从行为金融理论角度质疑有效市场假说

有效市场假说是现代金融理论的重要基石,其理论基础是理性人和完全套利假定.20世纪80年代以来在西方国家兴起的行为金融理论,以心理学的研究成果为依据,从投资者的实际决策心理出发,重新审视了主宰金融市场的人为因素对市场的影响,对有效市场假说的理论基础进行了反思,并指出了投资者的行为并非是完全理性的,套利行为也是有限的.     

“经济人”的行为困境

"经济人"的自利心是人类社会发展的内在动力,个人理性的追求其利益最大化的自由行为往往会无意识地、客观地增进公共利益。但是,由于"经济人"的自利心和有限理性,其行为往往会产生诸如机会主义、群体的无理性、X无效率、经济市场失灵和政治市场失灵等困境。要克服"经济人"的行为困境,必须发挥"看的见的手"的作用。     

赫尔德对启蒙理性的反思

启蒙思想家们无限夸大理性的作用,把理性看成是万能的,从而压制了不同群体的天然差别。赫尔德对启蒙理性主义进行反思并发动了浪漫主义运动。他强调个体性,认为每个个体都具有特殊性、变动性、多元性、不确定性和无规律性,这自然就和理性的普遍性、不变性、一元性、确定性和规律性形成根本对立。     

Do foreign institutional investors enhance firm innovation in China?

This paper investigates the impact of the Qualified Foreign Institutional Investor (QFII) scheme regulated by the Chinese government on firm innovation in China. By explicitly addressing the potential endogenous relationship between foreign institutional ownership and firm innovation, we find that foreign institutional investors enhance firm innovation in China, suggesting that the Chinese government should further relax its foreign capital investment control, for example, increase the quota of the QFII scheme.     

The Estimation of Systematic Risk under Differentiated Risk Aversion: A Mean-Extended Gini Approach

This paper examines a mean-Gini model of systematic risk estimation that resolves some econometric problems with mean-variance beta estimation and allows for heterogeneous risk aversion across investors. Using the mean-extended Gini (MEG) model, we estimate systematic risks for different degrees of risk aversion. MEG betas are shown to be instrumental variable estimators that provide econometric solutions to biases generated by the estimation of mean-variance (MV) betas. When security returns are not normally distributed, MEG betas are proved to differ from MV betas. We design an econometric test that assesses whether these differences are significant. As an application using daily returns, we estimate MEG and MV betas for U.S. securities.     

养老金资产的本土化投资偏好分析——OECD国家的投资经验对中国的启示

随着世界各国养老保障体系的完善,养老金资产规模迅速扩大,各国都将规模庞大的养老金资产投资于金融市场进行保值增值。从OECD国家和新兴市场国家两个方面分析了OECD国家养老金资产在进行投资时存在本土化投资偏好的原因。为了借鉴国外养老金投资管理的经验,逐步完善我国养老保障体系,提出一些有关投资管理的政策建议。     

关于信任的博弈分析——基于个体的自利理性和社会理性

信任的根本在于不完全信息和有限理性,信任是个体弥补自己理性不足的一种策略.所以,信任分析无法在个体的自利理性下完成,需要扩展个体理性的范畴.将个体理性扩展为自利理性和社会理性,利用理性的这种二元特性,重新解释了两个具有代表性的博弈模型--蜈蚣博弈和信任博弈.这不但对信任问题提出了一种新的分析框架,而且还解决了博弈分析的困境.这说明,对个体理性的扩展是合适的,个体的社会理性是经济学不可忽视的一部分.     

从经济理性到生态理性

经济理性为市场经济和工业文明立下过历史性的功劳。当人类的经济规模尚未对生态平衡构成威胁时,经济理性是正确的;当经济规模超出自然界的承受范围,破坏生态平衡时,经济理性就得让位于生态理性。生态理性有更广阔的鸟瞰视野,更高的观控水平,把经济理性作为一个特例包含在自己的体系之中。悠久的中华文明充满生态智慧,党的十七大提出建设生态文明是对全人类的贡献。     

Renegotiation–Proof Equilibria in a Global Emission Game When Players Are Impatient

In a two-country model, in which countries differ with respect to the perception of environmental damages and abatement costs, the stability of international environmental agreements is analyzed in a dynamic framework. Three types of agreements are considered: A socially optimal solution, a uniform emission tax (a tax equally applied in both countries) and a uniform emission reduction quota (an equal percentage emission reduction from a base year). Stability is checked for these agreements according to the concept of renegotiation-proofness. It is shown that the stability requirements depend crucially on the parameters defining the interests of the two countries and the type of agreement. Moreover, it is demonstrated that if punishment options are restricted for some reason the stability of an agreement may suffer. One important result of the paper is that if countries exhibit asymmetric interests, stability in the quota regime is higher than in the tax regime and in the social optimum. This might explain why emission reduction quotas have been so popular in international politics despite recommendations of economists to use market-based instruments.     

从旅行社行为角度看旅行社产品创新

旅行社产品由于其构成要素的特质,使其具有公共物品的先天属性——非捧他性,在此基础之上从旅行社企业的个体行为角度分析了目前我国旅行社产品创新乏力、积极性不高的原因．运用了公共选择中“集体行动的逻辑”及博弈论中“智猪博弈”的理论,对企业的创新行为进行分析,得出了旅行社成员个体理性使旅行社均无创新的动机,但在行业发展的需要之下,若需采取创新行动时,由规模较大的旅行社企业率先进行创新更符合纳什均衡．