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一个Prof.的Behavioural Finance知识树，不知道有没有用。贴上来供大家参考。网站里面有具体的下载资料。
[此贴子已经被作者于2004-12-8 23:23:10编辑过]
Behavioural Finance "Behavioral finance is the study of how psychology affects financial decision making and financial markets." SHEFRIN, Hersh (Editor), Behavioral Finance , 2001. 'This area of enquiry is sometimes referred to as "behavioral finance," but we call it "behavioral economics." Behavioral economics combines the twin disciplines of psychology and economics to explain why and how people make seemimgly irrational or illogical decisions when they spend, invest, save, and borrow money.' BELSKY, Gary and Thomas GILOVICH, Why Smart People Make Big Money Mistakes—and how to correct them : lessons from the new science of behavioral economics.
"Behavioral finance is a rapidly growing area that deals with the influence of psychology on the behavior of financial practitioners." SHEFRIN, Hersh, Beyond Greed and Fear : Understanding Behavioral Finance and the Psychology of Investing.
"Behavioral finance is the application of psychology to financial behavior—the behavior of practitioners." SHEFRIN, Hersh, Beyond Greed and Fear : Understanding Behavioral Finance and the Psychology of Investing. "I think of behavioral finance as simply "open-minded finance"." THALER, Richard H. (Editor), Advance in Behavioral Finance, 1993.
Introductory Papers [number in square brackets indicates number of Google results] BARBER, Brad M. and Terrance ODEAN, The Courage of Misguided Convictions, Financial Analysts Journal, November/December 1999. [about 55] "The field of modern financial economics assumes that people behave with extreme rationality, but they do not. Furthermore, people’s deviations from rationality are often systematic. Behavioral finance relaxes the traditional assumptions of financial economics by incorporating these observable, systematic, and very human departures from rationality into standard models of financial markets. We highlight two common mistakes investors make: excessive trading and the tendency to disproportionately hold on to losing investments while selling winners. We argue that these systematic biases have their origins in human psychology. The tendency for human beings to be overconfident causes the first bias in investors, and the human desire to avoid regret prompts the second."
BARBERIS, Nick, B539: AN INTRODUCTION TO BEHAVIORAL FINANCE, WINTER 2001. [2]
BARBERIS, Nicholas and Richard THALER, A Survey of Behavioral Finance, August 2001. [about 192] "Behavioral finance argues that some financial phenomena can plausibly be understood using models in which some agents are not fully rational. The field has two building blocks: limits to arbitrage, which argues that it can be diffcult for rational traders to undo the dislocations caused by less rational traders; and psychology, which catalogues the kinds of deviations from full rationality we might expect to see. We discuss these two topics, and then present a number of behavioral finance applications: to the aggregate stock market, to the cross-section of average returns, to individual trading behavior, and to corporate finance. We close by assessing progress in the field and speculating about its future course."
BONETTI, Shane, Topics in Finance, 2001. [about 8]
BRABAZON, Tony, Behavioural Finance: A new sunrise or a false dawn?, 2000. [4]
CAMERER, Colin F. and George LOEWENSTEIN, Behavioral Economics: Past, Present, Future, 2002. [about 16]
DIMSON, Elroy and Massoud MUSSAVIAN, Market Efficiency, The Current State of Business Disciplines, 2000. [10]
EINHORN, Hillel J. and Robin M. HOGARTH, Decision Making Under Ambiguity, Journal of Business, Volume 59, Issue 4, Part 2: The Behavioral Foundations of Economic Theory (Oct., 1986), S225-S250. [about 89]
FAMA, Eugene F., Market efficiency, long-term returns, and behavioral finance, Journal of Financial Economics, 1998. [about 629] "Market effciency survives the challenge from the literature on long-term return anomalies. Consistent with the market effciency hypothesis that the anomalies are chance results, apparent overreaction to information is about as common as underreaction, and post-event continuation of pre-event abnormal returns is about as frequent as post-event reversal. Most important, consistent with the market effciency prediction that apparent anomalies can be due to methodology, most long-term return anomalies tend to disappear with reasonable changes in technique."
FRANKFURTER, George M. and Elton G. McGoun, Resistance is Futile: The Assimilation of Behavioral Finance. [about 9]
FULLER, Russell J., Behavioral Finance and the Sources of Alpha, 2000, Forthcoming, Journal of Pension Plan Investing, 1998. [about 24]
HIRSHLEIFER, David, Investor Psychology and Asset Pricing Investor Psychology and Asset Pricing, 2001. [about 252] "The basic paradigm of asset pricing is in vibrant flux. The purely rational approach is being subsumed by a broader approach based upon the psychology of investors. In this approach, security expected returns are determined by both risk and misvaluation. This survey sketches a framework for understanding decision biases, evaluates the a priori arguments and the capital market evidence bearing on the importance of investor psychology for security prices, and reviews recent models."
HOGARTH, Robin M. and Melvin W. REDER, Editors' Comments: Perspectives from Economics and Psychology, Journal of Business, 1986. [about 13]
JOHNSSON, Malena, Henrik LINDBLOM and Peter PLATAN, Behavioral Finance - And the Change of Investor Behavior during and After the Speculative Bubble At the End of the 1990s, 2002. [about 2]
KLEIDON, Allan W., Anomalies in Financial Economics: Blueprint for Change?, Journal of Business, 1986. [about 18] "This paper examines the case for major changes in the behavioral assumptions underlying economic models, based on apparent anomalies in financial economics. Arguments for such changes based on claims of "excess volatility" in stock prices appear flawed for two main reasons: there are serious questions whether the phenomenon exists in the first place and, even if it did exist, whether radical change in behavioral assumptions is the best avenue for current research. The paper also examines other apparent anomalies and suggests conditions under which such behavioral changes are more or less likely to be adopted."
MICHAUD, Richard O., The Behavioral Finance Hoax, 2001. [about 13]
MULLAINATHAN, Sendhil, and Richard H. THALER, Behavioral Economics [less than 159] "Behavioral Economics is the combination of psychology and economics that investigates what happens in markets in which some of the agents display human limitations and complications. We begin with a preliminary question about relevance. Does some combination of market forces, learning and evolution render these human qualities irrelevant? No. Because of limits of arbitrage less than perfect agents survive and influence market outcomes. We then discuss three important ways in which humans deviate from the standard economic model. Bounded rationality reflects the limited cognitive abilities that constrain human problem solving. Bounded willpower captures the fact that people sometimes make choices that are not in their long-run interest. Bounded self-interest incorporates the comforting fact that humans are often willing to sacrifice their own interests to help others. We then illustrate how these concepts can be applied in two settings: finance and savings. Financial markets have greater arbitrage opportunities than other markets, so behavioral factors might be thought to be less important here, but we show that even here the limits of arbitrage create anomalies that the psychology of decision making helps explain. Since saving for retirement requires both complex calculations and willpower, behavioral factors are essential elements of any complete descriptive theory."
PATEL, Jayendu, Richard ZECKHAUSER and Darryll HENDRICKS, The Rationality Struggle: Illustrations from Financial Markets, The American Economic Review, 1991. [about 27] "For most economists it is an article of faith that financial markets reach rational aggregate outcomes, despite the irrational behavior of some participants, since sophisticated players stande ready to capitalize on the mistakes of the naive. (This process, which we camm poaching, includes but is not limited to arbitrage.) Yet financial markets have been subject to speculative fads, from Dutch tulip mania to junk bonds, and to occasional dramatic losses in value, such as occurred in October 1987, that are hard to interpret as rational. Descriptive decision theory, especially psychology (see D. Kahneman et al., 1982), can help to explain such aberrant macrophenomena. Here we propose some behavioral explanations of overall market outcomes—specifically of financial flows, that are of considerable practical consequence to both policymakers and finance practitioners.
RABIN, Matthew, A Perspective on Psychology and Economics, Forthcoming, European Economic Review, 2001. [about 130] "This essay provides a perspective on the trend towards integrating psychology into economics. Some topics are discussed, and arguments are provided for why movement towards greater psychological realism in economics will improve mainstream economics."
RABIN, Matthew, Psychology and Economics, 1996. "Because psychology systematically explores human judgment, behavior, and well-being, it can teach us important facts about how humans differ from traditional economic assumptions. In this essay I discuss a selection of psychological findings relevant to economics. Standard economics assumes that each person has stable, well-defined preferences, and that she rationally maximizes those preferences. Section 2 considers what psychological research teaches us about the true form of preferences, allowing us to make economics more realistic within the rationalchoice framework. Section 3 reviews research on biases in judgment under uncertainty; because those biases lead people to make systematic errors in their attempts to maximize their preferences, this research poses a more radical challenge to the economics model. The array of psychological findings reviewed in Section 4 points to an even more radical critique of the economics model: Even if we are willing to modify our familiar assumptions about preferences, or allow that people make systematic errors in their attempts to maximize those preferences, it is sometimes misleading to conceptualize people as attempting to maximize well-defined, coherent, or stable preferences."
RABIN, Matthew, Psychology and Economics, Journal of Economic Literature, Volume 36, Issue 1 (Mar., 1998), 11-46. [about 550]
SALMON, Mark, Behavioural Finance and Market Psychology, 2001. [about 17]
SALMON, Mark, Behavioural Finance and Market Psychology, May 1, 2001. [about 17]
SCHMID, F.A., Behavioral Finance, 2002.
SHILLER, Robert J., Human Behavior and the Efficiency of the Financial System. [about 156] "Recent literature in empirical finance is surveyed in its relation to underlying behavioral principles, principles which come primarily from psychology, sociology and anthropology. The behavioral principles discussed are: prospect theory, regret and cognitive dissonance, anchoring, mental compartments, overconfidence, over- and underreaction, representativeness heuristic, the disjunction effect, gambling behavior and speculation, perceived irrelevance of history, magical thinking, quasimagical thinking, attention anomalies, the availability heuristic, culture and social contagion, and global culture."
THALER, Richard H., The End of Behavioral Finance, Financial Analysts Journal, 1999. [about 60]
Undiscovered Managers, LLC, Introduction to Behavioral Finance, 1999. [about 10]
YARIV, Leeat, Mini-Course in Behavioral Economics. [1]
ZECKHAUSER, Richard, Jayendu PATEL and Darryll HENDRICKS, Nonrational Actors and Financial Market Behavior, 1991. [about 30]
Active Equity Management — "Anomalies", Behavioral Finance, and Efficient Markets [2]
A Bibliography of Behaviourial Finance.
Behavioral Finance.
Behavioral Finance: A Literature Review (in Chinese).
[此贴子已经被作者于2004-12-9 19:02:03编辑过]
多谢楼主,但个人认为,那个总结实在一般.我建议直接查wikipedia.里面要系统得多，而且也要新得多。甚至2008年的成果都在里面了
http://en.wikipedia.org/wiki/Behavioral_finance
Behavioral economics and behavioral finance are closely related fields that have evolved to be a separate branch of economic and financial analysis which applies scientific research on human and social, cognitive and emotional factors to better understand economic decisions by consumers, borrowers, investors, and how they affect market prices, returns and the allocation of resources.
The field is primarily concerned with the bounds of rationality (selfishness, self-control) of economic agents. Behavioral models typically integrate insights from psychology with neo-classical economic theory. Behavioral Finance has become the theoretical basis for technical analysis. [1]
Behavioral analysts are mostly concerned with the effects of market decisions, but also those of public choice, another source of economic decisions with some similar biases towards promoting self-interest.
During the classical period, economics had a close link with psychology. For example, Adam Smith wrote The Theory of Moral Sentiments, an important text describing psychological principles of individual behavior; and Jeremy Bentham wrote extensively on the psychological underpinnings of utility. Economists began to distance themselves from psychology during the development of neo-classical economics as they sought to reshape the discipline as a natural science, with explanations of economic behavior deduced from assumptions about the nature of economic agents. The concept of homo economicus was developed, and the psychology of this entity was fundamentally rational. Nevertheless, psychological explanations continued to inform the analysis of many important figures in the development of neo-classical economics such as Francis Edgeworth, Vilfredo Pareto, Irving Fisher and John Maynard Keynes.
Although psychology had nearly disappeared from economic discussions, during the 20th century there appeared an economic psychology in works of the French Gabriel Tarde[2], the US George Katona[3] and the Hungarian Laszlo Garai [4] Expected utility and discounted utility models began to gain wide acceptance, generating testable hypotheses about decision making under uncertainty and intertemporal consumption respectively. Soon a number of observed and repeatable anomalies challenged those hypotheses. Furthermore, during the 1960s cognitive psychology had begun to shed more light on the brain as an information processing device (in contrast to behaviorist models). Psychologists in this field such as Ward Edwards,[5] Amos Tversky and Daniel Kahneman began to compare their cognitive models of decision making under risk and uncertainty to economic models of rational behavior. In Mathematical psychology, there is a longstanding interest in the transitivity of preference and what kind of measurement scale utility constitutes (Luce, 2000).[6]
An important paper in the development of the behavioral economics and finance fields was written by Kahneman and Tversky in 1979. This paper, 'Prospect theory: An Analysis of Decision Under Risk', used cognitive psychological techniques to explain a number of documented divergences of economic decision making from neo-classical theory. However, 'Theory of Crime' written by Nobel Laureate Gary Becker in 1967 was a seminal work that factored in psychological elements into economic decision making. In tracing the history of behaviourial economics, reference should be made to the theory of Bounded Rationality by Nobel Laureate Herbert Simon who explained how people irrationally and instead of maximizing utility, as generally assumed, tend to be satisfied.
Over time many other psychological effects have been incorporated into behavioral economics, such as overconfidence and the effects of limited attention. Further milestones in the development of the field include a well attended and diverse conference at the University of Chicago,[7] a special 1997 edition of the Quarterly Journal of Economics ('In Memory of Amos Tversky') devoted to the topic of behavioral economics and the award of the Nobel prize to Daniel Kahneman in 2002 "for having integrated insights from psychological research into economic science, especially concerning human judgment and decision-making under uncertainty".[8]
Prospect theory is an example of generalized expected utility theory. Although not commonly included in discussions of the field of behavioral economics, generalized expected utility theory is similarly motivated by concerns about the descriptive inaccuracy of expected utility theory.
Behavioral economics has also been applied to problems of intertemporal choice. The most prominent idea is that of hyperbolic discounting, proposed by George Ainslie (1975), in which a high rate of discount is used between the present and the near future, and a lower rate between the near future and the far future. This pattern of discounting is dynamically inconsistent (or time-inconsistent), and therefore inconsistent with some models of rational choice, since the rate of discount between time t and t+1 will be low at time t-1, when t is the near future, but high at time t when t is the present and time t+1 the near future. As part of the discussion of hypberbolic discounting, has been animal and human work on Melioration theory and Matching Law of Richard Herrnstein. They suggest that behavior is not based on expected utility rather it is based on previous reinforcement experience.
However, very little has changed from what BF Skinner demonstrated about the laws of behavior in the 1940s and 50s. Magnitude, promptness, and schedules of reward or reinforcement are the most powerful forces effecting working Americans.
At the outset behavioral economics and finance theories had been developed almost exclusively from experimental observations and survey responses, although in more recent times real world data have taken a more prominent position. Functional magnetic resonance imaging (fMRI) has complemented this effort through its use in determining which areas of the brain are active during various steps of economic decision making. Experiments simulating market situations such as stock market trading and auctions are seen as particularly useful as they can be used to isolate the effect of a particular bias upon behavior; observed market behavior can typically be explained in a number of ways, carefully designed experiments can help narrow the range of plausible explanations. Experiments are designed to be incentive-compatible, with binding transactions involving real money being the "norm".
There are three main themes in behavioral finance and economics:[9]
Barberis, Shleifer, and Vishny (1998)[10] and Daniel, Hirshleifer, and Subrahmanyam (1998)[citation needed] have built models based on extrapolation (seeing patterns in random sequences) and overconfidence to explain security market over- and underreactions, though the source of misreactions continues to be debated. These models assume that errors or biases are correlated across agents so that they do not cancel out in aggregate. This would be the case if a large fraction of agents look at the same signal (such as the advice of an analyst) or have a common bias.
More generally, cognitive biases may also have strong anomalous effects in the aggregate if there is a social contagion of emotions (causing collective euphoria or fear) and ideas, leading to phenomena such as herding and groupthink. Behavioral finance and economics rests as much on social psychology within large groups as on individual psychology. In some behavioral models, a small deviant group can have substantial market-wide effects (e.g. Fehr and Schmidt, 1999).[citation needed]
Models in behavioral economics are typically addressed to a particular observed market anomaly and modify standard neo-classical models by describing decision makers as using heuristics and being affected by framing effects. In general, economics sits within the neoclassical framework, though the standard assumption of rational behaviour is often challenged.
Prospect theory - Loss aversion - Status quo bias - Gambler's fallacy - Self-serving bias - money illusion
Cognitive framing - Mental accounting - Anchoring
equity premium puzzle - Efficiency wage hypothesis - price stickiness - limits to arbitrage - dividend puzzle - fat tails - calendar effect [11]
Critics of behavioral economics typically stress the rationality of economic agents (see Myagkov and Plott (1997) amongst others). They contend that experimentally observed behavior is inapplicable to market situations, as learning opportunities and competition will ensure at least a close approximation of rational behavior.
Others note that cognitive theories, such as prospect theory, are models of decision making, not generalized economic behavior, and are only applicable to the sort of once-off decision problems presented to experiment participants or survey respondents.
Traditional economists are also skeptical of the experimental and survey based techniques which are used extensively in behavioral economics. Economists typically stress revealed preferences over stated preferences (from surveys) in the determination of economic value. Experiments and surveys must be designed carefully to avoid systemic biases, strategic behavior and lack of incentive compatibility, and many economists are distrustful of results obtained in this manner due to the difficulty of eliminating these problems.
Rabin (1998)[12] dismisses these criticisms, claiming that results are typically reproduced in various situations and countries and can lead to good theoretical insight. Behavioral economists have also incorporated these criticisms by focusing on field studies rather than lab experiments. Some economists look at this split as a fundamental schism between experimental economics and behavioral economics, but prominent behavioral and experimental economists tend to overlap techniques and approaches in answering common questions. For example, many prominent behavioral economists are actively investigating neuroeconomics, which is entirely experimental and cannot be verified in the field.
Other proponents of behavioral economics note that neoclassical models often fail to predict outcomes in real world contexts. Behavioral insights can be used to update neoclassical equations, and behavioral economists note that these revised models not only reach the same correct predictions as the traditional models, but also correctly predict some outcomes where the traditional models failed.[verification needed]
Some central issues in behavioral finance include "Why investors and managers (lenders and borrowers as well) make systematic errors". It shows how those errors affect prices and returns (creating market inefficiencies). It also shows what managers of firms, other institutions and financial players might do to take advantage of market inefficiencies (arbitrage behavior).
Behavioral finance highlights certain inefficiencies and among these inefficiencies are underreactions or overreactions to information, as causes of market trends and in extreme cases of bubbles and crashes). Such misreactions have been attributed to limited investor attention, overconfidence / overoptimism, and mimicry (herding instinct) and noise trading.
Other key observations made in behavioral finance literature include the lack of symmetry (disymmetry) between decisions to acquire or keep resources, called colloquially the "bird in the bush" paradox, and the strong loss aversion or regret attached to any decision where some emotionally valued resources (e.g. a home) might be totally lost. Loss aversion appears to manifest itself in investor behavior as an unwillingness to sell shares or other equity, if doing so would force the trader to realise a nominal loss (Genesove & Mayer, 2001). It may also help explain why housing market prices do not adjust downwards to market clearing levels during periods of low demand.
Benartzi and Thaler (1995), applying a version of prospect theory, claim to have solved the equity premium puzzle, something conventional finance models have been unable to do so far.
Some current researchers in experimental finance use the experimental method, e.g. creating an artificial market by some kind of simulation software to study people's decision-making process and behavior in financial markets.
Some financial models used in money management and asset valuation use behavioral finance parameters, for example:
Critics of behavioral finance, such as Eugene Fama, typically support the efficient market theory (though Fama may have reversed his position in recent years). They contend that behavioral finance is more a collection of anomalies than a true branch of finance and that these anomalies will eventually be priced out of the market or explained by appealing to market microstructure arguments. However, a distinction should be noted between individual biases and social biases; the former can be averaged out by the market, while the other can create feedback loops that drive the market further and further from the equilibrium of the "fair price".
A specific example of this criticism is found in some attempted explanations of the equity premium puzzle. It is argued that the puzzle simply arises due to entry barriers (both practical and psychological) which have traditionally impeded entry by individuals into the stock market, and that returns between stocks and bonds should stabilize as electronic resources open up the stock market to a greater number of traders (See Freeman, 2004 for a review). In reply, others contend that most personal investment funds are managed through superannuation funds, so the effect of these putative barriers to entry would be minimal. In addition, professional investors and fund managers seem to hold more bonds than one would expect given return differentials.
Quantitative behavioral finance is a new discipline that uses mathematical and statistical methodology to understand behavioral biases in conjunction with valuation. Some of this endeavor has been lead by Gunduz Caginalp (Professor of Mathematics and Editor of Journal of Behavioral Finance during 2001-2004) and collaborators including Vernon Smith (2002 Nobel Laureate in Economics), David Porter, Don Balenovich,[13] Vladimira Ilieva, Ahmet Duran,[14] Huseyin Merdan). Studies by Jeff Madura,[15] Ray Sturm[16] and others have demonstrated significant behavioral effects in stocks and exchange traded funds.
The research can be grouped into the following areas:
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