Essays on Behavioral Finance

行为金融学论文

• 批准号: 0214445
• 负责人: Markus Brunnermeier
• 金额: $ 17.61万
• 依托单位: Princeton University
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 2002
• 资助国家: 美国
• 起止时间: 2002-08-01 至 2006-07-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=0214445&HistoricalAwards=false
• 关键词: Essays; Behavioral; Finance

This research contributes to the two central tenets of behavioral finance: limits to arbitrage by professional traders, and cognitive biases of individual investors. It consists of three projects. The first project provides an innovative explanation for the persistence of mispricing by highlighting the difficulty professional traders face in synchronizing their corrective trading activity. Price correction is delayed because no individual trader wants to trade early if others decide to postpone their trade. In this setting, behavioral traders (whose trading is driven by psychological factors) will have an effect on the price process because their actions are not immediately undone by professional traders. The second project looks at a special form of mispricing: a growing bubble. It is an experimental study that tests the prediction that rational arbitrageurs would rather ride a bubble than trade against it. This project also attempts to analyze the extent to which market transparency of order flow and trading volume affects the persistence of mispricing. The novelty of this laboratory experiment is that, in contrast to the previous literature, we expect that bubbles will not die away even after subjects have become more familiar with the game. The third project explicitly models some behavioral biases. The study provides a new microfoundations based explanation for the "disposition effect" which states that individual investors are reluctant to realize losses. The study will show that this reluctance follows naturally for individuals with time-inconsistent preferences over capital gains and losses. The advantage of our approach is that it is more parsimonious and hence is easier to test.This research has significant normative implications. Mispricing in general, and bubbles in particular, are not only responsible for the redistribution of billions of dollars, but their bursting causes market uncertainty and can even lead to recessions. The recent technology bubble on the NASDAQ market is a vivid reminder of these risks. The proposed projects will enhance the state of our knowledge by scrutinizing rational and psychological forces that drive financial markets and by highlighting the importance of transparency of trades.

这一研究有助于行为金融学的两个核心原则：专业交易者的套利限制和个人投资者的认知偏差。它由三个项目组成。第一个项目通过强调专业交易者在同步纠正交易活动时面临的困难，为错误定价的持久性提供了一个创新的解释。价格调整延迟是因为如果其他人决定推迟交易，没有个人交易者愿意提前交易。在这种情况下，行为交易者（其交易是由心理因素驱动的）将对价格过程产生影响，因为他们的行为不会立即被专业交易者撤销。第二个项目着眼于一种特殊形式的错误定价：不断扩大的泡沫。这是一项实验性研究，旨在检验理性套利者宁愿乘风破浪、也不愿逆泡沫而动的预测。本项目还试图分析订单流和交易量的市场透明度在多大程度上影响错误定价的持久性。这个实验室实验的新颖之处在于，与之前的文献相反，我们预计即使在受试者对游戏更加熟悉之后，泡沫也不会消失。第三个项目明确地模拟了一些行为偏见。该研究为个人投资者不愿实现损失的“处置效应”提供了一种新的基于微观基础的解释。这项研究将表明，对于那些对资本收益和损失有时间不一致偏好的人来说，这种不情愿是自然而然的。我们的方法的优点是它更简洁，因此更容易测试。本研究具有重要的规范意义。一般来说，错误的定价，尤其是泡沫，不仅要为数十亿美元的再分配负责，而且它们的破裂会造成市场的不确定性，甚至可能导致经济衰退。最近纳斯达克市场上的科技泡沫生动地提醒了人们这些风险。拟议中的项目将通过审视驱动金融市场的理性和心理力量，以及强调交易透明度的重要性，提高我们的知识水平。