不错

有这类信息应多交流

国内有不少人在研究，彼此缺乏沟通

呵呵，个人觉得闲人斑竹把 Hong 划为华人的“亲戚”还是挺合适的啊，理由如下：

1） 可能不少越南人祖先就是中国去的。

2）王江是Hong 的博士论文导师，这么说来 Harrison Hong 还是咱们华人金融学家的指导过的。

3）Hong 的很多合作者都是华人学者——————Ming Huang、Wei Xiong、Jialin Yu、Joseph Chen。 前3个确定是大陆过去的，第四个应该是个美籍华人。

http://www.hbscny.org/PastEvents/moreHarrisonHong2-19-04.htm

Behavioral Finance: How Investor Irrationality Affects Asset Prices - Princeton Professor Harrison Hong

Princeton Professor of Economics, Harrison Hong, takes a relatively analytical look at fundamentals and applications of behavioral finance as he briefly touches upon Efficient Markets Hypothesis before exploring, at length, the cognitive psychology around the impact of recent investor irrationality on asset prices. He explains, under the current market conditions, how people actually make judgments under uncertainty, the heuristics they utilize, and the confirmatory bias and overconfidence they exude. A behavioral model example will be discussed as will the empirical findings on the behavior of investors and internet stock prices with discussions around what went wrong and where was the smart money. Harrison Hong is a Professor of Economics at Princeton University, where he teaches courses in finance in the undergraduate, masters and PhD programs. Before coming to Princeton in 2002, he was on the finance faculty of Stanford University's Graduate School of Business, most recently as an Associate Professor of Finance. He received his BA in economics and statistics with highest distinction from the University of California, Berkeley in 1992 and his PhD in economics from M.I.T. in 1997. Hong's research has covered a range of topics including: behavioral finance and stock-market efficiency; asset pricing and trading with market imperfections; social interaction and investor behavior; career concerns and herd behavior; mutual funds; and security analysts and investor relations. He is on the editorial board of the Journal of Financial Intermediation and has received various research grants and awards.

This event took place on Thursday, February 19, 2004 at Thomas Weisel Partners, 390 Park Avenue (54th Street), 2nd Floor. It was organized by Hemali Dassani '99

[此贴子已经被作者于2005-6-8 6:05:31编辑过]

http://www.gsb.stanford.edu/news/behavioral_finance.html

STANFORD大学商学院2001年的一篇报道，介绍了黄明和Harrison Hong在Behavioral Finance方面的工作。

News Release

FOR IMMEDIATE RELEASE

FOR FURTHER INFORMATION contact Helen K. Chang, 650-723-3358, Fax: 650-725-6750

December 2001

Behavioral Finance: Where Stock Market Psychology and Pricing Intersect

STANFORD BUSINESS SCHOOL — At the zenith of the dot-com craze when Palm Inc. spun off from parent 3Com Corp., its March 2, 2000, IPO touched off a stampede of over-eager investors elbowing their way into the action. When the dust settled at the end of the day, Palm's worth surpassed its parent, even overtaking such titans as Ford Motor Co. and General Motors Corp. Stock market watchers scratched their heads and wondered why investors didn't run up 3Com stock as a cheaper route to Palm.

"3Com owned 94 percent of Palm," points out Ming Huang, an assistant professor of finance at the Stanford Graduate School of Business who has conducted research in the emerging field of behavioral finance. "Yet Palm was trading so high right after its IPO that 3Com's value was much lower than Palm's. That didn't make any sense."

In academia, financial economists were hard put to explain this and other overheated stock behavior in the frenzied months leading up to the bursting of the dot-com bubble. The highly irrational pricing of Internet stock—especially at IPO—did not square with the traditional approach to the study of financial markets, which assumes that markets are always efficient and participants always rational. The traditional view that "smart money" in the market will take advantage of mistakes and human foibles and thereby drive prices back to equilibrium could not explain the collective faulty judgment of a broad base of investors and their impact on stock prices.

"Financial economists have been aware for a long time that in laboratory settings, humans often make systematic mistakes and choices that cannot be explained by traditional models of choice under uncertainty," says Paul Pfleiderer, the William F. Sharpe Professor of Financial Economics and codirector of the Business School's Financial Management Program. "Until recently, most researchers believed these mistakes or deviations from rationality did not have a significant impact on pricing in the financial markets. Now many of us are willing to entertain the notion that some of the behavioral phenomena uncovered in laboratory settings may affect pricing in financial markets."

The question is: Which behaviors? And more important: How do they affect pricing? These are the issues at the core of behavioral finance.

"The tag 'behavioral finance' is stuck to anything that's an unorthodox approach to finance," says Harrison Hong, an associate professor of finance and a leading voice in the rise of the field's popularity. "The good news is that behavioral finance is at the heart of what finance is all about, and that is: What drives stock prices? What drives investors' decision making? The price part is the key. But that step between investors' psychology and stock prices is a very big, hard leap to make."

Hong and fellow faculty member Huang have been perhaps the most visible agents provocateurs of the finance status quo. "They are at the forefront in developing rigorous models that will give us insight into how deviations from our standard assumptions might have important effects on pricing," says Pfleiderer.

While Hong's research has studied asset pricing from the angle of collective investor beliefs, Huang's research has examined the impact on pricing of investors' preferences toward risk.

"The research my coauthors and I worked on proposed to explain an array of pricing phenomena, or anomalies, by merging the traditional asset pricing approach with some evidence from psychology literature of human beings' preferences when faced with uncertainty-what's called the prospect theory," says Huang. Developed by the late Stanford psychologist Amos Tversky and Daniel Kahneman, the theory demonstrates, among other findings, that people care about changes in financial wealth rather than absolute value, and that they are more sensitive to losses than to gains relative to certain reference points. "For example, when we invest in a stock we tend to remember at what price we bought it," he says. "That affects how we feel toward future risk-taking. In particular, we may be less afraid of stock market risk after having accumulated a lot of prior gains—even if there is a small drop in the stock market, we will still be ahead overall."

Huang and his collaborators specifically studied the effects of such preferences on asset pricing. They showed that their framework can help explain why stock investment returns historically exceed interest rates by 6 percent, and why price-earning ratios tend to fluctuate more widely than can be justified by cash flow news. They also have applied this framework to study the predictability of individual stock returns.

Hong and Jeremy C. Stein of Harvard University have modeled and measured the collective effects of investors' beliefs on asset prices. "Rather than saying, 'investors make errors,' we know it's more accurate to say there are different degrees of rationality," says Hong. "Some people are very rational—the professional money or hedge fund types—while others have limitations in their formation of accurate expectations. What happens when you put these people together and you look at the equilibrium prices that result? My research explores that interaction." Specifically, his research shows that simple models of asset pricing featuring these interactions can efficiently reconcile a number of stock price phenomena such as momentum in stock prices, the overvaluation of IPOs such as that of Palm Inc., and market crashes.

Hong's 1999 study on stock return momentum suggests that past winning stocks continue to perform well, and past losers continue to perform poorly because prices adjust too slowly to information about the company. The research also found that bad news about a company travels slowly and has a less immediate impact than good news on stock prices.

His research in 2000 found that when investors have different opinions about stock valuation and some are short-sales constrained, breadth of ownership in a company's stock is a valuation indicator. In other words, an increase in the number of investors in a stock demonstrates agreement among a broader base of opinions and forecasts higher returns. Conversely, a reduction in the number of investors in a stock forecasts lower returns. An earlier, related study found that within a six-month period, heavy trading volume in a firm's stock signals intense differences in opinion among the firm's investors and presages the stock's crash.

Hong's most recent research tries to understand what determines investors' beliefs or opinions. It tests the idea that stock market participation is influenced by social interaction, or the effects of investors' peer groups. Using data from the Health and Retirement Study administered by the University of Michigan's Institute for Social Research beginning in 1992, Hong and his fellow researchers found that sociable households that either know their neighbors or attend church are substantially more likely to invest in the stock market, all other factors being equal. Moreover, sociability is stronger in geographic areas where stock market participation rates are higher.

"There is a lot of evidence on prices that indicate markets are predictable," says Hong. "Now we're taking steps toward bridging the gap between hypothesis and rigorous, empirical testing. I think that's what behavioral finance is about."

Related Articles: Social Interaction and Stock-Market Participation, Harrison Hong, Jeffrey D. Kubik, and Jeremy C. Stein, GSB Working Paper, June 2001 (PDF version )

Breadth of Ownership and Stock Returns, Joseph Chen, Harrison Hong, and Jeremy C. Stein, Journal of Financial Economics, Forthcoming, 2001

Forecasting Crashes: Trading Volume, Past Returns, and Conditional Skewness in Stock Prices, Joseph Chen, Harrison Hong, and Jeremy C. Stein, Journal of Financial Economics, September 2001

Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies, Harrison Hong, Terence Lim, and Jeremy C. Stein, Journal of Finance, February 2000 (PDF version )

Prospect Theory and Asset Prices, Ming Huang, Nicholas Barberis, Tano Santos, Quarterly Journal of Economics, February 2001 (PDF version )

Mental Accounting, Loss Aversion, and Individual Stock Returns, with Nicholas Barberis, Journal of Finance, Forthcoming, 2001 (PDF version )

上海会计学院的一个EMBA项目，上面有对黄明的介绍。

http://emba.snai.edu/aim.asp

http://emba.snai.edu/teachers.asp

Ming Huang（黄明），康奈尔大学、斯坦福大学博士。斯坦福大学商学院研究生院金融学教授。曾任芝加哥大学商学院教授(1996～1998)。他的研究领域包括行为金融学和资产定价。曾在Journal of Economic Theory, Quarterly Journal of Economics, Journal of Finance和Journal of Political Economy等核心刊物上发表文章。 牐牷平淌诒弧渡桃抵芸》杂志评为全美年度最具潜力博士。在担任芝加哥大学商学院教授第一年就被授予优秀教学奖（该奖项以前从未授予新进教授），2001年他又获得了斯坦福商学院杰出MBA教学奖，并获得"the Yoda of Stanford Business School"美誉，受到MBA学生的热烈欢迎。 牐"The exchange of knowledge and ideas is essential to the development of a modern financial market in China. 牐營 am grateful for the opportunity to be part of this exciting program." Ming Huang 牐"知识和思想的交流对现代中国金融市场发展至关重要。非常荣幸能有机会参与这一令人振奋斩项目，为中国金融发展贡献自己的力量。"--Ming Huang

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商业周刊1996年对顶级商学院挣抢黄明的报道。

http://www.businessweek.com/1996/43/b349810.htm

View items related to this story

http://www.businessweek.com/1996/43/b349811.htm

What some business schools have done to land--or keep--top faculty in the past year

-- COLUMBIA used three of its schools--business, the school of international public affairs, and the college of arts and sciences--to put together a package to woo finance professor Robert Hodrick, his wife--and her ex-husband. They all had been teaching at Northwestern. Because of child-custody arrangements, to get Hodrick, Columbia had to land them all.

-- The UNIVERSITY OF CHICAGO hired an immigration lawyer to argue that newly hired junior finance professor Nicholas Barberis, a native of Britain, was a certified ``genius'' who deserved a special visa from the U.S. government. The school won the case.

-- When Northwestern made a run at CARNEGIE MELLON, finance professor Chester S. Spatt, the Pittsburgh school realized it didn't have the funds to compete. So it raised $500,000 for an endowed chair for Spatt, who stuck around to occupy it.

-- Coveting its neighbor's economist, Columbia offered NEW YORK UNIVERSITY professor David Backus a 70% raise--but Backus stayed put after NYU stepped up with a similar counteroffer.

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有意思的是，芝大当年费那么大劲得到Nicholas Barberis ，可也许因为COCHRANE等人对行为金融不很感冒，Nicholas Barberis 已经转往YALE。

强烈支持！！

有意思的帖子,

这个几个确实比较牛/

其实干什么，干成什么都一样