Chp5-2－资本市场上的投资者心理

August3,2001InvestorPsychologyinCapitalMarkets:EvidenceandPolicyImplicationsContents1Introduction12TheBehaviorofInvestorsandSecurityAnalysts52.1Investors....................................62.2SecurityAnalysts...............................103DoInvestorBiasesAffectAssetPrices?123.1PredictabilityofAssetandSecurityReturns................143.1.1CAPMBeta..............................153.1.2OtherRiskMeasures.........................163.1.3PriceandComparisonMeasures...................173.1.4MomentumandLong-RunReversal.................253.1.5PrivateSignalsandPublicNewsEvents..............283.1.6MutualFundPerformance......................323.1.7AnalystForecastsandRecommendations..............333.1.8ReactionstoShiftsinFundamentalValueMeasures........343.1.9Short-Sales..............................373.1.10FeelingsandSecuritiesPrices....................373.2TheAbilityofMarketstoDisentangleRelevantandIrrelevantSignals..373.3EquityPremium,RiskfreeRateandPredictabilityPuzzles........403.4EfficiencyofMarketInformationAggregation...............423.5TheEffectofInvestorBiasesonRiskSharing,ConsumptionandInvestment434DoFirmsExploitInvestorBiases?454.1PossibleResponsestoMispricing......................454.2DoFirmsTrytoMisleadInvestors?.....................455InvestorandAnalystCredulity:CausesandConsequences476PsychologyandPolicy:BasicIssues517ReportingStandardsandDisclosureRegulation568LimitingFreedomofAction639Conclusion66August3,2001CommentsWelcomeInvestorPsychologyinCapitalMarkets:EvidenceandPolicyImplicationsKentDaniela,DavidHirshleifer∗,b,andSiewHongTeohbaKelloggSchoolofManagement,NorthwesternUniversity,Evanston,IL60208-2006andNationalBureauofEconomicResearch,Cambridge,MA02138,USAbFisherCollegeofBusiness,TheOhioStateUniversity,Columbus,OH43210-1144,USA;Abstract:Wereviewevidenceabouthowpsychologicalbiasesaffectinvestorbehaviorandprices.Systematicmispricingprobablycausessubstantialresourcemisallocation.Wear-guethatlimitedattentionandoverconfidencecauseinvestorcredulityaboutthestrategicincentivesofinformedmarketparticipants.However,individualsaspoliticalparticipantsremainsubjecttothebiasesandself-interesttheyexhibitinprivatesettings.Indeed,correctingcontemporaneousmarketpricingerrorsisprobablynotgovernment’srelativeadvantage.Governmentandprivateplannersshouldestablishrulesandproceduresexantetoimprovechoicesandefficiency,includingdisclosure,reporting,advertising,anddefault-option-settingregulations.Especially,governmentshouldavoidactionsthatex-acerbateinvestorbiases.KeyWords:investorpsychology,capitalmarkets,policy,accountingregulation,dis-closure,behavioralfinance,behavioraleconomics,marketefficiencyJELClassification:G12,G14,G18,G28,G38,M41∗CorrespondingAuthor:Prof.DavidHirshleifer,FisherCollegeofBusiness,TheOhioStateUniversity,740AFisherHall,2100NeilAvenue,Columbus,OH43210-1144;Telephone:[phone];Fax:[phone];Email:hirshleifer2@@cob.osu.edu.ThissurveywaswrittenforpresentationattheCarnegie/RochesterConferenceSeriesinPublicPolicyattheUniversityofRochester,Rochester,NY,April2001.WethankPerKrussell,MarlysLipe,LindaMyers,AnthonyNikias,GregSommers,theFisherCollegeofBusinessbrownbagempiricalaccountingseminaratOhioStateUniversity,andespe-ciallythediscussant,JeffreyWurgler,forveryhelpfulsuggestionsandcomments,andSeongyeonLimandYingleiZhangforableresearchassistance.1IntroductionIn1913,JohnD.Watsonintroducedbehaviorism,aradicalnewapproachtopsychol-ogy.Heheldthattheonlyinterestingscientificissuesinpsychologyinvolvedthestudyofdirectobservablessuchasstimuliandresponses.Hefurtherarguedthattheenvi-ronmentratherthaninternalproclivitiesdeterminebehavior.BehaviorismwaslaterdevelopedbyB.F.Skinnerinwhataimedtobeamorerigorousapproachtopsychology.Skinnerandhisfollowershadahighlyfocusedresearchagendawhichexcludednotionssuchas“thought,”“feeling,”“temperament,”and“motivation.”Skinnerdeniedthemeaningfulexistenceofsuchinternalcognitiveprocessesorstates.Basedprimarilyonexperimentsonratsandpigeons,hearguedthatallhumanbehaviorcouldbeexplainedintermsofconditioningbymeansofreinforcementorassociation(operantinstrumentalconditioningorclassicalconditioning).Inretrospectitisastonishing,butfordecades(1940-60s)behaviorismwaspervasiveanddominantinacademicpsychologyintheU.S..Contraryevidencewasdownplayedorreinterpretedwithintheparadigm.Eventually,however,acombinationofevidenceandcommonsenseledtothe“cognitiverevolution”inexperimentalpsychology,whichreinstatedinternalmentalstatesasobjectsofscientificinquiry.Thisepisodeexemplifiesacommonpatternofinnovation,overreaching,andlong-horizoncorrectioninthesoftsciences.FreudianpsychologyandKeynesianmacroeco-nomicsprovideotherexamples.Agenuineinnovationisinterpretedeithertoodogmati-callyortooelastically(orboth!)byenthusiasts,isextendedbeyonditsrealmofvalidity,yetdominatesdiscoursefordecades.Indeed,suchpatternsseemcommoninintellectualmovementsofmanysorts.Infinancialeconomics,themostsalientexampleistheefficientmarketshypothesis.Theefficientmarketshypothesisreflectstheimportantinsightthatsecuritiespricesareinfluencedbyapowerfulcorrectiveforce.I