證券市場(chǎng)行為金融中英文對(duì)照外文翻譯文獻(xiàn)

PAGE -PAGE１-中英文對(duì)照外文翻譯文獻(xiàn)中英文對(duì)照外文翻譯文獻(xiàn)(文檔含英文原文和中文翻譯)外文翻譯：BehavioralFinance1.IntroductionBehavioralfinanceistheparadigmwherefinancialmarketsarestudiedusingmodelsthatarelessnarrowthanthosebasedonVonNeumann–Morgensternexpectedutilitytheoryandarbitrageassumptions.Specifically,behavioralfinancehastwobuildingblocks:cognitivepsychologyandthelimitstoarbitrage.Cognitivereferstohowpeoplethink.Thereisahugepsychologyliteraturedocumentingthatpeoplemakesystematicerrorsinthewaythattheythink:Theyareoverconfident,theyputtoomuchweightonrecentexperience,etc.Theirpreferencesmayalsocreatedistortions.Behavioralfinanceusesthisbodyofknowledgeratherthantakingthearrogantapproachthatitshouldbeignored.Limitstoarbitragereferstopredictinginwhatcircumstancesarbitrageforceswillbeeffective,andwhentheywillnotbe.Behavioralfinanceusesmodelsinwhichsomeagentsarenotfullyrational,eitherbecauseofpreferencesorbecauseofmistakenbeliefs.Anexampleofanassumptionaboutpreferencesisthatpeoplearelossaverse—a$2gainmightmakepeoplefeelbetterbyasmuchasa$1lossmakesthemfeelworse.MistakenbeliefsarisebecausepeoplearebadBayesians.ModernfinancehasasabuildingblocktheEfficientMarketsHypothesis(EMH).TheEMHarguesthatcompetitionbetweeninvestorsseekingabnormalprofitsdrivespricestotheir“correct”value.TheEMHdoesnotassumethatallinvestorsarerational,butitdoesassumethatmarketsarerational.TheEMHdoesnotassumethatmarketscanforeseethefuture,butitdoesassumethatmarketsmakeunbiasedforecastsofthefuture.Incontrast,behavioralfinanceassumesthat,insomecircumstances,financialmarketsareinformationallyinefficient.Notallmisvaluationsarecausedbypsychologicalbiases,however.Somearejustduetotemporarysupplyanddemandimbalances.Forexample,thetyrannyofindexingcanleadtodemandshiftsthatareunrelatedtothefuturecashflowsofthefirm.WhenYahoowasaddedtotheS&P500inDecember1999,indexfundmanagershadtobuythestockeventhoughithadalimitedpublicfloat.Thisextrademanddroveupthepricebyover50%inaweekandover100%inamonth.Eighteenmonthslater,thestockpricewasdownbyover90%fromwhereitwasshortlyafterbeingaddedtotheS&P.Ifitiseasytotakepositions(shortingovervaluedstocksorbuyingundervaluedstocks)andthesemisvaluationsarecertaintobecorrectedoverashortperiod,then“arbitrageurs”willtakepositionsandeliminatethesemispricingsbeforetheybecomelarge.However,ifitisdifficulttotakethesepositions,duetoshortsalesconstraints,forinstance,orifthereisnoguaranteethatthemispricingwillbecorrectedwithinareasonabletimeframe,thenarbitragewillfailtocorrectthemispricing.1Indeed,arbitrageursmayevenchoosetoavoidthemarketswherethemispricingismostsevere,becausetherisksaretoogreat.Thisisespeciallytruewhenoneisdealingwithalargemarket,suchastheJapanesestockmarketinthelate1980sortheUSmarketfortechnologystocksinthelate1990s.ArbitrageursthatattemptedtoshortJapanesestocksinmid-1987andhedgebygoinglonginUSstockswererightinthelongrun,buttheylosthugeamountsofmoneyinOctober1987whentheUSmarketcrashedbymorethantheJapanesemarket(becauseofJapanesegovernmentintervention).Ifthearbitrageurshavelimitedfunds,theywouldbeforcedtocovertheirpositionsjustwhentherelativemisvaluationsweregreatest,resultinginadditionalbuyingpressureforJapanesestocksjustwhentheyweremostovervalued!5.ConclusionsThisbriefintroductiontobehavioralfinancehasonlytouchedonafewpoints.MoreextensiveanalysiscanbefoundinBarberisandThaler(2003),Hirshleifer(2001),Shefrin(2000),andShiller(2000).Itisverydifficulttofindtradingstrategiesthatreliablymakemoney.Thisdoesnotimplythatfinancialmarketsareinformationallyefficient,however.Low-frequencymisvaluationsmaybelarge,withoutpresentinganyopportunitytoreliablymakemoney.Asanexample,individualsorinstitutionswhoshortedJapanesestocksin1987–1988whentheyweresubstantiallyovervalued,orTaiwanesestocksinearly1989whentheyweresubstantiallyovervalued,orTMTstocksintheUS,Europe,andHongKonginearly1999whentheyweresubstantiallyovervalued,alllostenormousamountsofmoneyasthesestocksbecameevenmoreovervalued.Mostoftheseshortsellers,whowererightinthelongrun,werewipedoutbeforethemisvaluationsstartedtodisappear.Thus,theforcesofarbitrage,whichworkwellforhigh-frequencyevents,workverypoorlyforlow-frequencyeventsBehavioralfinanceis,relativelyspeaking,initsinfancy.Itisnotaseparatediscipline,butinsteadwillincreasinglybepartofmainstreamfinance.行為金融1.引言行為金融學(xué)就是用來(lái)研究金融市場(chǎng)的一種新型的模型。它所依據(jù)的模型假設(shè)基礎(chǔ)要比馮?諾依曼或摩根斯坦提出的那些已普遍使用的期望效用理論和套利假設(shè)模型要小很多。具體而言，行為金融學(xué)有兩個(gè)組成部分：認(rèn)知心理學(xué)和有限套利。認(rèn)知是指人們?nèi)绾嗡伎嫉倪^(guò)程。目前已經(jīng)存在大量的心理學(xué)方面的文獻(xiàn)說(shuō)明了人們?nèi)绾我揽克麄兙哂衅畹乃伎紝?dǎo)致做出系統(tǒng)誤差的行為。原因可能有：投資者總是過(guò)于自信，他們過(guò)分關(guān)注于最近的市場(chǎng)經(jīng)驗(yàn)等等。另外，他們的偏好也可能造成偏差。而行為金融學(xué)則使用人們的具體行為方法而不是采取那些高高在上的定價(jià)理論來(lái)研究金融市場(chǎng)，那些理論應(yīng)該暫時(shí)被忽略。另一組成部分有限套利則指應(yīng)該如何預(yù)測(cè)市場(chǎng)當(dāng)套利行為有效的時(shí)候或者當(dāng)套利者的套利行為受到限制時(shí)。行為金融學(xué)所使用的模型通常是假設(shè)一些市場(chǎng)機(jī)構(gòu)不是完全理性，其原因是投資者的喜好或者是錯(cuò)誤的信念。關(guān)于偏好假設(shè)的一個(gè)典型例子是：人們厭惡風(fēng)險(xiǎn)和損失。2美元的增益使人感到的快樂(lè)可能和1美元的虧損所帶來(lái)槽糕的情緒的效果是一樣的。錯(cuò)誤信念的產(chǎn)生是因?yàn)樗麄儧](méi)有遵循貝葉斯法則?，F(xiàn)代金融理論已經(jīng)開(kāi)始質(zhì)疑有效市場(chǎng)假說(shuō)。有效市場(chǎng)假說(shuō)認(rèn)為，理性投資者之間追求套利利潤(rùn)的競(jìng)爭(zhēng)會(huì)使市場(chǎng)價(jià)格回歸正確的區(qū)間。有效市場(chǎng)假說(shuō)并不認(rèn)為所有的投資者都是理性的，但它確實(shí)認(rèn)為市場(chǎng)是理性的。有效市場(chǎng)假說(shuō)并不認(rèn)為市場(chǎng)能夠預(yù)見(jiàn)未來(lái)，但它確實(shí)認(rèn)為市場(chǎng)能做出對(duì)未來(lái)的準(zhǔn)確預(yù)測(cè)。與此相反，行為金融假定，在某些情況下，金融市場(chǎng)不是信息強(qiáng)有效的。然而并非所有錯(cuò)誤估價(jià)都是由心理偏見(jiàn)造成的，有些情況只是由于暫時(shí)的供需失衡。例如，對(duì)于僅依靠評(píng)估指數(shù)的作用可能會(huì)導(dǎo)致產(chǎn)生與公司未來(lái)現(xiàn)金流量無(wú)關(guān)的需求變化。當(dāng)雅虎在1999年12月加入標(biāo)準(zhǔn)普爾500指數(shù)時(shí)，基金經(jīng)理不得不買(mǎi)其股票即使當(dāng)它必須有限量持有公眾股票時(shí)。這種額外的需求推動(dòng)了價(jià)格在一個(gè)星期漲了50％和一個(gè)月內(nèi)漲了100％。然而在十八個(gè)月后，以它剛加入到標(biāo)準(zhǔn)普爾指數(shù)的價(jià)格下跌依然超過(guò)90％。如果搶占位置是簡(jiǎn)單的(賣(mài)空估值過(guò)高的股票或購(gòu)買(mǎi)低估股票)而且這些錯(cuò)位評(píng)價(jià)一定要在短期內(nèi)得到解決。那么套利將搶占市場(chǎng)并且在他們變大之前消除這些錯(cuò)位定價(jià)。然而如果由于短期銷(xiāo)售限制將很難在合理的時(shí)間內(nèi)搶占位置。舉個(gè)例子，如果不能保證錯(cuò)誤的定價(jià)會(huì)在短期的有效時(shí)間框架中得到消除，那么理性套利將不能是價(jià)格回歸正常。事實(shí)上，由于風(fēng)險(xiǎn)太大了，套利者可能會(huì)選擇避免錯(cuò)誤定價(jià)嚴(yán)重的市場(chǎng)，尤其是那些涉及巨額交易的市場(chǎng)。例如，在80年代末的日本股市或在90年代末的美國(guó)市場(chǎng)中的科技股。套利者們?cè)?jīng)試圖短期套利1987年10月的日本股市，來(lái)中和對(duì)沖美國(guó)股市。這在長(zhǎng)期來(lái)看是正確的行為。但是他們?cè)?0月的美國(guó)股市由于日本政府的干預(yù)造成日本市場(chǎng)崩潰中損失了巨額資金。如果套利者只有有限的資金，他們將被迫回補(bǔ)頭寸當(dāng)相關(guān)錯(cuò)誤定價(jià)差額巨大時(shí)，從而會(huì)導(dǎo)致日本股市額外的購(gòu)買(mǎi)壓力。5.結(jié)論這個(gè)關(guān)于行為金融學(xué)簡(jiǎn)短的介紹了只談到了幾點(diǎn)。更廣泛的分析可以參考巴爾貝里斯和泰勒（2003），赫什萊佛（2001），舍夫林（2000），和希勒（2000）的文獻(xiàn)。在市場(chǎng)中非常難找到可以非?？煽康刭嶅X(qián)的交易策略。但這并不意味著金融市場(chǎng)是信息有效的市場(chǎng)。然而，低概率的錯(cuò)誤定價(jià)可能是非常巨大，絲毫沒(méi)有任何機(jī)會(huì)來(lái)可靠地賺錢(qián)。舉一個(gè)例子，那些個(gè)人或者機(jī)構(gòu)在1987-1988年做空那時(shí)已被大幅高估的日本股市，或1989年初臺(tái)灣被大幅高估的股票，又或者TMT股票在美國(guó)，歐洲和香港(在1999年年初個(gè)人或者機(jī)構(gòu)就已經(jīng)進(jìn)行了大幅高估)，這些行為最后都失去了大量資金，因?yàn)檫@些股票反而變得更加的高度估值。大多數(shù)短期做空的套利者，在長(zhǎng)期看來(lái)是正確的，但是在短期市場(chǎng)時(shí)，他們?cè)阱e(cuò)誤的定價(jià)開(kāi)始消失之前就已經(jīng)被逐出了市場(chǎng)。因此，套利的力量，對(duì)于高頻率發(fā)生的事件則具有想很好的效果，而對(duì)于低頻率事件則效果很差。行為金融學(xué)這一理論，相對(duì)而言，還處于起步階段。但它并不是一個(gè)被分離的學(xué)科，未來(lái)它將日益成為主流金融理論的一部分。作者：JayRRitter.國(guó)籍：American出處：Pacific-BasinFinanceJournal,2003,114外文翻譯之二China'ssegmentedstockmarket:AnapplicationoftheconditionalinternationalcapitalassetpricingmodelAbstract.China'ssegmentedstockmarketprovidesanopportunitytostudyconditionalinternationalassetpricingfrommultipleviewpointsdomesticandforeign.WeusethemultivariateGARCH-MframeworkofDeSantisandGérard[DeSantis,G.,andGérard,B.,1998.Howbigisthepremiumforcurrencyrisk?JournalofFinancialEconomics49,pp.375–412.],butaddconditionallocalspecificriskandfindglobal,local,andcurrencyrisktobepricedandtime-varyinginChinesemarkets,suggestingmildsegmentationfordevelopingcountrymarkets.Thetime-varyingpriceofcurrencyriskindicatesthatthestrictcurrencyrestrictionsinChinadonotsufficientlyreducecurrencyrisktostabilizethepriceofcurrencyrisk.WealsofindthatthepriceoflocalriskintheChineseAstockmarketisnon-time-varyingrelativetothedevelopedmarket,buttime-varyingrelativetotheemergingmarket.ThisfindingimpliesthattheChineseAstockmarketismorecomparabletoadevelopedmarketthananemergingmarket.However,resultsonChineseBsharesshowtheoppositerelationship:fromaforeigninvestor'sperspective,ChineseBsharesarebettercategorizedasbeingemergingthandeveloped.ThisisfurthersupportedbyanEngle–Grangercointegrationtest.SummaryandconclusionInthispaperwehaveevaluatedtheinternationalassetpricingmodelsandthepricingofglobal,local,andcurrencyrisksintheChineseandU.S.stockmarkets.OurmarketportfolioswereconstructedfromMSCIindices:theallcountryworldmarket,emergingmarkets,anddevelopedmarkets.ThesewerechosentoattempttorepresentwhichinvestmentalternativeswereavailableforChineseinvestorsandU.S.investors.SincethestockmarketinChinaissegmentedintoAandBshares,whereChineseinvestorscanonlypurchaseAshareswhileforeigninvestorscanonlypurchaseBshares,wewereabletotaketwodifferentviewpoints:onefromaUSinvestor'sperspectiveandanotherfromaChineseinvestor'sperspective.FortheChineseinvestor,wewereattemptingtoseewhethertheyperceivedtheirmarketasbeingmoreequivalenttoadevelopedmarketoranemergingmarket.FortheU.S.investor,wewereattemptingtogaugewhetherChinawasperceivedasbeingdevelopedoremergingaswell.OurmaininterestwasinthepricingoftheChinesestockmarketsinceitoffersaninterestingtestlaboratoryformanyaspectsoftheinternationalassetpricingmodels.Iflocalriskorcurrencyriskarepricedinthesecurities,thatsuggestsaformofpartialmarketsegmentation.Ifonlyglobalriskispricedinthesecurities,thatmeansinvestorscandiversifyawaythelocalandcurrencyrisks.Inaddition,weexaminedtheeffectofChina'sfinancialrestrictionsonthepricesofrisks,andcomparedthepricesofrisksbetweenglobalmarkets.WealsostudiedtheintegrationofChineseequitymarketsintoglobalmarkets.WeemployedthemultivariateGARCH-MframeworkofDeSantisandGérard(1998)inourempiricalspecification,allowingtime-varyingvariance–covarianceprocesses,andextendedtheirframeworktoincorporatepartialsegmentationforthelocalriskspecification.Wealsoaddedacurrencyriskfactor.Theresultsshowthatglobalriskispricedandtime-varying.Thepriceofcurrencyrisk,withanegativevalue,ispricedandtime-varyingintheChinesemarketswithrespecttotheAllCountryWorldIndex,thedevelopedindex,andtheemergingindex.Thisresultisconsistentwithpriorstudies.UnderChina'sstrictcurrencyrestrictions,thetime-varyingcurrencyriskpriceseemstoindicatethatChina'sforeignexchangeratepolicydoesnoteffectivelyreducethecurrencyriskfluctuationtomakeitrelativelystable.Indirectfactorsormodelmisspecificationcouldexplainthetime-varyingcurrencyriskprice.ThenegativevaluecouldalsoindicateaconsensusexpectationthattheChineseYuanwillappreciaterelativetotheU.S.dollarOurresultsshouldbeveryusefulforbothcompaniesandinternationalinvestorswhoareinterestedininvestinginemergingmarkets,orindiversifyingtheirportfoliosinternationally.Forinstance,ourresultsshowthatonemustseparatelocalmarketriskfromthecurrencyriskininvestmentandriskmanagementdecisionsinthecontextofemergingmarketsbecauseoftheiruniquemarketfeaturesandmorevolatileexchangerates.Wealsoillustratedhow,whenfinancialrestrictionseffectivelysegmentdomesticfromforeignmarkets,domesticperceptionsoftheirmarketmaydifferfromforeignperceptions.Thiscanleadtohavinglocalandcurrencyriskbeingpricedinonesetofshares,butnotpricedinanothersetofshares.InthecaseofChina,ChineseinvestorsperceivetheirmarketasbeingmorecloselycomparabletodevelopedmarketswhileU.S.investorsperceivetheChinesemarketasbeingmorelikeanemergingmarket.ThisconclusionmustbetemperedbythefactthatChina-AsharesarenotidenticaltoChina-Bshares.SomecompanieslistonlyChina-AshareswhileothersissueBshares.Therefore,theindicesarenotcomprisedofidenticalcomponents.Someoftheresultscouldbeskewedbythesecompositionaleffects.中國(guó)分段股票市場(chǎng)：條件化的國(guó)際資本資產(chǎn)模型的應(yīng)用摘要我國(guó)分為多個(gè)板塊的證券市場(chǎng)的這一現(xiàn)狀，為以國(guó)內(nèi)外多個(gè)視角的條件下研究國(guó)際資產(chǎn)定價(jià)理論提供了一個(gè)機(jī)會(huì)。我們使用德桑蒂斯和杰勒德的多變量的GARCH-M框架(德桑蒂斯,G杰勒德,B,1998.貨幣風(fēng)險(xiǎn)的溢價(jià)有多大?金融經(jīng)濟(jì)學(xué)雜志49,375–412)。但是考慮到發(fā)展中國(guó)家市場(chǎng)的適度分割，我們?cè)黾恿藢?duì)當(dāng)?shù)貤l件具體化風(fēng)險(xiǎn)的研究以及研究全球、地方風(fēng)險(xiǎn)、中國(guó)市場(chǎng)的貨幣風(fēng)險(xiǎn)在隨時(shí)間變化的中國(guó)市場(chǎng)是如何定價(jià)的。這種對(duì)隨時(shí)間變化的貨幣風(fēng)險(xiǎn)的定價(jià)表明了中國(guó)嚴(yán)格的貨幣管制并沒(méi)有充分地降低匯率風(fēng)險(xiǎn)以穩(wěn)定貨幣價(jià)值。我們同時(shí)還發(fā)現(xiàn)，在中國(guó)A股市場(chǎng)的局部風(fēng)險(xiǎn)的價(jià)格是不隨發(fā)達(dá)國(guó)家市場(chǎng)的時(shí)間變化，而是與新興市場(chǎng)的發(fā)展相關(guān)。這一發(fā)現(xiàn)意味著中國(guó)A股市場(chǎng)比起新興市場(chǎng)，和發(fā)達(dá)國(guó)家的完善市場(chǎng)更具可比性。然而，中國(guó)B股市場(chǎng)的研究結(jié)果