) 华东师范大学心理与认知科学学院, 上海 200062
收稿日期:2018-06-18出版日期:2019-03-15发布日期:2019-01-22通讯作者:庄锦英E-mail:jyzhuang@psy.ecnu.edu.cnRichard Thaler’s empirical findings and theoretical insights into behavioral finance
ZHU Yao, LI Jianhua, ZHUANG Jin-Ying() School of Psychology and Cognitive Science, East China Normal University, Shanghai 200062, China
Received:2018-06-18Online:2019-03-15Published:2019-01-22Contact:ZHUANG Jin-Ying E-mail:jyzhuang@psy.ecnu.edu.cn摘要/Abstract
摘要： 理查德·塞勒(Richard H. Thaler)是行为金融学的主要创建者。全文按照行为金融学的发展脉络, 在简单介绍了行为金融学诞生的前提条件及理论基础之后, 详细介绍了塞勒等****关于股票的输家-赢家效应、封闭式基金之谜以及股权溢价之谜的实证研究及其理论观点, 展示了塞勒等****如何巧妙地以真实金融市场上的产品以及投资者的行为为样本, 通过对这些数据的挖掘、提炼以及模拟, 揭示出投资者的信念、情绪等心理因素是导致上述金融“异象”的主要原因。对这些现象的研究, 使得塞勒脱离了传统金融学研究的窠臼, 倡导了金融学研究中关注个体行为及心理因素的研究取向, 促成了行为金融学的发展与壮大。
图/表 1
图1测试阶段1~36个月输家-赢家组合的平均累积回报(de Bondt & Thaler, 1985)
图1测试阶段1~36个月输家-赢家组合的平均累积回报(de Bondt & Thaler, 1985)参考文献 28
| [1] | 陈浪南, 屈文洲 . ( 2000). 资本资产定价模型的实证研究. 经济研究, ( 4), 26-34. doi: 10.3969/j.issn.1673-5889.2010.29.001URL |
| [2] | 李心丹 . ( 2005). 行为金融理论: 研究体系及展望. 金融研究( 1), 175-190. |
| [3] | 理查德·泰勒 . (2016). “错误”的行为:行为经济学关于世界的思考, 从个人到商业和社会. 中信出版社. |
| [4] | 张琦, 李仁贵 . ( 2017). 塞勒与米勒关于投资者情绪的争论. 金融评论, ( 6), 47-59. |
| [5] | 张峥, 徐信忠 . ( 2006). 行为金融学研究综述. 管理世界, ( 9), 155-167. doi: 10.3969/j.issn.1671-3710.2003.03.003URL |
| [6] | Beaver W.H., & Landsman W.R . ( 1981). Note on the behavior of residual security returns for winner and loser portfolios. Journal of Accounting and Economics, 3( 3), 233-241. doi: 10.1016/0165-4101(81)90004-5URL |
| [7] | Benartzi S., & Thaler R.H . ( 1995). Myopic loss aversion and the equity premium puzzle. Quarterly Journal of Economics, 110( 1), 73-92. doi: 10.2307/2118511URL |
| [8] | Benartzi S., & Thaler R.H . ( 1999). Risk aversion or myopia? Choices in repeated gambles and retirement investments. Management Science, 45( 3), 364-381. doi: 10.1287/mnsc.45.3.364URL |
| [9] | de Bondt W. F.M., & Thaler R.H . ( 1985). Does the stock market overreact. Journal of Finance, 40( 3), 793-805. doi: 10.2307/2327804URL |
| [10] | de Bondt W. F.M., & Thaler R.H . ( 1987). Further evidence on investor overreaction and stock market seasonality. Journal of Finance, 42( 3), 557-581. doi: 10.2307/2328371URL |
| [11] | de Long J. B., Shleifer A., Summers L. H., & Waldmann R . ( 1990). Noise trader risk in financial markets. Journal of Political Economy, 98( 4), 703-738. doi: 10.1086/261703URL |
| [12] | Fama E.F., & French K.R . ( 1988). Permanent and temporary components of stock prices. Journal of Political Economy, 96( 2), 246-273. doi: 10.1086/261535URL |
| [13] | Gneezy U., Kapteyn A., & Potters J . ( 2003). Evaluation periods and asset prices in a market experiment. Journal of Finance, 58( 2), 821-838. doi: 10.1111/1540-6261.00547URL |
| [14] | Gneezy U. & Potters J., ( 1997). An experiment on risk taking and evaluation periods. Quarterly Journal of Economics, 112( 2), 631-645. doi: 10.1162/003355397555217URL |
| [15] | Kahneman D. & Dan L., ( 1993). Timid choices and bold forecasts: A cognitive perspective on risk taking. Management Science, 39( 1), 17-31. doi: 10.1287/mnsc.39.1.17URL |
| [16] | Kahneman D. & Tversky A., ( 1979). Prospect theory: An analysis of decision under risk. Econometrica, 47( 2), 263-291. doi: 10.2307/1914185URL |
| [17] | Kahneman D. & Tversky A.. ,( 1982) . Intuitive prediction: Biases and corrective procedures. In D Kahneman, P Slovic, & A Tversky, (eds), Judgment Under Uncertainty: Heuristics and Biases (pp 414-421). London: Cambridge University Press. |
| [18] | Keim D.B . ( 1983). Size-related anomalies and stock return seasonality: Further empirical evidence. Journal of Financial Economics, 12( 1), 13-32. doi: 10.1016/0304-405X(83)90025-9URL |
| [19] | Keim D.B., & Stambaugh R.F . ( 1986). Predicting returns in the stock and bond markets. Journal of Financial Economics, 17( 2), 357-390. doi: 10.1016/0304-405X(86)90070-XURL |
| [20] | Lamont O.A., & Thaler R.H . ( 2003). Can the market add and subtract? Mispricing in tech stock carve-outs. Journal of Political Economy, 111( 2), 227-268. doi: 10.1086/367683URL |
| [21] | Langer T. & Weber M., ( 2005). Myopic prospect theory vs. myopic loss aversion: How general is the phenomenon?. Journal of Economic Behavior & Organization, 56( 1), 25-38. doi: 10.1016/j.jebo.2003.01.005URL |
| [22] | Lee C. M. C., Shleifer A., & Thaler R. H . ( 1991). Investor sentiment and the closed-end fund puzzle. Journal of Finance, 46( 1), 75-109. doi: 10.2307/2328690URL |
| [23] | Mehra R., & Prescott E.C . ( 1985). The equity premium: A puzzle. Journal of Monetary Economics, 15( 2), 145-161. doi: 10.1016/0304-3932(85)90061-3URL |
| [24] | Read D., Loewenstein G., Rabin M., Keren G., & Laibson D . ( 1999). Choice Bracketing. Springer Netherlands. |
| [25] | Reinganum M.R . ( 1983). The anomalous stock market behavior of small firms in January: Empirical tests for tax-loss selling effects. Journal of Financial Economics, 12( 1), 89-104. doi: 10.1016/0304-405X(83)90029-6URL |
| [26] | Samuelson P.A . ( 1965). Proof that properly anticipated prices fluctuate randomly. Industrial Management Review, 6, 41-49. doi: 10.1142/9789814566926_0002URL |
| [27] | Shleifer A. ( 2000). Inefficient markets: An introduction to behavioral finance. Journal of Institutional and Theoretical Economics JITE, 158( 2). doi: 10.1628/0932456022975402URL |
| [28] | Thaler R. H., Tversky A., Kahneman D., & Schwartz A . ( 1997). The effect of myopia and loss aversion on risk taking: An experimental test. Quarterly Journal of Economics, 112( 2), 647-661. doi: 10.1162/003355397555226URL |
相关文章 1
| [1] | 刘力,张峥,熊德华,张圣平. 行为金融学与心理学[J]. 心理科学进展, 2003, 11(3): 249-255. |
PDF全文下载地址:
http://journal.psych.ac.cn/xlkxjz/CN/article/downloadArticleFile.do?attachType=PDF&id=4616
