并非有效的市场：行为金融学导论 Inefficient Markets: An Introduction to Behavioral Finance

基本信息

Format: Paperback| 224 pages  

Dimensions: 138x 216x 13mm| 287g  

Publication date: 20 Apr 2000 

Publisher: Oxford University Press 

ISBN‏ : ‎ 9780198292272

页面参数仅供参考，具体以实物为准

书籍简介

近三十年来，有效市场假说一直是金融学的核心命题。它指出，金融市场的证券价格必须等于基本价值，因为所有投资者都是理性的，或者因为套利消除了定价异常。本书描述了研究金融市场的另一种方法：行为金融学。

这种方法的出发点是，投资者理性和套利的假设与心理学和制度上的证据都有很大的矛盾。在实际的金融市场中，不完全理性的投资者与套利者进行交易，而套利者的资源受到风险厌恶、短视和代理问题的限制。本书介绍并实证评估了这种无效率市场的模型。

行为金融模型既能比有效市场假说更好地解释现有金融数据，又能产生新的经验预测。这些模型可以解释诸如价值型股票的卓越表现、封闭式基金之谜、市场指数中包含的股票的高回报、股票价格泡沫的持续存在，甚至1998年几个知名对冲基金的崩溃等异常现象。通过总结和扩展行为金融学的研究，该书为现实世界市场的经济分析建立了新的理论和经验基础。

The efficient markets hypothesis has been the central proposition in finance for nearly thirty years. It states that securities prices in financial markets must equal fundamental values, either because all investors are rational or because arbitrage eliminates pricing anomalies. This book describes an alternative approach to the study of financial markets: behavioral finance.

This approach starts with an observation that the assumptions of investor rationality and perfect arbitrage are overwhelmingly contradicted by both psychological and institutional evidence. In actual financial markets, less than fully rational investors trade against arbitrageurs whose resources are limited by risk aversion, short horizons, and agency problems. The book presents and empiricallyevaluates models of such inefficient markets.

Behavioral finance models both explain the available financial data better than does the efficient markets hypothesis and generate new empirical predictions. These models can account for such anomalies as the superior performance of value stocks, the closed end fund puzzle, the high returns on stocks included in market indices, the persistence of stock price bubbles, and even the collapse of several well-known hedge funds in 1998. By summarizing and expanding the research in behavioral finance,the book builds a new theoretical and empirical foundation for the economic analysis of real-world markets.

作者简介

Andrei Shleifer是哈佛大学的经济学教授。

Andrei Shleifer is Professor of Economics at Harvard University.