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From Efficient Markets Theory to Behavioral Finance

机译:从有效市场理论到行为金融

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The collaboration between finance and other social sciences that has become known as behavioral finance has led to a profound deepening of our knowledge of financial markets. In judging the impact of behavioral finance to date, it is important to apply the right standards. Of course, we do not expect such research to provide a method to make a lot of money off of financial market inefficiency very fast and reliably. We should not expect market efficiency to be so egregiously wrong that immediate profits should be continually available. But market efficiency can be egregiously wrong in other senses. For example, efficient markets theory may lead to drastically incorrect interpretations of events such as major stock market bubbles. In his review of the literature on behavioral finance, Eugene Fama (1998) found fault for two basic reasons. The first was that the anomalies that were discovered tended to appear to be as often underreaction by investors as overre-action. The second was that the anomalies tended to disappear, either as time passed or as methodology of the studies improved. His first criticism reflects an incorrect view of the psychological underpinnings of behavioral finance. Since there is no fundamental psychological principle that people tend always to over- react or always to underreact, it is no surprise that research on financial anomalies does not reveal such a principle either. His second criticism is also weak. It is the nature of scholarly research, at the frontier, in all disciplines, that initial claims of important discoveries are often knocked down by later research. The most basic anomaly, of excess volatility, seems hardly to have been knocked down, and it is in fact graphically reinforced by the experience of the past few years in the stock markets of the world. Moreover, the mere fact that anomalies sometimes disappear or switch signs with time is no evidence that the markets are fully rational. That is also what we would expect to see happen even in highly irrational markets. (It would seem peculiar to argue that irrational markets should display regular and lasting patterns!) Even the basic relation suggested by market inefficiency, that stocks whose price is bid up by investors will tend to go back down later, and stocks that are underpriced by investors will tend to go up later, is not a relation that can be easily tested or that should hold in all time periods. The fundamental value of stocks is hard to measure, and, moreover, if speculative bubbles (either positive bubbles or negative bubbles) last a long time, then even this fundamental relation may not be observed except in very long sample periods. In further research, it is important to bear in mind the demonstrated weaknesses of efficient markets theory and maintain an eclectic approach. While theoretical models of efficient markets have their place as illustrations or characterizations of an ideal world, we cannot maintain them in their pure form as accurate descriptors of actual markets. Indeed, we have to distance ourselves from the presumption that financial markets always work well and that price changes always reflect genuine information. Evidence from behavioral finance helps us to understand, for example, that the recent worldwide stock market boom, and then crash after 2000, had its origins in human foibles and arbitrary feedback relations and must have generated a real and substantial misallocation of resources. The challenge for economists is to make this reality a better part of their models.
机译:金融学与其他已被称为行为金融学的社会科学之间的合作,导致我们对金融市场知识的深刻加深。在判断迄今为止行为金融的影响时,应用正确的标准非常重要。当然,我们不希望此类研究提供一种可以非常快速,可靠地从金融市场低效中赚钱的方法。我们不应该期望市场效率如此严重地错误,以至于持续获得即时利润。但是从其他意义上讲,市场效率可能是错误的。例如,有效的市场理论可能导致对诸如主要股市泡沫之类的事件的错误解释。尤金·法玛(Eugene Fama(1998))在对行为金融学的文献综述中发现错误有两个基本原因。首先是发现的异常现象往往与过度反应一样,经常引起投资者的反应不足。第二是随着时间的流逝或研究方法的改进,异常趋于消失。他的第一次批评反映了对行为金融的心理基础的错误看法。由于没有基本的心理学原理,人们往往总是反应过度或反应不足,因此,对金融异常的研究也没有揭示这种原理也就不足为奇了。他的第二次批评也很微弱。在所有学科的前沿,学术研究的本质是,重要发现的最初主张常常被后来的研究推倒。最基本的异常现象,即过度波动,似乎几乎没有被消除,事实上,过去几年在世界股票市场上的经验在图形上得到了加强。此外,异常有时会随着时间消失或切换信号这一事实本身并不能证明市场是完全理性的。即使在高度非理性的市场中,这也是我们期望看到的。 (争论不合理的市场应该表现出规律和持久的模式似乎很奇怪!)即使是市场效率低下所暗示的基本关系,投资者价格上涨的股票也倾向于在以后回落,而价格被股票低估的股票则倾向于下跌。投资者往往会在以后上涨,这不是一个容易测试的关系,也不是在所有时间段内都应保持的关系。股票的基本价值难以衡量,而且,如果投机泡沫(正泡沫或负泡沫)持续很长时间,那么除非在很长的采样期间内,否则就无法观察到这种基本关系。在进一步的研究中,重要的是要牢记有效市场理论所表现出的弱点并保持折衷的方法。尽管有效市场的理论模型可以作为理想世界的图示或特征来使用,但我们不能以其纯粹的形式将其作为实际市场的准确描述。确实,我们必须远离这样的假设,即金融市场始终运转良好,而价格变化始终反映出真实的信息。行为金融的证据有助于我们理解,例如,最近的全球股票市场繁荣,然后在2000年后崩溃,其起源是人类的脆弱性和任意的反馈关系,必定引起了资源的实际和严重的分配错误。经济学家面临的挑战是使这一现实成为他们模型的更好一部分。

著录项

  • 来源
    《The journal of economic perspectives》 |2003年第1期|p.83-104|共22页
  • 作者

    Robert J. Shiller;

  • 作者单位

    National Bureau of Economic Research, Cambridge, Massachusetts;

  • 收录信息 美国《科学引文索引》(SCI);美国《化学文摘》(CA);
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类 各科经济学;
  • 关键词

  • 入库时间 2022-08-17 23:25:57

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