个体证券投资者心理与行为:评析与展望

前景理论提出以来,心理学的研究成果越来越多地应用到金融学的研究中,经典金融理论无法解释的部分现象也结合心理学找到新思路。回顾了近年来关于个体投资者心理偏差的文献,按照选股、买入、卖出三个阶段总结五种常见的心理:有限关注、模糊厌恶、过度自信、心理账户和损失厌恶,并讨论心理偏差所引起的交易行为异象,包括本土偏见、过度交易和处置效应等。最后在综述现有国内外研究的基础上,对未来进一步的研究提出展望。     

中国股市中个体投资者处置效应的实证研究

本文基于行为金融理论,通过来源于南京某一证券营业部的个体投资者的交易数据来研究中国证券市场中个体投资者的处置效应。文章首先将1997年1月1日至2004年12月1日的中国股市划分为牛市和熊市。分别研究牛市和熊市中投资者是否存在处置效应。结果发现在牛市中个体投资者表现出了更强的处置效应,但是在熊市中个体投资者却表现出了反处置效应,即投资者卖出亏损的股票而持有盈利的股票。此外投资者的个体信息会对投资者的行为产生影响。     

自我归因偏差、学习与股民的过度自信

本文利用中国股民交易记录数据考察了自我归因偏差带来的反馈效应和投资经验带来的学习效应对股民的过度自信的影响。研究发现，股民的历史投资收益对其过度交易存在正向影响，即股民历史投资收益越高，则过度交易程度就越大。这表明良好的历史投资收益会通过自我归因偏差心理加剧投资者过度自信程度。而在控制了历史投资表现之后，笔者发现股民的投资经验对其过度交易的影响并不显著。过度交易或者过度自信并没有随着股民投资经验的积累而得到减弱。     

股民过度交易了么?——基于中国某证券营业厅数据的研究

本文利用中国某证券营业厅个人股票交易数据,验证了中国股票市场上存在的过度交易现象。文章发现,对应着不同的股票持有期,投资者买进的股票在买进后一定时间内的收益率,低于他们出售的股票在售出后相同时间长度内的收益率。这一结论在股票市场整体走势截然不同的两个阶段,对于不同投资规模、不同交易频率投资者都是成立的。而且,在剔除正常交易需求后上述结论依然成立。这说明股民大量的交易决策是错误的,对于理性投资者来讲这些交易原本不该发生。从这个意义上讲,可以认为中国股民存在着过度交易倾向。通过对不同性别投资者投资行为的比较,我们发现男性投资者过度交易的程度要高于女性投资者。结合心理学领域的研究成果,这在某种程度上意味着中国股市投资者过度交易现象与过度自信是相关的。     

中国股市机构投资者多账户交易行为研究

多账户交易行为是中国机构投资者的典型特征,是中国股票市场的特有现象。限于交易数据的可获得性,相关研究较少。本文提出了一种从交易数据中将机构投资者的交易记录分离出来的方法。据此,本文分析了机构投资者证券账户与资金账户的对应关系,证实了多账户交易行为的存在,发现采用多账户交易的机构投资者具有集中投资、日内多次交易、利用不同证券账户进行建仓、对敲、拉升股价、出货等基本特征。根据实证研究的结果并结合实例,本文揭示了机构投资者多账户交易的动机是隐蔽交易、拉升股价和申购新股。     

公司治理、投资者情绪与过度证券投资

本文首先基于资金管理理论分析了上市公司证券投资量的影响因素,继而区分了过度证券投资与非过度证券投资,最后从公司治理与投资者情绪的角度探究了我国上市公司过度证券投资的成因.论文以新会计准则实施后,2007年至2010年的非金融类A股上市公司为样本,对我国上市公司进度证券投资量的影响因素进行了实证检验.发现我国上市公司普遍参与证券投资,且存在一定程度的过度证券投资,其成因并非由于公司治理结构不完善,而是由于投资者情绪的高涨.因此仅通过公司治理机制并不能有效遇制上市公司的过度证券投资.     

多维认知偏差投资风险能量密度模型探究

金融全球化下,金融活动的参与主体逐步多样化,投资者的认知偏差加剧了证券投资活动中风险度量的难度。现有的金融证券投资的理论研究与实践应用基本都是围绕着如何处理风险与收益的关系而展开的。但是,传统的理论方法与标准的金融风险度量方法在一定程度上忽略了人的心理认知行为等因素的影响,使得对现有的风险度量工具和方法的借鉴与应用增加了投资者额外的决策风险。鉴于此,本文引入心理行为因素的时间变量,在理论研究与投资者认知行为研究的基础上,借助物理学中能量密度相关理论与思想方法构建多认知偏差的时间风险度量模型,度量金融投资活动中基于多种偏差的投资组合风险,克服了传统风险度量方法在完全理性人条件下主要依赖于历史数据推导的缺陷,从而使得证券组合的风险度量更接近于实际的证券投资组合状况。最后文章根据模型分析提出相关政策建议。     

我国证券市场正反馈交易的实证检验

正反馈交易是投资者依据证券t-1期收益高低决定其第t期买卖行为的一种交易策略,这种交易策略广泛存在于世界各国的证券市场中,使证券市场表现出超常的波动性。本文使用上证指数和深证指数对我国证券市场的正反馈交易进行了实证研究,结果显示我国证券市场同样存在显著的正反馈交易现象,这种现象降低了市场的稳定性。     

噪声理论能解释我国封闭式基金折价交易现象吗--与薛刚、顾锋、黄培清三位先生商榷

封闭式证券投资基金折价交易作为一种普遍现象在西方受到深入的研究,因为其意义不仅在于解释为什么会存在折价,更重要是在于为捍卫或批判有效市场假说是提供了检验的场所;同时也为验证到底有无“噪声交易者”提供了一个好机会。本文以在上海证券交易所交易的基金为样本对我国封闭式证券投资基金折价交易现象进行了实证分析,验证了广为接受的“投资者情绪假说”不能解释我国封闭式基金的折价交易问题。同时提出并验证这一现象可能与投资者在不同时期对基金的偏好有关。     

股市投资中的羊群行为及对策分析

一、引言 在金融市场上“羊群行为”是一个令人困惑的现象，它是指在不确定性和模糊性的情况下个体通常表现出的一些集体行为，而股票市场交易的一个重要特征就是模糊性和不确定性，因而投资者往往具有“从众”的心理，其行为受到其他投资者的影响，模仿他人决策，或者过度依赖于舆论，而不考虑自己的信息的行为。长期投资者或许更不愿根据自身的信息和观点行事，以免被认为是轻率的和不符合常规的，正如凯恩斯所说的：符合传统的失败要比不符合传统的成功对名声更有好处。     

Can sustainable consumption be learned? A model of cultural evolution

This paper shows how sustainable consumption patterns can spread within a population via processes of social learning even though a strong individual learning bias may favor environmentally harmful products. We present a model depicting how the biased transmission of different behaviors via individual and social learning influences agents' consumption behavior. The underlying learning biases can be traced back to evolved cognitive dispositions. Challenging the vision of a permanent transition toward sustainability, we argue that “green” consumption patterns are not self-reinforcing and cannot be “locked in” permanently.     

Home Bias and High Turnover in an Overlapping-generations Model with Learning

This paper develops a two‐country overlapping‐generations (OLG) model under the assumption that investors are on a learning path. While investors from both countries receive identical information flows, domestic investors start off with less precise prior beliefs concerning foreign fundamentals. On a learning path, differences in beliefs and estimation risk generate portfolio biases that match the empirical evidence: home bias in equity portfolios and trend‐chasing in international flows. In addition, due to the higher volatility of the estimates of foreign state variables, our model produces excessive turnover in foreign securities. We calibrate the model on the historical path of quarterly real GDP data for the US and Europe. Under the assumption of a financial liberalization in the 1970s, the model produces preference for domestic securities and turnover.     

International asset prices and portfolio choices under Bayesian learning

We calculate equilibrium asset prices and portfolio choices from a two-country OLG international asset pricing model under the assumption that investors are on a Bayesian learning path. Investors from both countries receive identical information flows, but domestic investors start off with less precise priors concerning foreign fundamentals. Learning is shown to produce first-order effects on the properties of asset prices, in the form of increased equity returns, volatility clustering, and time-varying correlations across national stock markets. Moreover, on a learning path, estimation risk generates portfolio biases similar to those observed empirically, i.e. a strong preference towards domestic securities and excessive turnover in foreign securities. These findings are robust to changes in prior beliefs, the calibration of initial information asymmetries, and the parameterization of the model. We use real GDP data for the US and Europe to calibrate the model and show that in the event of a financial liberalization during the 1970s, high excess returns, time-varying volatility, substantial home bias, and excess turnover should have been observed.     

Probabilistic dominance and status quo bias

Decision makers have a strong tendency to retain the current state of affairs. This well-documented phenomenon is termed status quo bias. We present the probabilistic dominance approach to status quo bias: an alternative is considered acceptable to replace the status quo only if the chances of a (subjectively) severe loss, relative to the status quo, are not too high. Probabilistic dominance is applied and behaviorally characterized in a choice model that allows for a range of status quo biases, general enough to accommodate unanimity, but also standard expected utility maximization. We present a comparative notion of “revealing more bias towards the status quo” and study its implications to the probabilistic dominance model of choice. Lastly, the model is applied to the endowment effect phenomenon and to a problem of international portfolio choice when investors are home biased.     

上市公司信息披露违规问题研究

证券立法的首要目标是保护投资者合法权益,公开、公平、公正原则是实现这一目标的根本保证,信息披露制度是实现这一目标的制度基础,也是证券市场监管制度的基石。在资本市场中,公司信息披露不仅对降低信息不对称和交易成本具有重要意义,而且是保护投资者和实现资源优化配置的关键所在。对投资者利益的保护,是通过公司的信息披露,投资者可以了解到被投资公司的经营状况,保障他们合法地获得上市公司、政府证券监管部门及其他市场主体可能影响证券价格变化的各种信息的权利。当前我国证券市场的信息披露还存在许多问题：诸如虚假信息披露、隐瞒信息披露、延迟信息披露,导致这些问题的原因很多,最为突出的原因是：我国公司股权结构不合理、会计准则与制度的缺陷、监管力度不够、法律法规不健全等。因此,完善我国证券市场信息披露,必须多管齐下。     

基于我国证券市场羊群行为的宏观与微观策略

证券市场的羊群行为是指投资者在证券投资中模仿其他投资者决策,在股票价格波动中追涨杀跌的行为.导致我国证券市场羊群行为的原因包括宏观和微观两个层面.为此,本文从宏观和微观两个层面提出抑制羊群行为的相应策略,即培育市场理性与培育理性投资主体两项对策.具体包括:完善信息披露制度;改善证券市场供求关系;完善合理的交易制度;规范证券公司"信息串联"行为;培育理性投资者等.以此来实现改善上市公司的信息披露质量,促进证券市场效率,以减轻羊群行为之害.     

Exploring Ambiguity and Familiarity Effects in The “Earnings Game” Between Managers and Investors

Prior evidence suggests that managers and investors play an earnings game in which managers bias their earnings forecasts downward as the earnings announcement date approaches. Knowing managers’ incentives to provide biased guidance, investors still revise their expectations downward helping to create “positive earnings surprises.” Using a 2 (ambiguity) × 2 (familiarity) between subject randomized experimental design where MBA students playing the roles of manager and investor answer a series of questions related to earnings guidance, we investigate whether earnings environment ambiguity and manager-investor familiarity influence behavior during the “earnings game.” In general, results from this study suggest that ambiguity contributes to managers’ propensity to mislead and investors’ propensity to follow, and a false sense of familiarity may amplify investors’ reliance on managers’ guidance.     

国内证券市场自律监管问题分析

证券市场自律监管主体包括三方面：证券业协会、证券交易所在内的自律性组织;证券公司、证券投资咨询公司、会计师事务所、律师事务所等在内的中介机构;市场发行主体和交易主体。一个完善的自律监管体系应是三方面都能做到自我约束、自我监管。要达到这种效果,需要通过以下措施：完善证券市场法律法规,提高违法成本;完善相关机构的内部治理;提高自律性组织自律监管能力,理清权责关系等。     

JUST A BIG MISUNDERSTANDING? BIAS AND BAYESIAN AFFECTIVE POLARIZATION

I present a model of affective polarization—growth in hostility over time between two parties—via quasi-Bayesian inference. In the model, two agents repeatedly choose actions. Each choice is based on a balance of concerns for private interests and the social good. More weight is put on private interests when an agent's character is intrinsically more self-serving and when the other agent is believed to be more self-serving. Each agent Bayesian updates about the other's character, and dislikes the other more when she is perceived as more self-serving. I characterize the effects on growth in dislike of three biases: a prior bias against the other agent's character, the false consensus bias, and limited strategic thinking. Prior bias against the other's character remains constant or declines over time, and actions do not diverge. The other two biases cause actions to become more extreme over time and repeatedly be “worse” than expected, causing mutual growth in dislike, that is, affective polarization. The magnitude of dislike can become arbitrarily large—even when both players are arbitrarily “good” (unselfish). The results imply that seemingly irrelevant cognitive biases can be an important cause of the devolution of relationships, in politics and beyond, and that subtlety and unawareness of bias can be key factors driving the degree of polarization.