金融學(xué)專業(yè)外文翻譯---行為金融學(xué)

1、<p><b>　　本科畢業(yè)論文外文</b></p><p>　　外文題目： Behavioral Finance </p><p>　　出 處 Pacific-Basin Finance Journal Vol.11，No.4，(September 2003)pp.429-437

2、 </p><p>　　作 者： Jay R.Ritter </p><p>　　原 文： Behavioral Finance</p><p>　　This article provides a brief intr

3、oduction 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 beh

4、avioral 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 fra

5、mework to explain many emp</p><p>　　1. Introduction</p><p>　　Behavioral finance is the paradigm where financial markets are studied using models that are less narrow than those based on Von Neum

6、ann-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 i

7、s a huge psychology literature documenting that people make systematic errors in the way that they think: they are overconfident, they put too much</p><p>　　circumstances arbitrage forces will be effective,

8、and when they won't be.</p><p>　　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 abou

9、t 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 build

10、ing block the Efficient Markets Hypothesis (EMH). The EMH argues that competition between investors seeking ab</p><p>　　assume that markets make unbiased forecasts of the future. In contrast, behavioral fina

11、nce assumes that, in some circumstances, financial markets are informationally inefficient.</p><p>　　Not all misvaluations are caused by psychological biases, however. Some are just due to temporary supply a

12、nd 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

13、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 st</p><p>　　If it is easy to ta

14、ke 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 befo

15、re 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 ar

16、bitrage will fail to correct the</p><p>　　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

17、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 a

18、nd hedge by going long in U.S. stocks were right in the long run, but they lost huge amounts of money in October 19</p><p>　　resulting in additional buying pressure for Japanese stocks just when they were mo

19、st overvalued!</p><p>　　2. Cognitive Biases</p><p>　　Cognitive psychologists have documented many patterns regarding how people behave.</p><p>　　Some of these patterns are as follow

20、s:</p><p>　　Heuristics</p><p>　　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 inv

21、estment 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 eq

22、uities. If one of the three is a stock fund, one-third goes into equities. Recently,Benartzi and Thaler (2001) have do</p><p>　　Overconfidence</p><p>　　People are overconfident about their abili

23、ties. 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 famil

24、iar 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 employee

25、s in Detroit, cons</p><p>　　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 pe

26、ople 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.</p><p>　　Mental Accounting</p>

27、<p>　　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

28、 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 din

29、ner. If they instead ate lobster and shrimp at home, and the simple fis</p><p><b>　　Framing</b></p><p>　　Framing is the notion that how a concept is presented to individuals matters.

30、 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

31、 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 present</p><p

32、>　　Representativeness</p><p>　　People underweight long-term averages. People tend to put too much weight on recent experience. This is sometimes known as the “l(fā)aw of small numbers.” As an example, when eq

33、uity 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 equity returns are “normal.”</p><p>　　Conservatism</p><p>　　

34、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

35、, 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.</p><p>　　Dispositi

36、on effect</p><p>　　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 be

37、fore 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 a

38、re trying to maximize their taxes! The disposition effect shows up in aggregate stock tradin</p><p>　　volume tends to fall in bear markets results in the commission business of brokerage firms having a high

39、level of systematic risk.</p><p>　　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 behav

40、ioral 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 wi

41、ll dominate? There are two excellent articles that address this issue: Barberis and Thaler (2002), and Hirshliefer (20</p><p>　　tendency for people to excessively rely on the strength of information signals

42、and under-rely on the weight of information signals. This is sometimes described as the salience effect.</p><p>　　3. The limits to arbitrage</p><p>　　Misvaluations of financial assets are common

43、, 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.

44、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 the

45、se assets, at le</p><p>　　本科畢業(yè)論文外文翻譯</p><p>　　外文題目： Behavioral Finance </p><p>　　出 處 Pacific-Basin Finance Journal Vol.11，No.4, (September 2003)pp.429-

46、437 </p><p>　　作 者： Jay R.Ritter </p><p>　　譯 文： 行為金融學(xué)</p><p>　　本文簡要介紹了行為金融學(xué)。行為金融學(xué)的研究摒棄了

47、有效市場上預(yù)期效用最大化和理性投資者的傳統(tǒng)假設(shè)。行為金融學(xué)的兩個(gè)基石是認(rèn)知心理學(xué)（人們怎么想）和套利限制（當(dāng)市場將無效）。傳統(tǒng)金融學(xué)分析框架在解釋包括日本、臺灣以及美國市場泡沫金融行為方面的無能推動(dòng)了行為金融學(xué)的突飛猛進(jìn)。</p><p><b>　　介紹</b></p><p>　　行為金融學(xué)就是金融市場較少或幾乎不運(yùn)用比馮諾依曼-摩根斯坦期望效用理論和套利假設(shè)的模

48、型來進(jìn)行研究的范例。具體來說，行為金融學(xué)有兩個(gè)組成部分：認(rèn)知心理學(xué)和套利的限制。認(rèn)知是指人們的想法。有一個(gè)巨大的心理學(xué)文獻(xiàn)記載人們以自我的想法做出了系統(tǒng)誤差：他們是過于自信，他們把最近的經(jīng)驗(yàn)看得太重，等等。他們的喜好也可能造成扭曲。行為金融學(xué)使用這種知識體系，而不是采取應(yīng)該被忽略的傲慢做法。套利限制是指判定在什么情況下套利效力將會(huì)是有效的，以及在判定在什么情況下將會(huì)是無效的。</p><p>　　行為金融學(xué)的運(yùn)用

49、模型作用還不完全合理，是因?yàn)橄埠没蛘呤且驗(yàn)殄e(cuò)誤的信仰模式。關(guān)于喜好的一個(gè)假設(shè)例子，人們厭惡損失-2美元的收益可能讓人感覺更好和獲得多達(dá)1美元的損失使他們感覺更糟糕。誤區(qū)的產(chǎn)生是因?yàn)槿硕鞫际遣缓玫呢惾~斯?，F(xiàn)代金融業(yè)作為構(gòu)建塊的有效市場假說。有效市場假說表明一種投資者尋找異常的利潤驅(qū)使價(jià)格達(dá)到他們“正確的“價(jià)值的競爭。有效市場假說并不假設(shè)所有投資者都是理性的，但是它認(rèn)為，市場是理性的。有效市場假說認(rèn)為，市場不能夠預(yù)見未來，但確實(shí)認(rèn)為，市場可

50、以對未來作出無偏預(yù)測。與此相反，行為金融學(xué)假設(shè)，在某些情況下，金融市場的信息效率低下。</p><p>　　并不是所有的錯(cuò)誤評價(jià)是由心理偏見引起的,但有些人就是由于暫時(shí)的供求失衡。例如,暴政指數(shù)會(huì)導(dǎo)致那些無關(guān)公司未來現(xiàn)金流量的需求變化。當(dāng)雅虎在1999年12月被加入到標(biāo)準(zhǔn)普爾500指數(shù)，指數(shù)基金經(jīng)理即使只有有限的公眾持股量也不得不買股票。這種額外的需求在一周內(nèi)推高了50%，并在一個(gè)月內(nèi)超過100%的價(jià)格。18個(gè)月

51、之后，那些在不久之后被添加到標(biāo)準(zhǔn)普爾的份額股票價(jià)格下降超過90%以上。</p><p>　　如果搶占位置是簡單的(賣空估值過高的股票或購買低估股票)而且這些錯(cuò)誤的評價(jià)一定要在短期內(nèi)得到解決，那么“套利“將搶占立場并且消除這些錯(cuò)誤定價(jià)在它們變大之前。有自己的觀點(diǎn)立場和消除這些錯(cuò)誤定價(jià)才會(huì)大。但是如果很難搶占這些位置,由于條件的限制賣空,例如,或者如果沒有保證那些錯(cuò)誤定價(jià)將會(huì)在合理的時(shí)間內(nèi)被糾正,那么套利將無法修正錯(cuò)

52、誤定價(jià)。事實(shí)上, 由于風(fēng)險(xiǎn)太大了，套利者可能會(huì)選擇避免錯(cuò)誤定價(jià)最嚴(yán)重的市場。尤其是當(dāng)涉及巨大市場的時(shí)候 ,如在80年代末或90年代末在美國科技股市場的日本股市。套匯人曾經(jīng)試圖短期套利日本股市在1987年年中和對沖美國股市長期從長遠(yuǎn)來看是正確的，但是他們失去了在1987年10月當(dāng)美國市場比日本市場崩潰時(shí)的巨資(因?yàn)槿毡菊深A(yù))。如果套匯人只有有限的資金, 當(dāng)相對錯(cuò)誤定價(jià)最大他們將被迫覆蓋他們的位置,當(dāng)他們被過高的估計(jì)時(shí)，將導(dǎo)致額外購買日

53、本股票的壓力。</p><p><b>　　2．認(rèn)知偏差</b></p><p>　　認(rèn)知心理學(xué)家已經(jīng)證明許多關(guān)于人們?nèi)绾涡袨榈哪Ｊ健Ｆ渲械囊恍┠Ｊ饺缦?</p><p><b>　　啟發(fā)式</b></p><p>　　啟發(fā)式的,或經(jīng)驗(yàn)法則,使決策更加容易。但是他們有時(shí)會(huì)導(dǎo)致偏見,特別是當(dāng)情況發(fā)生變

54、化。這些會(huì)導(dǎo)致次優(yōu)投資決定。當(dāng)面臨如何投資的退休金的N種選擇時(shí),許多人分配使用1 / N規(guī)則。如果有三個(gè)基金,三分之一的人進(jìn)入彼此。如果兩個(gè)是股票基金,三分之二流入股票。如果有三個(gè)一個(gè)是股票基金、三分之一進(jìn)入股票。最近,Benart和Thaler(2001)記載，都有許多人遵循1 / N規(guī)則。</p><p><b>　　過度自信</b></p><p>　　過于自信

55、的人對自己的能力充滿信心。企業(yè)家是特別容易過于自信的。過度自信表現(xiàn)在許多方面。其中一個(gè)例子就是太少多樣化，由于投資于自己所熟悉的傾向太嚴(yán)重。因此, 人們投資本土企業(yè),即使這從多元化的角度來看是不好的，因?yàn)樗麄兊姆康禺a(chǎn)(他們自己的房子)是連接到公司的命運(yùn)。認(rèn)為汽車工業(yè)員工在底特律，建筑行業(yè)員工在香港或東京，或者計(jì)算機(jī)硬件的工程師在硅谷。人們投資的方式太過于在在他們工作的公司。</p><p>　　男人往往比女性更自

56、信。這表現(xiàn)在許多方面，包括交易行為本身。Barber和Odean (2001)最近分析了人們與折扣經(jīng)紀(jì)賬戶交易活動(dòng)。他們發(fā)現(xiàn)平均來看，越多的人交易，他們越糟糕的表現(xiàn)。而男人更多的交易，并沒有遜于女性投資者。</p><p><b>　　心理賬戶</b></p><p>　　人們有時(shí)認(rèn)為，在原則上，獨(dú)立的決定應(yīng)該被結(jié)合。例如,許多人對食物有有一個(gè)家庭預(yù)算并且會(huì)做一個(gè)使家

57、人愉快的預(yù)算編排。在家里，那里的食物預(yù)算是存在的,他們不吃龍蝦或蝦因?yàn)樗鼈儽纫簧板侓~更昂貴。但是在一間餐廳,他們會(huì)點(diǎn)龍蝦和蝦雖然成本遠(yuǎn)高于一頓簡單的魚餐。如果他們用在家吃著龍蝦和蝦，在餐廳吃簡單的各種各樣的魚來代替，那么他們可以攢錢。但因?yàn)樗麄兌荚诜謩e考慮餐廳食物和在家的食物，他們選擇限制他們在家里的食物。</p><p><b>　　框架</b></p><p>　

58、　框架的概念是如何對個(gè)人的事情的概念。例如餐廳可以進(jìn)行宣傳“早鳥”或“后劇場”折扣，但他們從來沒有使用高峰期的“附加費(fèi)”。如果人們覺得他們獲得在非高峰時(shí)段的折扣，而不是在繁忙時(shí)段支付附加費(fèi)，即使價(jià)格是相同的，他們會(huì)得到更多的業(yè)務(wù)。認(rèn)知心理學(xué)家們已經(jīng)證明，醫(yī)生做出不同的建議，如果他們看到證據(jù)表明所提出的是“殘余概率”,而不是“死亡率”，即使殘余概率加上死亡率達(dá)到100%呈現(xiàn)。</p><p><b>　　

59、代表性</b></p><p>　　人們減持長期平均水平。人們傾向于把最近的經(jīng)驗(yàn)看得太重。它有時(shí)被稱為“小數(shù)目的法律?！弊鳛橐粋€(gè)例子,當(dāng)股市回報(bào)率已經(jīng)多年高(如1982-2000在美國和西方歐洲),許多人開始相信,高股市回報(bào)是“正常。”</p><p><b>　　保守主義</b></p><p>　　當(dāng)情況發(fā)生變化,人們往往是緩慢

60、跟上變化的步伐。換句話說,它們主導(dǎo)方式通常都有。偏見是保守的戰(zhàn)爭代表性的偏見。當(dāng)事情的變化，人們可能會(huì)未作出應(yīng)有的反應(yīng)，因?yàn)楸Ｊ刂髁x傾向。但是如果有足夠長的模式,然后他們會(huì)調(diào)整，可能反應(yīng)過度，減持長期平均比重。</p><p><b>　　處置效應(yīng)</b></p><p>　　處置效應(yīng)是指人們避免的實(shí)現(xiàn)賬面虧損，并尋求實(shí)現(xiàn)紙上收益的模式。舉例來說,如果有人買一個(gè)股票3

61、0美元,然后下降至22美元上升到28美元之前,大多數(shù)人并不打算賣掉股票，知道到達(dá)30美元以上。這中處置效應(yīng)表現(xiàn)在許多小收益被實(shí)現(xiàn),而造成很小很小的損失。事實(shí)上,人們的所作所為,好像他們扮演著正試著將他們的稅收最大化的角色！處置效應(yīng)的效果體現(xiàn)在總股票的交易量。在牛市中,成交量趨于增長。如果市場然后轉(zhuǎn)向南，成交量傾向于下降。作為一個(gè)例子, 從20世紀(jì)80年代末到90年代中期，日本股市交易數(shù)量下跌幅度超過80%。事實(shí)上，總量傾向于倒在熊市場經(jīng)

62、銷商的結(jié)果在經(jīng)紀(jì)人公司有高水平的系統(tǒng)風(fēng)險(xiǎn)的公司委托業(yè)務(wù)。 </p><p>　　對行為金融學(xué)的主要批評之一是，通過選擇偏向強(qiáng)調(diào)，任何人可以預(yù)測反應(yīng)不足或過度反應(yīng)。這種行為金融學(xué)的批評可以被稱為“模型疏浚。”換句話說，人們可以找到一個(gè)故事，以適應(yīng)事實(shí)，事后解釋一些令人費(fèi)解的現(xiàn)象。但是要如何才能事先預(yù)測哪些偏見將主宰？有兩篇優(yōu)秀的文章，解決這一問題:巴爾貝里斯和Thaler(2002)，Hirshlief

63、er(2001)。Hirshliefer(1547頁特別是)個(gè)人地址問題，我們會(huì)預(yù)期的一個(gè)主宰他人行為的偏差問題。他還強(qiáng)調(diào)，有一種傾向，人們過分依賴于信息信號的強(qiáng)度和欠依靠信息信號的重量。這有時(shí)被形容為突出效果。</p><p><b>　　3．套利的局限</b></p><p>　　金融資產(chǎn)的錯(cuò)誤定價(jià)很普遍，但它不容易使這下錯(cuò)誤定價(jià)的異常利潤逃走。為什么呢？錯(cuò)誤定價(jià)

64、有兩種類型：那些周期性的或可套利的和那些不重復(fù)的和長期性的術(shù)語。對于周期性的錯(cuò)誤定價(jià)，交易策略可以可靠地賺錢。正因?yàn)槿绱?，對沖基金和其他這方面的零點(diǎn)，并保持他們不斷變得過于龐大。因此，市場對于這些資產(chǎn)的相當(dāng)高效率，至少在一個(gè)相對的基礎(chǔ)上。從長遠(yuǎn)來看，非重復(fù)的錯(cuò)誤定價(jià)，實(shí)時(shí)識別高峰和低谷，直到他們通過這是不可能的。認(rèn)識你的風(fēng)險(xiǎn)損失，過早消滅資本。更早的是，如果有限合伙人或其他投資者提供連敗后，資金、資本退出實(shí)際上可能導(dǎo)致買入或賣出的壓力，