行为金融学与股票市场价格反应的研究

PAGEResearchonBehavioralFinanceandtheReactionoftheStockMarketPriceAbstract:Thepricingoffinancialproductsisoneofthecoreissuesstudiedbymodernfinance.Modernfinancetheoryisbasedonsomerelativelystrictassumptions.Althoughitplaysabigroleinanalyzingthevalueoffinancialproducts,somevisionsoffinancialmarketscannotbeexplained.Thispaperdrawsonthemainstreamviewofbehavioralfinance,andtriestoexplainthephenomenonoffinancialmarketpricefluctuationswiththesimplesttheorytoguidepeopletoformcorrectexpectationsforsecuritiespricetrends,improvetherationalityofinvestmentbehavior,andpromotethehealthydevelopmentoffinancialmarkets.Keywords:modernfinance;financialmarket;theory;securitiespricefluctuationINTRODUCTIONModernfinancialtheoryisbasedon\o"资本资产定价模型"capitalassetpricingmodel(\o"CAPM"CAPM)with\o"有效市场假说"effectivemarkethypothesis(\o"EMH"EMH)onthetwocornerstones[1].‌March1952,\o"马柯维茨"Markowitzpublishedapaperentitled"SelectionofPortfolios"intheJournalofFinance.Thestudyexploredtheintrinsicrelevanceofdifferenttypesofsecuritieswithdifferentmovementdirections[2].In1959,hepublishedthebook"SecuritiesPortfolioSelection",whichelaboratedonthebasicprinciplesofsecuritiesportfolio.Theseclassicaltheoriesinherittheanalyticalmethodsandtechniquesofeconomics[3].Theirmodelsandparadigmsarelimitedtothe“rational”analyticalframework,ignoringtheanalysisoftheactualdecision-makingbehaviorofinvestorsalongwith\o"金融市场"financialmarket.Theaccumulationofvariousanomalies,themodelandtheactualdeviationmaketherationalanalysisparadigmofmodernfinancialtheoryfallintoanembarrassingsituation.Onthisbasis,thebehavioralfinancetheoryquietlyemergedinthe1980sandbegantoshaketheauthorityofCAPMandEMH.BEHAVIORALFINANCETHEORYBehavioralfinanceistheinterdisciplinarydisciplinesthatintersectwith\o"金融学"finance、\o"心理学"psychology、\o"行为学"behavioral、\o"社会学"sociologydisciplines,with"limitedrationality"and"limitedarbitrage"asthepillars.Boundedrationalitymeansthatintheshort-term,investorsmayberationalandcorrectinaspecificdecision;butinthelongrun,investorsdonothaveacoordinatedandcontinuousoptimalinvestmentdecision,andtheirinvestmentbehaviorisirrationalandevenwrong.Thetheoryoflimitedarbitragebelievesthatthemarketisimperfectandinvestorsareirrational.Thearbitragebehaviorislimitedandcannotcompletelyorevencorrectthedeviationofmarketprices.Behavioralfinancetheorybelievesthatthemarketpriceisnotonlydeterminedbytheintrinsicvalueofthesecurities,butisalsolargelyinfluencedbythebehavioroftheinvestor'ssubject,thatis,theinvestor'spsychologyandbehaviorhaveasignificantimpactonthepricedecisionsandchangesinthesecuritiesmarket.ExpectationTheoryExpectationtheoryisanimportanttheoreticalbasisforbehavioralfinance.Inthefinancialmarket,expectationsareself-fulfilling,andinvestors'expectationsofthefutureofthemarkethaveadecisiveroleintheformationoffinancialmarketprices.Investors'expectationscangenerallybedividedintotwocategories:adaptiveexpectationsandrationalexpectations.Adaptiveexpectations,ineconomics,meanthatpeople'sexpectationsforthefuturearebasedonthepast(history).Forexample,ifpastinflationishigh,thenonewouldexpectittoremainhighinthefuture.Ininflationtheory,demand-driveninflationdrivenbyinflationandcostisgenerallyconsideredashort-termshock.However,aseriesofshockswillleadpeopletobelievethatinflationisapersistentfeatureoftheeconomy,especiallywhentheimpactishigh.Inthisway,theywillgivethemtheexpectationofhighinflationratesinthefuturetocorrecttheireconomicbehavior.Forexample,theywillbegintoseekgreaterincreasesin(nominal)spending.Thisinitselfcanbeseenasacostpush,causingcompaniestopushuptheirprices,especiallyincompaniesthemselveswithsimilarexpectationsforinflation.Thiswilltriggeranotherroundofpaymentincreases.This,togetherwiththe“priceandwagespiral”,directlycreatesinflationforaneconomy.Thecombinationof“priceandwagespirals”andadaptiveexpectationsreflectsrecentexperiencethathascausedinflationintheeconomy.Thistheoryisequallyapplicableinfinancialmarkets.TheideaofrationalexpectationswasoriginallyproposedbytheAmericaneconomistMuthinthearticle"TheoryofReasonableExpectationsandPriceChanges",whichwasnamedaftertheassumptionthatthesubjectofeconomicbehavioris"reasonable"forfutureevents.Therationalexpectationtheoryisbasedontwopreconditions:(1)Eacheconomicactivist'sexpectationoffutureeventsisrational.(2)Aslongasthemarketmechanismisfullyeffective,thepricesofvariousproductsandproductionfactorswillchangethroughsupplyanddemand,andfinallythesupplyanddemandwillbebalanced,thatis,thepricewillreturntorationality.Investorscanbedividedintoinformationtradersandnoisetradersbecauseofthedifferentlevelsofinformationtheyuse.Informationinvestorsareso-calledrationalinvestors,andnoisetradingisanirrationalinvestor.Inordertomaximizeprofits,short-terminvestorswillignoreinformationrelatedtofundamentalsandfocuson“noise”(errorinformation)thatisindependentofstockvaluebutmayaffectstockpricesandmakethemirrational.Thiskindofbehaviorwillcausepricedistortionintheshortterm,makingrationalinvestorsdonothingintheshort-termmarket.Thisiscalled“noisetrading”.Asearlyasthe1970s,FriedmanandFamadiscussedthelong-standingpossibilityofnoisetradersandtheirimpactonthemarket:theybelievethatwhennoisetradersraisetheinstantaneouspriceofstocksabovetheirtruevalue,rationalarbitrageurwillshortthestockandsuppressthemarketpriceuntilthepricereturnstothevalue.Atthistime,thearbitragebuysthestockatalowpriceandearnsthedifferencebetweenthehighandthelow,whichmakesthenoisetraderobtaintheinvestmentincomelevel.Thearbitrageurswhotradewiththemarelow,sotheeconomicinterestselectionmechanismwillgraduallyeliminatethem.Anotherresultofthisarbitragebehavioristhatanypricedeviationwillbequicklycorrectedbythemarket,andthepriceisalwaysclosetothebasicvalue,whichiscommonlyreferredtoasthemarketselectiontheory.Accordingtothistheory,theroleofnoisetradersintheformationofassetpricesisinsignificantandnegligible.EvenBlack(1986),arepresentativeofthetheoryofnoisetrading,believesthatbecausenoisetradersalwaysbuyhighandselllow,noisetradersasawholewillbelosingmoney.Onthecontrary,arbitrageursarefinanciallystrong.Moreover,themorenoisetransactions,themoreprofitopportunitiesthearbitragehas.DSSWModelIn1990,DeLong,Shleifer,Summers,andWaldmanestablishedtheDSSWmodel,demonstratingthatnoisetraderscangetpositiveexpectedreturnsandthattheirearningsmaybehigherthanarbitrageurs.IntheDSSWmodel,DeLongsummarizethefoureffectsthataffecttheexpectedreturnofnoisetraders:(1)holdmoreeffect,thatis,whennoisetradersholdmoreriskassetsonaverage,itmeansthatthegreatertherisksharetheybear,themorerisktheywillget,themoreexpectedprofitofthenoisetraderwillincrease.(2)pricepressureeffectmeansthatwhennoisetradersaremoreandmoreoptimistic,theiraveragedemandforriskassetswillincrease,whichwillinevitablyleadtoariseinstockprices,sotheyreducetheriskreturnanddifferenceinearningsbetweentheirrelationshipwiththearbitrageurs..(3)buyhighsellloweffectorFriedmaneffect,whichmeansthatbecauseoftheirrationalityofthenoisetraders,theychosethewrongtimetoenterthemarket,buyathighprices,sellatlowprices,andthusformaloss.Noisetraders'investmentmentalityismorevariable,andtheirwrongtimetomarketismoredamagingtotheirearnings.(4)Createspaceeffectmeansthatwhenthenoisetrader'sideaschangemoreandmorefrequently,thepriceriskbecomesmoreandmoreserious.Ifarbitrageurswanttotakeadvantageofthenoisetrader'smistakestomakeaprofit,theymustbearmoreandmorerisks.Becausearbitrageursareriskaverse,asriskincreases,theriskassetstheybuyfromnoisetradersdecrease,andnoisetraderscreatetheirownlivingspace.Theabovefoureffects,themulti-benefiteffectandthespacecreationeffecthelptoincreasetherelativeexpectedreturnofthenoisetrader,whilethepricepressureeffectandthehigh-sellingloweffectwillreducetheexpectedprofitofthenoisetrader.Therefore,whethertheexpectedprofitofthenoisetraderishighorlowdependsonwhichoftheabovetwosetsofeffectshasaclearadvantageundercertainconditions.Ifnoisetradersgenerallybearishonthemarket,thereisnomoregoodeffectatthistime,theiraverageincomewillnotbetoohigh;whennoisetradersaretoooptimisticaboutthemarket,thepricepressureeffectwillincreaseandplayaleadingrole,theyalsowillnotgethighreturns.Onlywhenthedegreeofmarketoptimismismoderate,theeffectsofmoregoodandspacecreateamajorrole,thenoisetraderscanobtainrelativelyhighexpectedreturns,andthemorerisk-avoidinginvestors,thehighaverageincomeofnoisetraders.ThisfindingbyDeLongshowsthatnoisetradersarenotalwayslosingmoneyinthemarket.Ofcourse,theyarenotalwaysprofitable.Whenconditionsaremet,theirexpectedreturnscanbepositiveorevenhigher.Inresponsetothebehaviorofnoisetraders,theoptimalstrategyofrationalinvestorsshouldbetousetheirrationalnotionsofnoisetradersastheirownearning\o"利润"profitopportunity.Theybuywhenthenoisetraderdrivesdownthepriceandthensellitattheoppositeopportunity.Thisstrategyiscalledareversetradingstrategy.Thisreversetradingstrategywillsometimesleadassetpricestoits\o"基本面"fundamentalvalue,butnotalwaysabletoachievethiseffect.Inotherwords,thearbitragestrategyofrationalinvestorsshouldnotexaggeratetheroleofassetsreturningtotheirfundamentalvalues,becauseinmanycases,thefunctionofarbitrageislimited.IntheDSSWmodel,evenintheabsenceoffundamentalrisk,justthebehaviorofthenoisetraderwillputtherationalinvestorsengagedinarbitrageactivitiesatrisk,thuslimitingtheirarbitragefunction.HERDBEHAVIORThe"herdbehavior"infinancialmarketsisaspecialkindofirrationalbehavior.Itmeansthatwhentheinformationenvironmentisuncertain,thebehaviorisinfluencedbyotherinvestors,imitatingothers'decisions,orexcessive.Behaviorsthatrelyonpublicopinionratherthanontheirowninformation.Becausetheherdingbehaviorisarelatedbehaviorinvolvingmultipleinvestmententities,ithasagreatimpactonthestabilityandefficiencyofthemarket,andisalsocloselyrelatedtothefinancialcrisis.Asaresult,herdbehaviorhasattractedwidespreadattentionfromacademia,theinvestmentcommunity,andfinancialregulators.Sorosexplainedhis"herdbehavior"withhisownreflectiontheory.Simplyspeaking,itreferstoaninteractiveinfluencebetweeninvestorsandthemarket.Thetheoreticalbasisisthatitisimpossibleforpeopletocorrectlyunderstandtheworld.Investorsareenteringthemarketwith"prejudice",and"prejudice"isthekeytounderstandingthedynamicsofthefinancialmarket.When“popularprejudice”isonlyaniche,theinfluenceisstillsmall,butthebiasofdifferentinvestorswillhaveagroupinfluenceintheinteractionandwillevolveintoadominantconcept.Because“herdbehavior”peopleoftenabandontheirpersonalinformationtofollowothers,thiswillleadtotheinterruptionofthemarketinformationtransmissionchain.However,thissituationhastwosides:First,the“herdbehavior”hasacertaindegreeofconvergence,whichweakenstheroleofmarketfundamentalsinfuturepricetrends.Whenthereare“herdbehaviors”ininvestmentfunds,manyfundswillbuyandsellthesamestockatthesametime.Thebuyingandsellingpressurewillexceedtheliquiditythatthemarketcanprovide.Theexcessdemandofstockswillhaveanimportantimpactonstockpricechanges.Atthattime,thepricesofthesestockswilldroptoacertainextent;whenthefundnetpurchases,thestockswillrisesharplyinthequarter.Asaresult,thediscontinuityandlargechangesinstockpriceshaveunderminedthestableoperationofthemarket.Second,if“herdbehavior”isbecauseinvestorsrespondquicklytothe