从行为金融学的角度分析中国证券投资基金的"羊群效应"

一、行为金融学理论中"羊群效应"的产生 行为金融学是新发展起来的传统经济学理论与心理和决策科学相结合的交叉边缘学科.2002年的诺贝尔经济学奖授予了行为金融学的两位先驱:美国普林斯顿大学的丹尼尔·卡尼曼教授和乔治·梅森大学的弗农·史密斯教授,行为金融学因此为世界瞩目.     

从经济心理学到行为金融学的百年回顾

行为金融学的发展经历了经济心理学、行为经济学和行为金融学三个阶段.该理论对传统金融学所不能解释的市场异象做出了合理解释,尽管它还没有形成一个完善的理论体系.我国对行为金融学的研究还处于引用和介绍阶段,不过,该理论在中国必然有很大的发展前景和现实意义.     

行为金融学研究综述--行为金融学对传统金融学的扬弃

自2001年美国Clark奖授予行为金融学家Rabin教授和2002年诺贝尔经济学奖授予DanielKahneman和VernonL.Smith以来,行为金融学吸引着来自经济学、心理学、社会学等诸多学科学者们的兴趣。何谓行为金融学?著名行为金融学家希勒(RobertJ.Shiller)所下的定义是:(1)行为金融学是心理学和决策理论与经典经济学和金融学相结合的学科;(2)行为金融学试图解释金融市场中实际观察到的或是金融文献中论述的与标准金融理论相违背的反常现象;(3)行为金融学研究投资者如何在决策时产生系统性偏差。这也就意味着,行为金融理论不仅要研究人们的理性决策,而…     

现代金融学与行为金融学比较:方法论视角

现在行为金融学越来越被主流经济学所承认。本文在简要介绍现代金融和行为金融学内容的基础上,结合经济学的方法论之争,作了金融学方面的剖析,并得出些启示。     

经济学理性假设的发展及对经济研究的影响——从完全理性到有限理性

理性经济人的假设是经济学研究的基本假设.而理性假设也经历了由完全理性到有限理性的发展,与人们的现实生活更为贴近.完全理性是主流经济学的理论前提,而有限理性假设的发展是随着新制度经济学、演化经济学和行为经济学的发展而发展的.本文首先论证人的本性并非绝对利己,利他主义是合理并存在的,接着对理性这一概念进行界定,最后对理性假设的发展以及其对经济研究方法的转变进行综合分析.     

演化金融理论述评

演化经济学从进化论的角度出发,抓住演化这个核心主题,在研究产业演化、经济增长、路径依赖等问题上取得了很大成就,给经济学和金融学的发展带来了一片新的天地。标准金融学和行为金融学在研究框架上共同遵循了从研究个体决策行为到个体之间的相互影响作用于市场,再到整个市场形成均衡的过程。其中,标准金融学以规范研究的方法对投资者作了理性的假     

行为金融理论的分析与展望

诞生于20世纪80年代的行为金融学是金融理论领域的一个革命,这个革命打破了传统范式的统治地位,由于否定了完全的理性人假设,行为经济理论把人的行为更为真实化和人性化了,经济学也渐渐变得富有人文主义的色彩,并且较之以往更加客观。随着行为金融学理论的不断完善和丰富,其将逐渐代替传统金融理论,构建起新的框架和基本观念。     

基于行为金融学的投资效率探析

行为金融学研究的最终目的,在于把心理学和金融学问题结合起来,实现对人的行为的预测和改造,解决当今金融市场面临的许多难以用标准金融理论知识加以解决的投资决策问题.行为金融学对提升金融投资管理效率的启发在于三个方面:第一,如果基本分析、技术分析是建立在心理分析的基础之上,金融投资理论就会更加实用;第二,行为金融学指出了一些可以预见的投资心理误区,这些心理误区有规律可循,经由认识这些行为误区,投资者可以引以为鉴,改善心智模式;第三,如果能对群体的过度反应和反应不足做出正确的判断,就能够获取超额的利润,因此,行为金融学提出了逆向投资策略和顺势投资策略.     

我国中小银行贷款集中的羊群行为分析

已有文献分别从银行和企业的角度对银行贷款集中与中小企业融资难进行了广泛探讨,银行结构论、银行成分论和成本收益论最具代表性.尽管从不同方面对银行贷款集中的原因作了分析,但由于仅停留在传统理性趋利的经济学框架内,忽视了银行委托人和代理人作为投资者的心理感受对贷款行为的影响,因而存在对实际现象解释不足的问题[1].为此,需要从一个新的角度来探析银行贷款集中问题产生的根源,而行为金融学的兴起则为这一问题的解释提供了新的依据.行为金融学修正了传统经济学的理性人假设,认为人是有限理性的,投资者在投资过程中具有追求时尚与从众心理、后悔厌恶与推卸责任以及过度自信等多种认知与行为偏差.     

行为经济学的方法论价值——基于行为金融学前沿理论的分析

行为经济学是在现代经济学的重大方法论革新,是对传统主流经济学研究框架反思和批判.针对传统主流经济学不断遭遇的现实挑战,行为经济学运用心理学研究成果,放松经济人假设,进而构建了一种新分析框架.行为经济学分析框架对于以金融为代表的应用经济学科具有深刻的方法论价值,这不仅体现在分析范式上发展了信念更新和最优决策,而且对非均衡的来源、非均衡的消失速度以及个体异质性等都有独特之处.行为经济学不仅是经济学研究领域的革新,也拓展了金融学的学术视野和方法论,有助于中国经济学的成长.     

Beauty contest,bounded rationality,and sentiment pricing dynamics

We present a dynamic asset pricing model that incorporates investor sentiment, bounded rationality and higher-order expectations to study how these factors affect asset pricing equilibrium. In the model, we utilize a two-period trading market and investors make decisions based on the heterogeneous expectations principle and the “sparsity-based bounded rational” sentiment. We find that bounded rationality results in mispricing and reduces it in next period. Investor sentiment produces more significant effects than private signals, optimistic investor sentiment increases hedging demand, thus causing prices to soar. Higher-order investors are more rational and attentive to the strategies of other participants rather than private signals. This model also derives the dampening effect of higher-order expectations to price volatility and the heterogeneity expectation depicts inconsistent investor behavior in financial markets. In the model, investors' expectations about future price is distorted by their sentiment and bounded rationality, so they obtain a biased mean from the signal extraction.     

Introduction: methodologies of bounded rationality

The modelling of bounded rationality is currently pursued by approaches that exhibit a wide diversity of methodologies. This special issue collects five contributions that discuss different methodological aspects of these approaches. In our introduction, we map the variety of methodological positions with respect to three questions. First, what kinds of evidence do the respective approaches consider relevant for modelling bounded rationality? Second, what kind of modelling desiderata do the respective approaches focus on? And third, how do the respective approaches justify the normative validity of bounded rationality? To broaden the picture, we not only discusss the five contributions of this issue, but also include relevant positions from the extant literature.     

异质信念资产定价研究

从随机游走、行为金融到混沌，从现代资产定价理论、行为资产定价理论到异质信念资产定价理论，3种学说和3种定价理论同时存在干当今资本市场的研究中，它们分别从不同方面、不同视角解释了资产价格的波动。本文的研究理清了3种重要定价理论之间的关系：理性与有限理性，线性与非线性，价格波动的外在机制与内在机制，为人们进一步研究资产定价理论提供了清晰的脉络。     

Bounded Rationality in Individual Decision Making

The main objectives of this paper are: (i) To give a pithy, opinionated summary of what has been learned about bounded rationality in individual decision making from experiments in economics and psychology (drawing on my 1995 Handbook of Experimental Economics chapter); and (ii) mention some promising new directions for research which would be included if that chapter were written today.     

DISCOUNT RATES AND ENERGY EFFICIENCY

Empirical studies provide compelling evidence that economic agents do not adopt the complete range of energy-efficient technologies that are cost-effective under prevailing prices and market conditions. Analysts commonly attribute this anomaly to the use of high discount rates in energy-related decisions-an interpretation that is difficult to reconcile with standard models of rational choice. This paper recasts the controversy from the perspective of economic theory and finds that market failures related to asymmetric information, bounded rationality, and transaction costs are major contributors to the so-called "efficiency gap."     

Bounded rationality: the two cultures

Research on bounded rationality has two cultures, which I call ‘idealistic’ and ‘pragmatic’. Technically, the cultures differ on whether they (1) build models based on normative axioms or empirical facts, (2) assume that people's goal is to optimize or to satisfice, (3) do not or do model psychological processes, (4) let parameters vary freely or fix them, (5) aim at explanation or prediction and (6) test models from one or both cultures. Each culture tells a story about people's rationality. The story of the idealistic culture is frustrating, with people in principle being able to know what they should do, but in practice systematically failing to do it. This story makes one hide in books for intellectual solace or surrender to the designs of someone smarter. The story of the pragmatic culture is empowering: If people are educated to use the right tool in the right situation, they do well.     

A cognition paradigm clash: Simon,situated cognition and the interpretation of bounded rationality

Simon’s notion of bounded rationality is deeply intertwined with his activity as a cognitive psychologist and founder of so-called cognitivism, a mainstream approach in cognitive psychology until the 1980s. Cognitivism, understood as ‘symbolic information processing,’ provided the first cognitive psychology foundation to bounded rationality. Has bounded rationality since then fully followed the development of cognitive psychology beyond symbolic information processing in the post-Simonian era? To answer this question, this paper focuses on Simon’s opposition during the 1990s to a new (paradigmatic) view of cognition called situated cognition, which has since put into question the entire view in cognitive psychology of humans as symbolic information processors. This paper then reads the cognitivism/situated cognition debate through the lens of current bounded rationality research in economics, in order (i) to inquire into whether it has tackled the issues in that controversy; (ii) to envisage possible new foundations for a cognitive psychology-based bounded rationality.     

敲竹杠问题的本质及其解决方法

不完全契约理论认为,由于当事人的有限理性和事后机会主义行为导致敲竹杠发生;完全契约理论则认为,不完全契约理论存在契约不完全性外生化和有限理性假设矛盾等缺点,且不可验证性也不会阻碍有效的投资行为。不完全契约理论引入复杂性与参考点等概念说明,即使在完全理性条件下也可能产生敲竹杠问题,从而内生化了契约的不完全性。交易成本经济学从纵向一体化、产权理论从产权分配、关系契约理论从声誉博弈、完全契约理论从履约理论等角度提出了解决敲竹杠问题的方法。     

A theory of collusion with partial mutual understanding

Unlawful collusion is when firms have a mutual understanding to coordinate their behavior for the purpose of achieving a supracompetitive outcome. Given the legal focus on mutual beliefs, this paper explores the role of mutual beliefs in producing collusion. Focusing on price leadership, firms are assumed to commonly believe that price increases will be at least matched but lack any shared understanding about who will lead, when they will, and at what prices. Sufficient conditions are derived which ensure that supracompetitive prices emerge. However, price is bounded below the maximal equilibrium price.     

Decision Theory without Logical Omniscience: Toward an Axiomatic Framework for Bounded Rationality

I propose modelling boundedly rational agents as agents who are not logically omniscient—that is, who do not know all logical or mathematical implications of what they know. I show how a subjective state space can be derived as part of a subjective expected utility representation of the agent's preferences. The representation exists under very weak conditions. The representation uses the familiar language of probability, utility, and states of the world in the hope that this makes this model of bounded rationality easier to use in applications.