论行为金融理论对有效市场假说的挑战.doc

论行为金融理论对有效市场假说的挑战摘 要有效市场假说被认为是现代金融理论的基石，它充分反映了现代金融理论的研究脉络Shleifer (2000)总结认为有效市场假说建立在以下三个不断弱化的假设条件上：投资者是理性的，也就是说可以理性地评估证券价格；即使部分投资者是非理性的，由于他们交易的随机性，能彼此抵消对证券价格的影响；若部分投资者的非理性行为存在系统性，他们造成的价格偏差会由理性套利者通过无风险套利纠正然而，随着金融市场上各种异常现象的频繁出现以及心理学等相关科学的发展，传统的“理性人”假定已经无法解释现实的经济生活与行为越来越多的研究人员开始尝试从实验心理的角度来研究经济行为问题，试图以此来修正有效市场假说在这种情况下，行为金融理论开始悄然兴起行为金融理论突破了现代金融理论研究的窠臼，以心理学的研究成果为依据，从投资者的实际决策心理出发，重新审视主宰金融市场的人的因素对市场的影响，对原有的理性框架进行了深刻的反思本文的总体思路是将行为金融理论对应在有效市场假说的研究框架之中，通过两者在理论和实践两个方面的对比研究，系统地介绍和说明行为金融理论的主要研究成果和理论特点，在此基础上对行为金融理论和有效市场假说的分歧进行思考。

理论上，行为金融理论针对有效市场假说的上述三个假设分别提出置疑：(1)投资者的有限理性投资者存在认知偏差，对不确定条件下的各种未知变量的概率判断并不符合贝叶斯规则；其实际决策行为并不是遵守预期效用原则，而是系统地违背了预期效用理论的几大公理2)非理性交易存在系统性无论是个人投资者还是机构投资者的非理性投资行为都体现出很大程度的从众性和相关性，进一步可以说他们的非理性投资行为存在系统性3)套利的有限性现实中的套利是有风险的，基金经理与出资者之间的委托代理关系以及许多现实因素制约着套利行为，因而理性套利并不是完全的 实践上，大量的实证研究和观察结果表明，证券市场存在许多有效市场假说无法解释的“异象”，如股票溢价之谜、波动性之谜、小市值效应、新股谜团等行为金融理论从投资者行为出发，从心理学角度对证券市场进行研究，解释了很多异象，对有效市场假说提出了挑战 通过对行为金融理论和有效市场理论的对比研究，文章最后总结指出：行为金融理论在研究范式、研究方法、理论内容三个方面对现代金融理论进行了创新；与现代金融理论逐步融合将是行为金融理论未来的发展方向；建立统一框架、完善模型构建、扩展研究范围、重视理论深度是行为金融理论有待进一步研究的几个可能方向。

关键词：行为金融理论 有效市场假说 有限理性 异象 有限套利On the challenge to EMH brought by behavioral finance theoryABSTRACTEfficient Market Hypothesis is considered to be a significant part of the foundation of the modern finance theory, and it well demonstrates the researching pattern of the modern finance theory. Shleifer (2000) concluded that EMH is built on three theoretical hypothesis one weaker after the former. 1 Investors are rational. In other words, they can evaluate the prices of securities rationally. 2 Even if some of the investors are irrational, their behaviors are random and have no effects on the market. 3 If some investors’ behaviors are systemic, the rational arbitragers will correct the deviations on price cause by those irrational investors. Along with the unceasingly appearances of anomalies in the financial market and the developments in psychology and some other relative subjects, the “rational person” hypothesis had been no longer suitable to explain what real happened in the market. More and more researchers started trying to study market behaviors through experimental psychology ways in attempting to correct the EMH. Under this circumstance, behavioral finance theory gradually went on its way. Behavior finance theory has broken the set researching pattern of modern finance theory. Taking the psychological findings as its basis, Behavior finance theory started from investor's actual decision-making process, reconsidered the impacts of the real investing behaviors on the market, rethought profoundly about the original rational frame.This dissertation aims at putting behavioral finance theory in the EMH researching frame, systematically introducing and explaining behavior finance theory and its theoretical achievements and characteristics through the contrasts of the two theories both in theoretic and realistic aspects, then concluding on the divergences of the two theories.On the theoretic base, behavioral finance theory challenged all the three EMH hypotheses above.1 Investors are rational in limitations. They make mistakes because of their cognitive deviations, and the probability judgments they achieve under uncertain conditions don’t follow Beyes Rules. The real decision-making process doesn’t abide by expected utility rule while systematically against with many of its main theorems. 2 The irrational invest behaviors are systematical. Either individual investors’ or even institutional investors’ behaviors are highly related and similar, we conclude further that their irrational behaviors are systematical. 3 Limits on arbitrage. Because arbitrage in practice is risky, and in considering of the entrust-agent relationship between sponsor and fund manager and some practical facts that constrain arbitrage behavior, rational arbitrage won’t be complete.On the practical base, enormous experimental research and obtained data suggested that there were huge mounts of so called “anomalies” which can’t be explained by EMH theory, such as premium puzzle, over-fluctuation puzzle, little company effects, new IPO puzzle, and est. The behavioral finance theory which started from studying investor’s behavior and took the psychological viewpoint in researching of stock market, explained those anomalies, put forward a strong challenge on EMH.Through comparative study on behavioral finance theory and EMH, this article summary as follow: 1 Behavioral finance theory renovated modern financial theory in researching regime, method, and content. 2 Emerging with modern financial theory is the future direction of behavioral finance theory. 3 Building identical frame, enhancing mode contraction, enlarging researching scope, treasuring theoretical depth would be possible aims of further endeavor.KEYWORDS: behavioral finance theory EMH limited rationality anomalies limited arbitrage目 录第一章 引 言 .............................................11.1 研究的背景与意义。