塞勒关于行为金融学的实证研究及其理论贡献  

Richard Thaler's empirical findings and theoretical insights into behavioral finance

作　　者：朱遥 李建花 庄锦英[1] ZHU Yao;LI Jianhua;ZHUANG Jin-Ying(School of Psychology and Cognitive Science,East China Normal University,Shanghai 200062,China)

机构地区：[1]华东师范大学心理与认知科学学院,上海200062

出　　处：《心理科学进展》2019年第3期438-446,共9页Advances in Psychological Science

摘　　要：理查德·塞勒(Richard H.Thaler)是行为金融学的主要创建者。全文按照行为金融学的发展脉络,在简单介绍了行为金融学诞生的前提条件及理论基础之后,详细介绍了塞勒等学者关于股票的输家-赢家效应、封闭式基金之谜以及股权溢价之谜的实证研究及其理论观点,展示了塞勒等学者如何巧妙地以真实金融市场上的产品以及投资者的行为为样本,通过对这些数据的挖掘、提炼以及模拟,揭示出投资者的信念、情绪等心理因素是导致上述金融"异象"的主要原因。对这些现象的研究,使得塞勒脱离了传统金融学研究的窠臼,倡导了金融学研究中关注个体行为及心理因素的研究取向,促成了行为金融学的发展与壮大。Richard H.Thaler is a renowned behavioral finance researcher whose empirical findings and theoretical insights have linked economic and psychological analyses with individual decision-making.This article summarizes Thaler’s findings and introduces them to a larger audience.Thaler and colleagues found systematic price reversals for stocks that underwent extreme long-term gains or losses,wherein past losers went on to far outperform past winners,consistent with the behavioral hypothesis of investor overreaction.Additionally,Thaler and colleagues presented findings suggesting that discount fluctuations in closed-end funds were driven by changes in individual investor sentiment.Finally,Thaler and colleagues explained the equity premium puzzle in terms of so-called myopic loss aversion,wherein investors are assumed to be loss-averse and even long-term investors are assumed to evaluate their portfolios frequently.In conclusion,Thaler played a crucial role in the development of the behavioral finance field by incorporating new human psychology insights into economic analyses.

关 键 词：输家.赢家效应 封闭式基金之谜 股权溢价之谜 行为金融学 短视型损失厌恶 

分 类 号：B849[哲学宗教—应用心理学] F08[哲学宗教—心理学]