金融市場(chǎng)上的羊群行為【外文翻譯】

1、<p><b>　　本科畢業(yè)論文外文</b></p><p>　　外文題目： Herd Behavior in Financial Market </p><p>　　出 處 IMF Staff Papers Vol.47,No.3

2、 </p><p>　　作 者： Sushil Bikhchandani and Sunil Sharma </p><p>　　原 文： Herd Behavior in Financial Markets</p><p>　　This paper provid

3、es an overview of the recent theoretical and empirical research on herd behaveior in financeial maekets.It looks at what precisely is meant by hearding,the causes of herd behaveior,the successs of exisiting studies in id

4、entifying the phenolmenon,and the effect that herding has on financeial markets. </p><p>　　In the aftermath of several widespread financial crises, “herd” has again become a pejorative term in the financial

5、lexicon. Investors and fund managers are portrayed as herds that charge into risky ventures without adequate information and appreciation of the risk-reward trade-offs and, at the first sign of trouble, flee to safer hav

6、ens. Some observers express concern that herding by market participants exacerbates volatility, destabilizes markets, and increases the fragility of the financial s</p><p>　　For an investor to imitate others

7、, she must be aware of and be influenced by</p><p>　　others’ actions. Intuitively, an individual can be said to herd if she would have</p><p>　　made an investment without knowing other investors

8、’ decisions, but does not</p><p>　　make that investment when she finds that others have decided not to do so.</p><p>　　Alternatively, she herds when knowledge that others are investing changes h

9、er</p><p>　　decision from not investing to making the investment.</p><p>　　There are several reasons for a profit/utility-maximizing investor to be influenced into reversing a planned decision a

10、fter observing others. First, others may know something about the return on the investment and their actions reveal this information. Second, and this is relevant only for money managers who invest on behalf of others, t

11、he incentives provided by the compensation scheme and terms of employment may be such that imitation is rewarded. A third reason for imitation is that individual</p><p>　　When investors are influenced by oth

12、ers’ decisions, they may herd on an investment decision that is wrong for all of them. Suppose that 100 investors each have their own assessments, possibly different, about the profitability of investing in an emerging m

13、arket. For concreteness, suppose that 20 of the investors believe that this investment is worthwhile and the remaining 80 believe that it is not.Every investor knows only her own estimate of the profitability of this inv

14、estment;she does not kno</p><p>　　The above example illustrates several aspects of information cascades or herd behavior arising from informational differences. First, the actions (and the assessments) of in

15、vestors who decide early may be crucial in determining which way the majority will decide. Second, the decision that investors herd on may well be incorrect. Third, if investors take a wrong decision, then with experienc

16、e and/or the arrival of new information, they are likely to eventually reverse their decision starting a he</p><p>　　According to the definition of herd behavior given above, herding results from an obvious

17、intent by investors to copy the behavior of other investors. This should be distinguished from “spurious herding” where groups facing similar decision problems and information sets take similar decisions. Such spurious h

18、erding is an efficient outcome whereas “intentional” herding, as explained in Section I, need not be efficient. But it needs pointing out that empirically distinguishing “spurious herding” f</p><p>　　Fundame

19、ntals-driven spurious herding out of equities could arise if, for example, interest rates suddenly rise and stocks become less attractive investments.Investors under the changed circumstances may want to hold a smaller p

20、ercentage of stocks in their portfolio. This is not herding according to the definition above because investors are not reversing their decision after observing others. Instead, they are reacting to commonly known public

21、 information, which is the rise in interest rates.</p><p>　　Spurious herding may also arise if the opportunity sets of different investors differ. Suppose there are two groups of investors who invest in a co

22、untry’s stock market—domestic (D) and foreign (F) investors. Due to restrictions on capital account convertibility in this country, type D individuals invest only in Sd, the domestic stock market, and in Bd, the domestic

23、 bond market. Type F individuals invest in Sd, Bd, and also in Sf, a foreign country’s stock market and Bf, the foreign bond market. </p><p>　　Other causes of intentional herding include behavior that is not

24、 fully rational(and Bayesian). Recent papers on this topic include DeLong, Shleifer, Summers,and Waldman (1990); Froot, Scharfstein, and Stein (1992); and Lux and Marchesi(1999). In this review, we do not discuss models

25、of herd behavior by individuals who are not fully rational except to note that one type of herd behavior—use of momentum-investment strategies—has been documented in the literature (see, for example, Grinblatt, Titma<

26、/p><p>　　In this paper we provide an overview of the recent theoretical and empirical research on rational herd behavior in financial markets. Specifically, we examine what precisely is meant by herding, what a

27、re possible causes of rational herd behavior, what success existing studies have had in identifying it, and what effect such behavior has on financial markets. In Section I, we discuss how imperfect information, concern

28、for reputation, and compensation structures can cause herding.</p><p>　　Intentional herding may be inefficient and is usually characterized by fragility and idiosyncrasy. It can lead to excess volatility and

29、 systemic risk.6 Therefore, it is important to distinguish between true (intentional) and spurious (unintentional)herding. Furthermore, the causes of investor herding are crucial for determining policy responses for miti

30、gating herd behavior. How does one empirically distinguish between informational, reputation-based, and compensation-based herding?One approach w</p><p>　　A financial asset bought by one market player must b

31、e sold by another.Therefore, all market participants cannot be part of a “buying herd” or a “selling herd.” To examine herd behavior, one needs to find a group of participants that trade actively and act similarly. Such

32、a group is more likely to herd if it is sufficiently homogenous (each member faces a similar decision problem), and each member can observe the trades of other members of the group. Also, such a homogenous group cannot b

33、e too la</p><p>　　It is unlikely that investors observe each other’s holdings of an individual stock soon enough to change their own portfolios. There is therefore little possibility of intentional herding a

34、t the level of individual stocks. One is more likely to find herding at the level of investments in a group of stocks (stocks of firms in an industry or in a country) after the impact of fundamentals has been factored ou

35、t.</p><p>　　Manski (2000) provides an accessible survey of the state of empirical research on social interactions, and the difficulty of drawing inferences about the nature of an interaction process from obs

36、ervations on its outcomes. He argues that structural analysis of markets remains a subtle inferential problem and econometric methods do not—indeed cannot—resolve the basic identification problem. The data commonly broug

37、ht to bear to study such interactions has only limited power to distinguish among alt</p><p>　　本科畢業(yè)論文外文翻譯</p><p>　　外文題目： Herd Behavior in Financial Market </p>&

38、lt;p>　　出 處 IMF Staff Papers Vol.47,No.3 </p><p>　　作 者： Sushil Bikhchandani and Sunil Sharma </p><p>　　譯 文

39、： 金融市場(chǎng)上的羊群行為</p><p>　　本文綜述了近年來(lái)在金融市場(chǎng)上的羊群行為的理論和實(shí)證研究。它著眼于羊群行為確切是什么意思，羊群行為的原因，以及現(xiàn)存的有關(guān)市場(chǎng)現(xiàn)象確認(rèn)羊群行為對(duì)金融市場(chǎng)的影響的成功研究。</p><p>　　在經(jīng)歷了幾次嚴(yán)重的金融危機(jī)之后，“羊群行為” 再一次成為金融學(xué)字典中令人“鄙視”的術(shù)語(yǔ)。投資者和基金經(jīng)理被人們描繪成具有羊群行為：他們?cè)跊](méi)有充

40、足的信息及對(duì)風(fēng)險(xiǎn)回報(bào)進(jìn)行合理的評(píng)估的情況下就貿(mào)然進(jìn)行風(fēng)險(xiǎn)投資，而一遇到問(wèn)題，又馬上逃到更加安全的避難所。一些研究人員表示，市場(chǎng)參與者的這種羊群行為加劇了市場(chǎng)的波動(dòng)，破壞了市場(chǎng)的穩(wěn)定，使金融體系變得更加脆弱，這正是他們所擔(dān)心的。這就引發(fā)了關(guān)于為什么追求利潤(rùn)最大化的投資者在面對(duì)相似的信息時(shí)會(huì)在同一時(shí)間做出相同的反應(yīng)？這種行為是相對(duì)透明的市場(chǎng)規(guī)則的一部分，還是另有原因?</p><p>　　對(duì)于投資者而言，模仿別人，她

41、必須做到心中有數(shù)，并且被別人的行為所影響。直觀地說(shuō),如果一個(gè)人在不知道其他投資者的決定而作出投資決策,但當(dāng)她發(fā)現(xiàn)其他人決定不這么做的時(shí)候而不選擇投資，那么這個(gè)人可以被稱(chēng)為羊群。另外，當(dāng)別人在投資變動(dòng)她的決定從不投資到作出投資決策時(shí)，她就被羊群化了。</p><p>　　這里有一些原因關(guān)于利潤(rùn)/效用最大化的投資者在留心別人的計(jì)劃后改變自己的決定。首先，其他人可能知道一些關(guān)于投資的回報(bào)和他們的行為泄露信息的情況。第二

42、,這只和投資基金管理者們?yōu)閯e人的利益投資,這一激勵(lì)計(jì)劃提供的條件和補(bǔ)償計(jì)劃就業(yè)可能是這樣的：模仿是獎(jiǎng)勵(lì)的激勵(lì)機(jī)制等有關(guān)。第三個(gè)原因個(gè)人可能有一種內(nèi)在固有的偏愛(ài)。</p><p>　　當(dāng)投資者們都受到別人的決定的影響，他們可能為所有的羊群作了一個(gè)錯(cuò)誤的投資決定。假設(shè)市場(chǎng)上有100投資者，對(duì)一項(xiàng)在新興市場(chǎng)上的投資機(jī)會(huì)有不同的選擇。具體來(lái)說(shuō)，假設(shè)其中20個(gè)投資商認(rèn)為這個(gè)投資有利可圖，而其余80則持相反觀點(diǎn)。每一個(gè)投資者

43、只知道自己對(duì)這項(xiàng)投資的利潤(rùn)的估計(jì)；她不知道別人的評(píng)估方式或他們大部分是怎么偏愛(ài)傾向的。如果將這些投資者掌握的信息和他們的評(píng)估集中起來(lái)，他們就會(huì)普遍地認(rèn)為這項(xiàng)投資是不明智的。然而你實(shí)際上，他們并沒(méi)有分享信息和相互評(píng)估。此外,這100投資者并不需要在同時(shí)進(jìn)行投資決策。假設(shè)的最初進(jìn)行決策的投資者來(lái)自那20個(gè)樂(lè)觀投資者，那么他們就會(huì)進(jìn)行投資。那么那80個(gè)悲觀的投資者可能改變自己的想法轉(zhuǎn)而投資。反過(guò)來(lái)，這可能就形成了滾雪球效應(yīng)，導(dǎo)致100個(gè)投資者

44、中的大多數(shù)在新興市場(chǎng)投資。之后，當(dāng)投資者發(fā)現(xiàn)這的確是一項(xiàng)無(wú)利可圖的投資時(shí)，這些投資者將會(huì)退出市場(chǎng)。</p><p>　　從信息的差額來(lái)看，上面的例子說(shuō)明了信息通路或羊群行為的若干方面。首先，早期投資者的決策直接影響著整體的最終決策。第二，人們蜂擁跟進(jìn)的決策很可能是不正確的。第三，如果投資者采取一個(gè)錯(cuò)誤的決定，然后隨著經(jīng)驗(yàn)或新的信息的到來(lái)，他們很可能又成群地跟進(jìn)，采取相反方向的決策，這樣反過(guò)來(lái)又加劇了市場(chǎng)的波動(dòng)性。

45、</p><p>　　根據(jù)羊群行為的定義鑒于上述情況，投資者羊群是從一個(gè)明顯的意圖結(jié)果中拷貝其他投資者的行為。這應(yīng)該要區(qū)別于“偽羊群行為”，其中群體面臨著類(lèi)似的決策問(wèn)題和信息集采取類(lèi)似的決定問(wèn)題。這虛假的放牧是一個(gè)有效的結(jié)果，而“故意”羊群效應(yīng)，如第一節(jié)所述，不必有效率。但需要指出的是經(jīng)驗(yàn)辨“偽羊群行為”中的“故意”羊群效應(yīng)是說(shuō)起來(lái)容易，做起來(lái)難，甚至是不可能的。因?yàn)橥ǔＧ闆r下，多種因素都可能影響投資決定。<

46、;/p><p>　　如果基本面驅(qū)動(dòng)的假羊群行為撤離股票可能發(fā)生的話(huà)，例如，利率上升和股市突然變成缺乏吸引力的投資了。在變化了的情況下，投資者在他們其資產(chǎn)投資組合上可能要舉行一個(gè)小比例的股票。根據(jù)上面的定義，這不是羊群行為，因?yàn)橥顿Y者在觀察他人的定義后不扭轉(zhuǎn)他們的決定。相反，它們作出的反應(yīng)俗稱(chēng)公共信息，這是利率上升。</p><p>　　如果不同投資者的機(jī)會(huì)套不同，假羊群行為也可能出現(xiàn)。假設(shè)有兩

47、個(gè)投資者群體在一個(gè)國(guó)家的股市上投資——國(guó)內(nèi)（D）和國(guó)外（F）的投資者。由于對(duì)資本項(xiàng)目可兌換的限制，這個(gè)國(guó)家的D型個(gè)人投資僅在國(guó)內(nèi)股市市場(chǎng)、商業(yè)發(fā)展，國(guó)內(nèi)債券市場(chǎng)的SD， F型個(gè)人投資在SD、Bb，并在SF，外國(guó)的股市市場(chǎng)，國(guó)外債券市場(chǎng)。如果在外國(guó)，利率下降或有較大的悲觀情緒與公司的盈利預(yù)期有關(guān)。那么F型投資者可以增加其投資組合中的SD和Bd份額，投資者購(gòu)買(mǎi)D型兩種。因此，在SD和Bb，國(guó)內(nèi)市場(chǎng)F型投資者似乎是一個(gè)購(gòu)買(mǎi)“羊群”，而D型部分

48、投資者似乎是一個(gè)銷(xiāo)售 “羊群的一部分。不過(guò)，F(xiàn)和D類(lèi)型投資者的投資決策和個(gè)人的決定不影響他人的行為。此外，這種行為是在資本可兌換D型投資者的制約效率上。</p><p>　　其他原因引起的故意羊群行為包括行為不完全理性(和貝葉斯)。最近一些論文關(guān)于這個(gè)主題包括德隆，施萊佛，薩默斯和瓦爾德曼(1990);Froot,Scharfstein,斯坦因(1992)和盧森堡和邁凱(1999)。在這次回顧中,我們不討論個(gè)人誰(shuí)

49、不完全理性，除了羊群行為的一種類(lèi)型—使用動(dòng)量投資策略，已經(jīng)被記錄在文獻(xiàn)里。(見(jiàn)，例如，Grinblatt,迪特曼和Wermers(1995)；Froot和其他人（2001年）。Choe和其他人(1999)；金和衛(wèi)(1999a,1999b)。一個(gè)沖頭投資策略是不勞而獲的投資者購(gòu)買(mǎi)和出售股票,根據(jù)過(guò)去的股票回報(bào)率,那就是根據(jù)贏家最近買(mǎi)的股票和輸家最近賣(mài)出的股票。這種從眾行為的形式?jīng)]有根據(jù)有效市場(chǎng)假說(shuō)，因?yàn)槭袌?chǎng)價(jià)格是以合理的假設(shè)來(lái)反映所有可獲

50、得的信息。這種“沖頭投資”或“積極反饋”策略可能會(huì)加劇價(jià)格走勢(shì)和波動(dòng)性的增強(qiáng)。當(dāng)然，有人也許會(huì)認(rèn)為,這需要時(shí)間使得市場(chǎng)參與者完全透徹了解和對(duì)新信息有所反應(yīng),因此市場(chǎng)價(jià)格只能隨著時(shí)間的推移充分納入新的信息。如果是這樣的情況,那么積極反饋策略可能是保持理性和那些遵循這樣策略的參與者可以被視為超過(guò)一段時(shí)間出現(xiàn)這種持續(xù)回報(bào)。</p><p>　　本文總結(jié)了最近的理論和實(shí)證金融市場(chǎng)理性羊群行為的研究概況。具體地說(shuō),我們正研

51、究什么是放牧,理性羊群行為的可能原因，對(duì)于識(shí)別這一行為有哪些現(xiàn)有成功存在的研究，以及這種行為對(duì)金融市場(chǎng)的影響究竟意味著什么。在第一節(jié)中，我們討論不完善的信息、信譽(yù)的擔(dān)憂(yōu)以及補(bǔ)償結(jié)構(gòu)是如何引起羊群行為的。</p><p>　　故意羊群行為可能是無(wú)效率的而且通常是具有脆弱性和要素性的特點(diǎn)。它會(huì)導(dǎo)致過(guò)度的不穩(wěn)定和系統(tǒng)性風(fēng)險(xiǎn)。因此,重要的是要區(qū)分真正的（有意的）和寄生的（無(wú)意的）羊群行為。此外,投資者羊群行為的原因最至關(guān)

52、重要的是為了減輕羊群行為而制定的決策反應(yīng)。如何區(qū)分一個(gè)經(jīng)驗(yàn)性信息,信譽(yù)為本,以補(bǔ)償性為主的羊群行為？一個(gè)方法是,審查那些基于基礎(chǔ)性研究的羊群行為的理論是否令人滿(mǎn)意。 </p><p>　　金融資產(chǎn)被一個(gè)市場(chǎng)買(mǎi)家買(mǎi)了就必須由另一個(gè)賣(mài)家賣(mài)出。因此,所有市場(chǎng)參與者都不能成為"購(gòu)買(mǎi)羊群”或“銷(xiāo)售羊群”的一部分。要檢查羊群行為，我們需要找到一個(gè)積極貿(mào)易以

53、及行為相似的參與者。這樣的群體更容易從眾,如果有足夠的同質(zhì)性（每個(gè)成員也面臨著同樣的決策問(wèn)題),并且每一個(gè)成員都能觀察本集體其他成員的貿(mào)易行為。此外，相對(duì)于市場(chǎng)規(guī)模，這種具有同樣性質(zhì)的集團(tuán)不能太大，因?yàn)樵谝粋€(gè)大集團(tuán)(比如說(shuō)一個(gè)擁有80%的流通股)買(mǎi)賣(mài)雙方都可能被充分地表現(xiàn)。</p><p>　　投資者觀察其他每個(gè)人的所持股票然后很快改變自己的投資組合策略，這是不可能的。正因?yàn)槿绱?，個(gè)股在一定水平上的故意的羊群行為

54、是不太可能的。人們更容易在基本面的影響已經(jīng)被分解出來(lái)以后找到投資在基特層面的股票放牧（在一個(gè)行業(yè)或一個(gè)國(guó)家的公司年股票）。</p><p>　　Manski(2000)提供了關(guān)于社會(huì)互動(dòng)的實(shí)證研究狀況的調(diào)查訪問(wèn)，以及描繪出關(guān)于從本質(zhì)上觀察其結(jié)果從而導(dǎo)致相互作用的進(jìn)程的推論是很困難的。他認(rèn)為，市場(chǎng)結(jié)構(gòu)分析問(wèn)題仍然是一個(gè)微妙的推理和計(jì)量方法，不確實(shí)，不能解決基本的識(shí)別問(wèn)題。這些數(shù)據(jù)引起了區(qū)分這些可替代的假說(shuō)的限制力和