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1、August 3, 2001Investor Psychology in Capital Markets:Evidence and Policy ImplicationsContents1 Introduction 12 The Behavior of Investors and Security Analysts 52.1 Investors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62.2 Security Analysts . . . . . . . . . . . . . . . .
2、 . . . . . . . . . . . . . . . 103 Do Investor Biases Affect Asset Prices? 123.1 Predictability of Asset and Security Returns . . . . . . . . . . . . . . . . 143.1.1 CAPM Beta . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 153.1.2 Other Risk Measures . . . . . . . . . . . . . . . . . .
3、. . . . . . . 163.1.3 Price and Comparison Measures . . . . . . . . . . . . . . . . . . . 173.1.4 Momentum and Long-Run Reversal . . . . . . . . . . . . . . . . . 253.1.5 Private Signals and Public News Events . . . . . . . . . . . . . . 283.1.6 Mutual Fund Performance . . . . . . . . . . . . . . .
4、. . . . . . . 323.1.7 Analyst Forecasts and Recommendations . . . . . . . . . . . . . . 333.1.8 Reactions to Shifts in Fundamental Value Measures . . . . . . . . 343.1.9 Short-Sales . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 373.1.10 Feelings and Securities Prices . . . . . . . . .
5、. . . . . . . . . . . 373.2 The Ability of Markets to Disentangle Relevant and Irrelevant Signals . . 373.3 Equity Premium, Riskfree Rate and Predictability Puzzles . . . . . . . . 403.4 Efficiency of Market Information Aggregation . . . . . . . . . . . . . . . 423.5 The Effect of Investor Biases on
6、 Risk Sharing, Consumption and Investment 434 Do Firms Exploit Investor Biases? 454.1 Possible Responses to Mispricing . . . . . . . . . . . . . . . . . . . . . . 454.2 Do Firms Try to Mislead Investors? . . . . . . . . . . . . . . . . . . . . . 455 Investor and Analyst Credulity: Causes and Consequ
7、ences 476 Psychology and Policy: Basic Issues 517 Reporting Standards and Disclosure Regulation 568 Limiting Freedom of Action 639 Conclusion 66August 3, 2001 Comments WelcomeInvestor Psychology in Capital Markets:Evidence and Policy ImplicationsKent Daniela, David Hirshleifer_,b, and Siew Hong Teoh
8、baKellogg School of Management, Northwestern University, Evanston, IL 60208-2006 andNational Bureau of Economic Research, Cambridge, MA 02138, USAbFisher College of Business, The Ohio State University, Columbus, OH 43210-1144, USA;Abstract:We review evidence about how psychological biases affect inv
9、estor behavior andprices. Systematic mispricing probably causes substantial resource misallocation. We arguethat limited attention and overconfidence cause investor credulity about the strategicincentives of informed market participants. However, individuals as political participantsremain subject t
10、o the biases and self-interest they exhibit in private settings. Indeed,correcting contemporaneous market pricing errors is probably not governments relativeadvantage. Government and private planners should establish rules and procedures exante to improve choices and efficiency, including disclosure
11、, reporting, advertising, anddefault-option-setting regulations. Especially, government should avoid actions that exacerbateinvestor biases.Key Words: investor psychology, capital markets, policy, accounting regulation, disclosure,behavioral finance, behavioral economics, market efficiencyJEL Classi
12、fication: G12, G14, G18, G28, G38, M41_Corresponding Author: Prof. David Hirshleifer, Fisher College of Business, TheOhio State University, 740A Fisher Hall, 2100 Neil Avenue, Columbus, OH 43210-1144;Telephone: 614-292-5174; Fax: 614-292-2418; Email: hirshleifer 2cob.osu.edu.This survey was written
13、for presentation at the Carnegie/Rochester Conference Series inPublic Policy at the University of Rochester, Rochester, NY, April 2001. We thank PerKrussell, Marlys Lipe, Linda Myers, Anthony Nikias, Greg Sommers, the Fisher Collegeof Business brown bag empirical accounting seminar at Ohio State Uni
14、versity, and especiallythe discussant, Jeffrey Wurgler, for very helpful suggestions and comments, andSeongyeon Lim and Yinglei Zhang for able research assistance.1 IntroductionIn 1913, John D. Watson introduced behaviorism, a radical new approach to psychology.He held that the only interesting scie
15、ntific issues in psychology involved the studyof direct observables such as stimuli and responses. He further argued that the environmentrather than internal proclivities determine behavior. Behaviorism was laterdeveloped by B.F. Skinner in what aimed to be a more rigorous approach to psychology.Ski
16、nner and his followers had a highly focused research agenda which excluded notionssuch as “thought,” “feeling,” “temperament,” and “motivation.” Skinner denied themeaningful existence of such internal cognitive processes or states. Based primarily onexperiments on rats and pigeons, he argued that all human behavior could be explainedin terms of condit
