金融市場上的羊群行為【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、： 金融市場上的羊群行為</p><p>　　本文綜述了近年來在金融市場上的羊群行為的理論和實證研究。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)市場現(xiàn)象確認羊群行為對金融市場的影響的成功研究。</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。投資者和基金經(jīng)理被人們描繪成具有羊群行為：他們在沒有充

40、足的信息及對風(fēng)險回報進行合理的評估的情況下就貿(mào)然進行風(fēng)險投資，而一遇到問題，又馬上逃到更加安全的避難所。一些研究人員表示，市場參與者的這種羊群行為加劇了市場的波動，破壞了市場的穩(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)于為什么追求利潤最大化的投資者在面對相似的信息時會在同一時間做出相同的反應(yīng)？這種行為是相對透明的市場規(guī)則的一部分，還是另有原因?</p><p>　　對于投資者而言，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,如果一個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候而不選擇投資，那么這個人可以被稱為羊群。另外，當(dāng)別人在投資變動她的決定從不投資到作出投資決策時，她就被羊群化了。</p><p>　　這里有一些原因關(guān)于利潤/效用最大化的投資者在留心別人的計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,這一激勵計劃提供的條件和補償計劃就業(yè)可能是這樣的：模仿是獎勵的激勵機制等有關(guān)。第三個原因個人可能有一種內(nèi)在固有的偏愛。</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錯誤的投資決定。假設(shè)市場上有100投資者，對一項在新興市場上的投資機會有不同的選擇。具體來說，假設(shè)其中20個投資商認為這個投資有利可圖，而其余80則持相反觀點。每一個投資者

43、只知道自己對這項投資的利潤的估計；她不知道別人的評估方式或他們大部分是怎么偏愛傾向的。如果將這些投資者掌握的信息和他們的評估集中起來，他們就會普遍地認為這項投資是不明智的。然而你實際上，他們并沒有分享信息和相互評估。此外,這100投資者并不需要在同時進行投資決策。假設(shè)的最初進行決策的投資者來自那20個樂觀投資者，那么他們就會進行投資。那么那80個悲觀的投資者可能改變自己的想法轉(zhuǎn)而投資。反過來，這可能就形成了滾雪球效應(yīng)，導(dǎo)致100個投資者

44、中的大多數(shù)在新興市場投資。之后，當(dāng)投資者發(fā)現(xiàn)這的確是一項無利可圖的投資時，這些投資者將會退出市場。</p><p>　　從信息的差額來看，上面的例子說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，人們蜂擁跟進的決策很可能是不正確的。第三，如果投資者采取一個錯誤的決定，然后隨著經(jīng)驗或新的信息的到來，他們很可能又成群地跟進，采取相反方向的決策，這樣反過來又加劇了市場的波動性。

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”，其中群體面臨著類似的決策問題和信息集采取類似的決定問題。這虛假的放牧是一個有效的結(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)驗辨“偽羊群行為”中的“故意”羊群效應(yīng)是說起來容易，做起來難，甚至是不可能的。因為通常情況下，多種因素都可能影響投資決定。<

46、;/p><p>　　如果基本面驅(qū)動的假羊群行為撤離股票可能發(fā)生的話，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小比例的股票。根據(jù)上面的定義，這不是羊群行為，因為投資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)俗稱公共信息，這是利率上升。</p><p>　　如果不同投資者的機會套不同，假羊群行為也可能出現(xiàn)。假設(shè)有兩

47、個投資者群體在一個國家的股市上投資——國內(nèi)（D）和國外（F）的投資者。由于對資本項目可兌換的限制，這個國家的D型個人投資僅在國內(nèi)股市市場、商業(yè)發(fā)展，國內(nèi)債券市場的SD， F型個人投資在SD、Bb，并在SF，外國的股市市場，國外債券市場。如果在外國，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，投資者購買D型兩種。因此，在SD和Bb，國內(nèi)市場F型投資者似乎是一個購買“羊群”，而D型部分

48、投資者似乎是一個銷售 “羊群的一部分。不過，F(xiàn)和D類型投資者的投資決策和個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,我們不討論個人誰

49、不完全理性，除了羊群行為的一種類型—使用動量投資策略，已經(jīng)被記錄在文獻里。(見，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)。一個沖頭投資策略是不勞而獲的投資者購買和出售股票,根據(jù)過去的股票回報率,那就是根據(jù)贏家最近買的股票和輸家最近賣出的股票。這種從眾行為的形式?jīng)]有根據(jù)有效市場假說，因為市場價格是以合理的假設(shè)來反映所有可獲

50、得的信息。這種“沖頭投資”或“積極反饋”策略可能會加劇價格走勢和波動性的增強。當(dāng)然，有人也許會認為,這需要時間使得市場參與者完全透徹了解和對新信息有所反應(yīng),因此市場價格只能隨著時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一段時間出現(xiàn)這種持續(xù)回報。</p><p>　　本文總結(jié)了最近的理論和實證金融市場理性羊群行為的研究概況。具體地說,我們正研

51、究什么是放牧,理性羊群行為的可能原因，對于識別這一行為有哪些現(xiàn)有成功存在的研究，以及這種行為對金融市場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、信譽的擔(dān)憂以及補償結(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效率的而且通常是具有脆弱性和要素性的特點。它會導(dǎo)致過度的不穩(wěn)定和系統(tǒng)性風(fēng)險。因此,重要的是要區(qū)分真正的（有意的）和寄生的（無意的）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)分一個經(jīng)驗性信息,信譽為本,以補償性為主的羊群行為？一個方法是,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意。 </p><p>　　金融資產(chǎn)被一個市場買家買了就必須由另一個賣家賣出。因此,所有市場參與者都不能成為"購買羊群”或“銷售羊群”的一部分。要檢查羊群行為，我們需要找到一個積極貿(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（每個成員也面臨著同樣的決策問題),并且每一個成員都能觀察本集體其他成員的貿(mào)易行為。此外，相對于市場規(guī)模，這種具有同樣性質(zhì)的集團不能太大，因為在一個大集團(比如說一個擁有80%的流通股)買賣雙方都可能被充分地表現(xiàn)。</p><p>　　投資者觀察其他每個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。正因為如此，個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)被分解出來以后找到投資在基特層面的股票放牧（在一個行業(yè)或一個國家的公司年股票）。</p><p>　　Manski(2000)提供了關(guān)于社會互動的實證研究狀況的調(diào)查訪問，以及描繪出關(guān)于從本質(zhì)上觀察其結(jié)果從而導(dǎo)致相互作用的進程的推論是很困難的。他認為，市場結(jié)構(gòu)分析問題仍然是一個微妙的推理和計量方法，不確實，不能解決基本的識別問題。這些數(shù)據(jù)引起了區(qū)分這些可替代的假說的限制力和