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Subject [Gump Wiki] Update of "pttuanzhang" by pttuanzhang
Date Sat, 03 Jul 2010 08:49:13 GMT
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Traditional financial theory is based on managers, investors fully rational and "efficient
market hypothesis" (EMH) on the basis, but 80 years after the beginning of the 20th century,
there has been a lot of the "efficient market hypothesis" in contradiction of market vision,
typical are: ① scale. Banz found that large stocks of small companies easier access to the
company's stock higher rate of return. Size of the company is well known on the market information,
in accordance with the "efficient market hypothesis", to take this information should not
obtain excess returns. Therefore, this finding greatly impact the "efficient market hypothesis."
② During the effect. French, Gibbons, Hess's research shows that stock returns on Monday
is usually negative, while the yield on Friday was significantly higher than the other trading
days within a week, so you can come to share in certain time transaction can obtain excess
returns, which is obviously the "efficient market hypothesis" does not match. ③ contrarian
investment strategy. Economists found that a stock of concern affecting the degree of change
in stock price, so investors can take a "contrarian" strategy to obtain excess returns, a
stock level of concern is the market public information, is clearly efficient market hypothesis
can not explain this strategy. Behavioral finance theory emphasizes the reality of the investors
and managers are not fully rational, markets are not fully effective, in this true rules through
to the investors and managers Jueceguocheng the inquiry, make up the traditional financial
theory in the Zhi Dao business practice deficiencies. 
    Second, behavioral finance theory of the main content 
    1, behavioral asset pricing theory 
    Investors are not entirely based on rational, Shefrin, Statman (1994) presented behavioral
asset pricing theory (BAPM, Behavioral AssetPricing Model), caused widespread concern. BAPM
pointed out that the financial markets in addition to the traditional CAPM in strict accordance
with the information asset portfolio outside traders, there are not sorted in the traditional
CAPM Xingshi noise traders, their information is not sufficient, will be guilty of a variety
of cognitive errors. Financial asset prices jointly determined by these two types of investors:
those who currently play a leading role in the market, the market is efficient; the other
hand, the market is inefficient. 
    2, Behavioral Portfolio Theory 
    Is generally believed that modern portfolio theory was Markowitz (Markowitz, 1952) the
"portfolio selection" (portfolio Seleetion) article. Development has at least the following
three constraints: (l) the limitations of hypothetical reasonable person. Evidence has shown
that people with a lot of irrational factors, investors in the various cognitive biases play
an important role in investment decisions. 
    (2) investor attitude towards risk assumed limitations. Mean variance model assumes that
the investor aversion to risk, their risk attitude is always the same, but in reality we can
see that people buy insurance, purchase of lottery tickets, the two apparently inconsistent
risk preferences. 
    The limitations of modern portfolio theory led scholars to find a better solution, especially
individual investors, based on the theory of behavioral and psychological characteristics,
and behavioral finance theory is such an idea. Behavioral finance scholars Shefrin, Statman
(2000) proposed a behavioral portfolio theory (BPT, BehavioralPortfolio Theory). 
    BPT in two model: a single account acts portfolio theory (BPT 1 SA) and the behavior of
multiple accounts portfolio theory (BPT an MA). S heleifer, Statman (2000) pointed out that
the investor has two mental accounts, corresponding to high and low expectations, both on
behalf of investors want to avoid poverty, they want to become rich look. BPT that investors
will consider the expectations of wealth through an integrated, investment security and growth
potential of desire, expectation levels and meet expectations of the probability of the five
factors to choose their optimal combination. This, BPT is even close to the actual investment
    Third, behavioral finance theory to explain the vision of the stock market 
    1, Equity Premium Puzzle 
    Through the stock market stock and bond investment yield is observed that the historical
average equity returns relative to bonds to be much higher. But relative to bonds, the people's
investment in the stock is very little, a phenomenon known as the "equity premium puzzle"
(M ehraandpreseott, 1985). Behavioral finance theory, investors are "loss aversion", the loss
of the pain will need more income to compensate. When they suffer the loss of short-term stock
investments, the loss aversion will lead to long-term rate of return most investors to abandon
stocks in turn invest in bonds and stable rate of return  []   
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