行為金融理論文獻論述(存儲版)
【正文】 體系。而行為金融理論的這些行為偏差假設(shè)，都經(jīng)過其他社會學(xué)科的實證檢驗，換言之，行為金融不但要求結(jié)論合理，而且前提假設(shè)也有其科學(xué)性。Robert J. Shiller（2000）和DeMarzo、Vayanos、Zwiebel（2000）在這方面已做了一些研究，進一步的研究很值得我們?nèi)ネ卣埂?Vol. XXXVI(March): 1146〔15〕 Meir Statman, “Foreign Stocks in Behavioral Portfolios”, Association for Investment Management and Research, 1999〔16〕 Meir Statman, “Behaviorial Finance: Past Battles and Future Engagements”, Association for Investment Management and Research, 1999〔17〕 Meir Statman, “Lottery Players/Stock Traders”, Association for Investment Management and Research, 2002〔18〕 Nicholas Barberis, Richard Thaler, “A Survey of Behavioral Finance”, ?〔19〕 Robert J. Shiller, “Human Behavior and the Efficeincy of the Financial System”, Handbook of Macroeconomics, 1999。 Working Paper〔29〕 Eli Ofek , Matthew Richardson, “The Rise and Fall of Internet Stock Prices”, 2002。 Vol. 48 375–389〔38〕 Stanley E. Zina,b, “Are behavioral assetpricing models structural?”, Journal of Monetary Economics ,49 , 2002, 215–228〔39〕 Barbara S. Poole, “On time: contributions from the social sciences”, Financial Services Review , 9, 2000, 375387〔40〕 George M. Frankfurtera, Elton G. McGounb, aLloyd F. Collete , “Anomalies in finance: What are they and what are they good for?”, International Review of Financial Analysis, 10 , 2001, 407429〔41〕 Werner . De Bondt, “A portrait of the individual investor”, European Economic Review , 42 , 1998, 831844〔42〕 Joseph Chen, Harrison Hong, Jeremy C. Stein, “Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in S tock Prices”, 2000。 Working Paper〔37〕 George M. Frankfurter a, Elton G. McGounb, “Resistance is futile: the assimilation of behavioral Finance”, Journal of Economic Behavior amp。 Working Paper〔27〕 Jeffrey Wurgler, Ekaterina Zhuravskaya, “Does arbitrage flatten demand curves for stocks? ”, 2001。 Working Paper〔11〕 Lawrence A. Cunniingham, “Behavioral Finance and Investor Governance”, Working Paper, 2001〔12〕 Malcolm Baker, Serkan Sanasoglu, “Limited arbitrage in mergers and acquisitions”, Journal of Financial Economics, 2002〔13〕 Mark Mitchell, Todd Pulvino, Erik Stafford, “Limited Arbitrage in Equity Markerts”, 2001。最后，一個更有挑戰(zhàn)的方向是研究金融市場中的信息是如何傳播的、投資者的信念是如何傳播的、人們的注意力如何集中于某一熱點股票，即眾多個體的行為偏差如何產(chǎn)生總體的行為偏差。但是從另一方面來看，正是這些眾多的行為偏差，使行為金融理論有了很大的靈活性，對金融市場中的反?，F(xiàn)象的解釋范圍更大?；诖?，行為金融學(xué)家提出了許多行為金融模型。即使能找到有很好替代關(guān)系的股票，有時可能出現(xiàn)賣空的供給不足。人們對股市產(chǎn)生相似想法是股市過度繁榮或崩潰的基礎(chǔ)。（7）注意力反常（Attention Anomalies）和可得性啟示（Ava
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