对的基础上。

从长远来看，非重复的错误定价，实时识别高峰和低谷，直到他们通过这是不可能的。

认识你的风险损失，过早消灭资本。

更早的是，如果有限合伙人或其他投资者提供连败后，资金、资本退出实际上可能导致买入或卖出的压力，加剧了低效率。