金融市場(chǎng)上的羊群行為【外文翻譯】

1、本科畢業(yè)論文外文外文題目： herd behavior in financial market 出 處 imf staff papers vol.47,no.3 作 者： sushil bikhchandani and sunil sharma 原 文： herd behavior in financial marketsthis paper provides an overview of the recent theoretical and empirical research on herd behaveior in financeial maekets.it looks at what

2、precisely is meant by hearding,the causes of herd behaveior,the successs of exisiting studies in identifying the phenolmenon,and the effect that herding has on financeial markets. in the aftermath of several widespread financial crises, “herd” has again become a pejorative term in the financial lexi

3、con. 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 havens. some observers express concern that herding by market participants exacerbates

4、volatility, destabilizes markets, and increases the fragility of the financial system.this raises questions about why it is surprising that profit-maximizing investors, increasingly with similar information sets, react similarly at more or less the same time? and is such behavior part of market disc

5、ipline in relatively transparent markets, or is it due to other factors?for an investor to imitate others, she must be aware of and be influenced byothers actions. intuitively, an individual can be said to herd if she would havemade an investment without knowing other investors decisions, but does n

6、otmake that investment when she finds that others have decided not to do so.alternatively, she herds when knowledge that others are investing changes herdecision from not investing to making the investment. there are several reasons for a profit/utility-maximizing investor to be influenced into reve

7、rsing a planned decision after 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, the incentives provided by the compensation scheme and

8、terms of employment may be such that imitation is rewarded. a third reason for imitation is that individuals may have an intrinsic preference for conformity. when investors are influenced by others decisions, they may herd on an investment decision that is wrong for all of them. suppose that 100 inv

9、estors each have their own assessments, possibly different, about the profitability of investing in an emerging market. 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

10、 of the profitability of this investment;she does not know the assessments of others or which way a majority of them are leaning. if these investors pooled their knowledge and assessments, they would collectively decide that investing in the emerging market is not a good idea.but they do not share t

11、heir information and assessments with each other.moreover, these 100 investors do not take their investment decisions at the same time. suppose that the first few investors who decide are among the 20 optimistic investors and they make a decision to enter the emerging market. then several of the 80

12、pessimistic investors may revise their beliefs and also decide to invest.this, in turn, could have a snowballing effect, and lead to most of the 100 individuals investing in the emerging market. later, when the unprofitability of the decision becomes clear, these investors exit the market. the above

13、 example illustrates several aspects of information cascades or herd behavior arising from informational differences. first, the actions (and the assessments) of investors who decide early may be crucial in determining which way the majority will decide. second, the decision that investors herd on m

14、ay well be incorrect. third, if investors take a wrong decision, then with experience and/or the arrival of new information, they are likely to eventually reverse their decision starting a herd in the opposite direction. this, in turn, increases volatility in the market. according to the definition

15、of herd behavior given above, herding results from an obvious 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 herding is an effic

16、ient outcome whereas “intentional” herding, as explained in section i, need not be efficient. but it needs pointing out that empirically distinguishing “spurious herding” from “intentional” herding is easier said than done and may even be impossible, since typically, a multitude of factors have the

17、potential to affect an investment decision. fundamentals-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 percentage of stocks in their

18、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 information, which is the rise in interest rates. spurious herding may also arise if the opportunity sets of

19、 different investors differ. suppose there are two groups of investors who invest in a countrys stock marketdomestic (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 d

20、omestic bond market. type f individuals invest in sd, bd, and also in sf, a foreign countrys stock market and bf, the foreign bond market. if, in the foreign country, interest rates decrease or there is greater pessimism regarding firms earning expectations, then type f investors may increase the sh

21、are of sd and bd in their portfolio, buying both from type d investors.consequently, in the domestic markets sd and bd, type f investors appear to be part of a buying “herd” whereas type d investors appear to be part of a selling “herd.”however, the investment decisions of types f and d investors ar

22、e individual decisions and may not be influenced by others actions. moreover, this behavior is efficient under the capital convertibility constraints imposed on type d investors. other causes of intentional herding include behavior that is not fully rational(and bayesian). recent papers on this topi

23、c 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 of herd behavior by individuals who are not fully rational except to note that one type of herd behavioruse of momentum-investment strate

24、gieshas been documented in the literature (see, for example, grinblatt, titman and wermers (1995); froot and others (2001); choe and others (1999); kim and wei (1999a, 1999b). a momentum-investment strategy is the tendency of an investor to buy and sell stocks based on past returns of the stocks, th

25、at is, to buy recent winners and sell recent losers. this form of herd behavior is not rational under the efficient-markets hypothesis since market prices are assumed to reflect all available information. such “momentum-investment” or “positive-feedback” strategies can exacerbate price movements and

26、 add to volatility. of course, one could argue that it takes time for market participants to completely digest and act on new information and hence market prices fully incorporate new information only over time. if this is the case, then positive-feedback strategies may be rational and participants

27、who follow such strategies can be seen as exploiting the persistence of returns over some time period. 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, wh

28、at are 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 for reputation, and compensation structures can cause herding. intentional h

29、erding may be inefficient and is usually characterized by fragility and idiosyncrasy. it can lead to excess volatility and systemic risk.6 therefore, it is important to distinguish between true (intentional) and spurious (unintentional)herding. furthermore, the causes of investor herding are crucial

30、 for determining policy responses for mitigating herd behavior. how does one empirically distinguish between informational, reputation-based, and compensation-based herding?one approach would be to examine whether the assumptions underlying some of the theories of herd behavior are satisfied. a fina

31、ncial asset bought by one market player must be 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 a group is more likely to herd if

32、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 be too large relative to the size of the market because in a large group (say one that holds 80 percent of the outs

33、tanding stock) both buyers and sellers are likely to be adequately represented. it is unlikely that investors observe each others holdings of an individual stock soon enough to change their own portfolios. there is therefore little possibility of intentional herding at the level of individual stocks

34、. 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 out. manski (2000) provides an accessible survey of the state of empirical research on social interactions, and th

35、e difficulty of drawing inferences about the nature of an interaction process from observations on its outcomes. he argues that structural analysis of markets remains a subtle inferential problem and econometric methods do notindeed cannotresolve the basic identification problem. the data commonly b

36、rought to bear to study such interactions has only limited power to distinguish among alternative plausible hypotheses.observations on market transactions and their prices can reveal only so much about the factors determining the choices of market participants. and given the data currently available

37、, analysis of social interactions requires strong assumptions that diminish the credibility of the conclusions about behavior.本科畢業(yè)論文外文翻譯外文題目： herd behavior in financial market 出 處 imf staff papers vol.47,no.3 作 者： sushil bikhchandani and sunil sharma 譯 文： 金融市場(chǎng)上的羊群行為本文綜述了近年來在金融市場(chǎng)上的羊群行為的理論和實(shí)證研究。它著眼于羊群

38、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。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。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]有充足的信息及對(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

39、原因?對(duì)于投資者而言，模仿別人，她必須做到心中有數(shù)，并且被別人的行為所影響。直觀地說,如果一個(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。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,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。當(dāng)投資者們都

40、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。具體來說，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，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)行決策的投資者來自那20個(gè)樂觀投資者，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

41、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(gè)投資者中的大多數(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)無利可圖的投資時(shí)，這些投資者將會(huì)退出市場(chǎng)。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(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，他們很可能又成群地跟進(jìn)，采取相反方向的決策，這樣反過來又加劇了市場(chǎng)的波動(dòng)性。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”，其中群體面臨著類似的決策問

42、題和信息集采取類似的決定問題。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)是說起來容易，做起來難，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。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，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)俗稱公共信息，這是利率上升。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“羊群”，而d型部分投資者似乎是一個(gè)銷售 “羊群的一部分。不過，f和d