国内外行为金融的应用研究综述

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行为金融学研究综述

行为金融学研究综述行为金融学研究综述引言行为金融学是一门相对较新的学科领域，它通过关注人们在金融决策中的行为模式和倾向，揭示了金融市场中的很多现象和问题。

本文旨在对行为金融学的研究进行综述，从理论基础、主要研究领域、方法论及对金融市场的影响等方面进行分析和总结。

一、理论基础行为金融学的理论基础主要源于心理学和经济学的交叉研究，尤其是关于人们决策行为的相关理论和观点。

在心理学领域中，行为金融学主要借鉴了认知心理学和实验心理学的研究成果。

其中，认知心理学关注人们决策过程中的认知偏差和限制，实验心理学则通过实验证据揭示人们在特定条件下的行为倾向。

经济学对行为金融学的理论构建和分析也起到了重要作用。

传统的经济学理论通常假设理性决策者在面对信息不完全和风险时，能够做出最佳的经济决策。

然而，行为金融学的出现质疑了这种假设，认为人们在实际决策过程中往往受到情绪、心理偏差和社会因素的影响，从而导致非理性的决策。

二、主要研究领域行为金融学的研究范围广泛，主要包括以下几个领域：1. 决策心理学：研究人们决策的认知过程、心理偏差和风险态度。

其中，前景理论和期望效用理论是行为金融学中的两个重要理论模型。

前景理论认为人们在面对风险时，存在着风险规避和风险寻求的不对称行为。

期望效用理论则主要研究人们决策时对效用的感知与评估。

2. 资产定价：研究资本市场中价格波动的原因和特征。

传统的资产定价模型通常基于理性投资者的假设，认为市场价格会自动回归到公允价值。

然而，行为金融学认为投资者情绪和心理偏差会导致市场价格与真实价值之间的偏离，并产生价格泡沫和过度买卖等现象。

3. 市场行为：研究投资者的行为动机、交易行为和市场交易的影响因素。

行为金融学研究发现，投资者情绪和心理偏差往往会影响他们对市场中的股票或资产的决策和操作行为，从而导致市场交易的不稳定和非理性。

4. 金融风险管理：研究金融市场中的风险管理策略和决策行为。

行为金融学认为，投资者往往根据过去的经验和情绪倾向来评估风险和制定风险管理策略，而不仅仅是基于理性的决策。

《农村互联网金融发展问题探究国内外文献综述2400字》

农村互联网金融发展问题研究国内外文献综述1.国外研究现状Economides N. C. Himmelberg（2014）认为，互联网金融是建立在传统金融业务基础上的新兴业务。

以传统业务为切入点有助于顺利提升互联网金融的发展水平，夯实互联网金融的发展基础，促进互联网金融快速步入到良性的发展轨道[5]。

Kirsty Best （2015）的研究表明，2002年联合国贸易和发展会议为发展中国家建构网络金融提供了广泛的认知，其建构了覆盖发展中国家的互联网金融发展条件和发展形势，这也是本文研究中对于互联网金融类别进行划分的重要依据[6]。

其认为，互联网金融涵盖电子银行、电子支付、电子贸易、网络借贷等不同领域，其总体发展规模是互联网金融的体量。

Andrew Crockett （2017）针对互联网金融的概况进行了研究。

其认为，物理网点应将支付结算功能过渡为营销服务，推动业务转型，将用户体验管理和交易成本控制作为提高互联网金融发展水平的重要措施[7]。

同时，应当优化远程协助业务的发展，提高互联网金融发展的硬件建设水平。

Chester Brown（2017）认为，互联网金融发展的背景下，应当结合互联网金融的发展特征和产业特点，积极引进人才，提高人才的储备水平，重视互联网金融的特征，提高互联网金融各主体对人才的吸纳水平，完善人才的知识结构，推动互联网金融人才具有扎实的业务功底和理论功底，使得人才兼备金融实操经验和互联网意识，提升互联网金融的发展水平[8]。

Muneer M.Abbad （2016）《约旦网上银行》中认为，农村金融机构应当有效协调传统支付模式与购买模式和当前技术环境和需求环境之间的鸿沟。

推动技术的高速发展，并将信息化的发展经验建构成量化的风险管理模型，提高对于客户信息的管理水平，建立客户潜力管理机制，提高对客户潜力的挖掘水平。

2.国内研究现状第一，农村互联网金融研究方面。

姜颖（2016）针对农村互联网金融工具进行了研究，将农村金融工具划分为投资、储蓄、信贷、结算、证券买卖、商业保险等类别的基础上，诠释了农村金融工具的功能。

《2024年行为金融学研究综述》范文

《行为金融学研究综述》篇一一、引言行为金融学是一门结合心理学、行为科学和金融学的交叉学科，它致力于研究金融市场中投资者行为及其对资产定价、市场波动和投资决策的影响。

随着金融市场的日益复杂化和投资者行为的多样化，行为金融学逐渐成为金融学领域的研究热点。

本文将对行为金融学的研究进行综述，以期为未来的研究提供参考。

二、行为金融学的基本理论行为金融学基于心理学和行为科学的理论，提出了与传统金融学不同的观点。

它认为，投资者的决策过程并非完全理性，而是受到心理、情感、认知等因素的影响。

因此，行为金融学强调研究投资者行为、市场情绪、心理偏差等因素对金融市场的影响。

三、行为金融学的主要研究领域1. 投资者行为研究：这是行为金融学最核心的研究领域，主要探讨投资者的心理特征、决策过程以及这些因素如何影响投资者的投资行为。

2. 资产定价与市场波动：研究心理偏差和市场情绪如何影响资产定价和市场的波动性，为投资者提供更为准确的投资策略。

3. 金融市场异象：针对金融市场中的一些异常现象，如封闭式基金折价、IPO溢价等，探讨其背后的行为因素。

4. 行为资产组合理论：研究投资者在投资组合选择过程中的心理和行为特征，以及这些特征如何影响投资者的资产配置。

四、行为金融学的研究方法行为金融学的研究方法主要包括实验法、调查法和实证分析法。

实验法通过设计实验环境，观察投资者在特定情境下的行为；调查法则是通过收集和分析数据来研究投资者行为的规律；实证分析法则通过运用统计分析等手段来检验理论和模型的有效性。

五、行为金融学的研究成果自行为金融学诞生以来，其在金融领域取得了丰富的研究成果。

首先，许多学者对投资者的心理偏差进行了深入研究，如过度自信、损失厌恶、锚定效应等。

这些研究揭示了投资者在决策过程中的心理特征和行为模式。

其次，行为金融学对资产定价和市场波动的解释也得到了越来越多的实证支持。

此外，行为金融学还为金融市场监管提供了新的思路和方法。

国内外农村金融研究的理论综述

第二,金融市场监管的内涵。
金融市场监管对农村经济社会发展和农民增收有重要的作用和意义,对其内涵的研究是至关重要的(李长健,2008) ,而金融监管必须调整涉农金融机构的功能定位,整合农村金融机构,提高服务质量,拓宽融资渠道(刘金顺,2010);从认识论的角度审视发现,界定农村金融监管的内涵,其核心之意是在于保障市场作用得到充分、高效率的发挥,市
场于失灵时又能够得到及时矫正或者市场作用得到弥补。金融本身是纯粹的经济问题,但金融监管却不仅仅是经济问题,而是综合了经济学、法学、管理学等多个学科的综合性课题。基于此,界定农村金融市场监管的内涵要考量经济的标准,又要顾及非经济的标准(马德功、臧敦刚等,2010)。
三、农村金融市场监管存在的问题及原因分析的研究现状
20世纪70年代初,为了尽快实现工业化,部分政府对农村金融采取金融抑制的政策(麦金龙,1973) ,同时也放缓了农村经济的发展。从历史角度来看,中国改革开放以后,由于农村的正式贷款只能用于田地农业生产用途,并且贷款使用期限与农业生产周期长度基本吻合,所以,其他的非正式贷款大部分应对突发、大额或者现实的非一般消费,如亲人丧葬婚嫁或者在建造家庭新房舍中使用等??因此,非正式贷款总是用于农户各自的目的,并在道义上给了农户信贷人以权威,通常情况下,农户正式贷款只用于农户个人预定的目的,而非正式贷款也不会使农业田地生产中的净流动资金增加。这是在农户信贷市场中,我国农村长时间存在的农户贷款供需结构(张杰,2000)。而现代农村金融制度能否建立的关键是政府能否有效增加农民的收入,资金供给能否切实满足农村微观金融的资金需求,能否培育现代农民(王芳,2005)。从金融供给与需求的角度来看,农村金融市场资金供给结构单一,金融供给与需求总量仍然存在较大资金缺口,当前农村金融供给远远不能满足农村金融需求,尤其是农村弱势群体的需要(张笑尘,2007)。

国内外行为金融的应用研究综述

实正式转向对行为金融的研究在俭
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为金融的应用研究综述
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摘要：为金融理论不断发展的同时，行融的应用研究．主要集中在对金融市场上异常现象的解释、资策略研究。外与投此

行为金融学的综述--Behavioral Corporate Finance： A Survey -- Baker Ruback Wurgler

Behavioral Corporate Finance: A Survey∗Malcolm BakerHarvard Business School and NBERmbaker@Richard S. RubackHarvard Business Schoolrruback@Jeffrey WurglerNYU Stern School of Business and NBERjwurgler@October 9, 2004AbstractResearch in behavioral corporate finance takes two distinct approaches. The first emphasizes that investors are less than fully rational. It views managerial financing and investment decisions as rational responses to securities market mispricing. The second approach emphasizes that managers are less than fully rational. It studies the effect of nonstandard preferences and judgmental biases on managerial decisions. This survey reviews the theory, empirical challenges, and current evidence pertaining to each approach. Overall, the behavioral approaches help to explain a number of important financing and investment patterns. The survey closes with a list of open questions.∗ This article will appear in the Handbook in Corporate Finance: Empirical Corporate Finance, which is edited by Espen Eckbo. The authors are grateful to Heitor Almeida, Nick Barberis, Zahi Ben-David, Espen Eckbo, Xavier Gabaix, Dirk Jenter, Augustin Landier, Alexander Ljungqvist, Hersh Shefrin, Andrei Shleifer, Meir Statman, and Theo Vermaelen for helpful comments. Baker and Ruback gratefully acknowledge financial support from the Division of Research of the Harvard Business School.Table of ContentsI. Introduction (1)II. The irrational investors approach (4)A. Theoretical framework (6)B. Empirical challenges (10)C. Investment policy (13)C.1. Real investment (14)C.2. Mergers and acquisitions (16)C.3. Diversification and focus (18)D. Financial policy (19)D.1. Equity issues (19)D.2. Repurchases (23)D.3. Debt issues (24)D.4. Cross-border issues (26)D.5. Capital structure (27)E. Other corporate decisions (28)E.1. Dividends (29)E.2. Firm names (31)E.3. Earnings management (32)E.4. Executive compensation (33)III. The irrational managers approach (34)A. Theoretical framework (36)B. Empirical challenges (39)C. Investment policy (40)C.1. Real investment (40)C.2. Mergers and acquisitions (42)D. Financial policy (43)D.1. Capital structure (43)D.2. Financial contracting (44)E. Other behavioral patterns (44)E.1. Bounded rationality (45)E.2. Reference-point preferences (46)IV. Conclusion (48)References (51)I. IntroductionCorporate finance aims to explain the financial contracts and the real investment behavior that emerge from the interaction of managers and investors. Thus, a complete explanation of financing and investment patterns requires an understanding of the beliefs and preferences of these two sets of agents. The majority of research in corporate finance assumes a broad rationality. Agents are supposed to develop unbiased forecasts about future events and use these to make decisions that best serve their own interests. As a practical matter, this means that managers can take for granted that capital markets are efficient, with prices rationally reflecting public information about fundamental values. Likewise, investors can take for granted that managers will act in their self-interest, rationally responding to incentives shaped by compensation contracts, the market for corporate control, and other governance mechanisms.This paper surveys research in behavioral corporate finance. This research replaces the traditional rationality assumptions with potentially more realistic behavioral assumptions. The literature is divided into two general approaches, and we organize the survey around them. Roughly speaking, the first approach emphasizes the effect of investor behavior that is less than fully rational, and the second considers managerial behavior that is less than fully rational. For each line of research, we review the basic theoretical frameworks, the main empirical challenges, and the empirical evidence. Of course, in practice, both channels of irrationality may operate at the same time; our taxonomy is meant to fit the existing literature, but it does suggest some structure for how one might, in the future, go about combining the two approaches.The “irrational investors approach” assumes that securities market arbitrage is imperfect, and thus that prices can be too high or too low. Rational managers are assumed to perceive mispricings, and to make decisions that may encourage or respond to mispricing. While theirdecisions may maximize the short-run value of the firm, they may also result in lower long-run values as prices correct. In the simple theoretical framework we outline, managers balance three objectives: fundamental value, catering, and market timing. Maximizing fundamental value has the usual ingredients. Catering refers to any actions intended to boost share prices above fundamental value. Market timing refers specifically to financing decisions intended to capitalize on temporary mispricings, generally via the issuance of overvalued securities and the repurchase of undervalued ones.Empirical tests of the irrational investors model face a significant challenge: measuring mispricing. We discuss how this issue has been tackled and the ambiguities that remain. Overall, despite some unresolved questions, the evidence suggests that the irrational investors approach has a considerable degree of descriptive power. We review studies on investment behavior, merger activity, the clustering and timing of corporate security offerings, capital structure, corporate name changes, dividend policy, earnings management, and other managerial decisions. We also identify some disparities between the theory and the evidence. For example, while catering to fads has potential to reduce long-run value, the literature has yet to clearly document significant long-term value losses.The second approach to behavioral corporate finance, the “irrational managers approach,” is less developed at this point. It assumes that managers have behavioral biases, but retains the rationality of investors, albeit limiting the governance mechanisms they can employ to constrain managers. Following the emphasis of the current literature, our discussion centers on the biases of optimism and overconfidence. A simple model shows how these biases, in leading managers to believe their firms are undervalued, encourage overinvestment from internal resources, and a preference for internal to external finance, especially internal equity. We note that the predictionsof the optimism and overconfidence models typically look very much like those of agency and asymmetric information models.In this approach, the main obstacles for empirical tests include distinguishing predictions from standard, non-behavioral models, as well as empirically measuring managerial biases. Again, however, creative solutions have been proposed. The effects of optimism and overconfidence have been empirically studied in the context of merger activity, corporate investment-cash flow relationships, entrepreneurial financing and investment decisions, and the structure of financial contracts. Separately, we discuss the potential of a few other behavioral patterns that have received some attention in corporate finance, including bounded rationality and reference-point preferences. As in the case of investor irrationality, the real economic losses associated with managerial irrationality have yet to be clearly quantified, but some evidence suggests that they are very significant.Taking a step back, it is important to note that the two approaches take very different views about the role and quality of managers, and have very different normative implications as a result. That is, when the primary source of irrationality is on the investor side, long-term value maximization and economic efficiency requires insulating managers from short-term share price pressures. Managers need to be insulated to achieve the flexibility necessary to make decisions that may be unpopular in the marketplace. This may imply benefits from internal capital markets, barriers to takeovers, and so forth. On the other hand, if the main source of irrationality is on the managerial side, efficiency requires reducing discretion and obligating managers to respond to market price signals. The stark contrast between the normative implications of these two approaches to behavioral corporate finance is one reason why the area is fascinating, and why more work in the area is needed.Overall, our survey suggests that the behavioral approaches can help to explain a range of financing and investment patterns, while at the same time depend on a relatively small set of realistic assumptions. Moreover, there is much room to grow before the field reaches maturity. In an effort to stimulate that growth, we close the survey with a short list of open questions.II. The irrational investors approachWe start with one extreme, in which rational managers coexist with irrational investors. There are two key building blocks here. First, irrational investors must influence securities prices. This requires limits on arbitrage. Second, managers must be smart in the sense of being able to distinguish market prices and fundamental value.The literature on market inefficiency is far too large to survey here. It includes such phenomena as the January effect; the effect of trading hours on price volatility; post-earnings-announcement drift; momentum; delayed reaction to news announcements; positive autocorrelation in earnings announcement effects; Siamese twin securities that have identical cash flows but trade at different prices, negative “stub” values; closed-end fund pricing patterns; bubbles and crashes in growth stocks; related evidence of mispricing in options, bond, and foreign exchange markets; and so on. These patterns, and the associated literature on arbitrage costs and risks, for instance short-sales constraints, that facilitate mispricings, are surveyed by Barberis and Thaler (2003) and Shleifer (2000). In the interest of space, we refer the reader to these excellent sources, and for the discussion of this section we simply take as given that mispricings can and do occur.But even if capital markets are inefficient, why assume that corporate managers are “smart” in the sense of being able to identify mispricing? One can offer several justifications.First, corporate managers have superior information about their own firm. This is underscored by the evidence that managers earn abnormally high returns on their own trades, as in Muelbroek (1992), Seyhun (1992), or Jenter (2004). Managers can also create an information advantage by managing earnings, a topic to which we will return, or with the help of conflicted analysts, as for example in Bradshaw, Richardson, and Sloan (2003).Second, corporate managers also have fewer constraints than equally “smart” money managers. Consider two well-known models of limited arbitrage: DeLong, Shleifer, Summers, and Waldmann (1990) is built on short horizons and Miller (1977) on short-sales constraints. CFOs tend to be judged on longer horizon results than are money managers, allowing them to take a view on market valuations in a way that money managers cannot.1 Also, short-sales constraints prevent money managers from mimicking CFOs. When a firm or a sector becomes overvalued, corporations are the natural candidates to expand the supply of shares. Money managers are not.Third and finally, managers might just follow intuitive rules of thumb that allow them to identify mispricing even without a real information advantage. In Baker and Stein (2004), one such successful rule of thumb is to issue equity when the market is particularly liquid, in the sense of a small price impact upon the issue announcement. In the presence of short-sales constraints, unusually high liquidity is a symptom of the fact that the market is dominated by irrational investors, and hence is overvalued.1 For example, suppose a manager issues equity at $50 per share. Now if those shares subsequently double, the manager might regret not delaying the issue, but he will surely not be fired, having presided over a rise in the stock price. In contrast, imagine a money manager sells (short) the same stock at $50. This might lead to considerable losses, an outflow of funds, and, if the bet is large enough, perhaps the end of a career.A. Theoretical frameworkWe use the assumptions of inefficient markets and smart managers to develop a simple theoretical framework for the irrational investors approach. The framework has roots in Fischer and Merton (1984), De Long, Shleifer, Summers, and Waldmann (1989), Morck, Shleifer, and Vishny (1990b), and Blanchard, Rhee, and Summers (1993), but our particular derivation borrows most from Stein (1996).In the irrational investors approach, the manager balances three conflicting goals. The first is to maximize fundamental value. This means selecting and financing investment projects to increase the rationally risk-adjusted present value of future cash flows. To simplify the analysis, we do not explicitly model taxes, costs of financial distress, agency problems or asymmetric information. Instead, we specify fundamental value as()Kf−⋅,,Kwhere f is increasing and concave in new investment K. To the extent that any of the usual market imperfections leads the Modigliani-Miller (1958) theorem to fail, financing may enter f alongside investment.The second goal is to maximize the current share price of the firm’s securities. In perfect capital markets, the first two objectives are the same, since the definition of market efficiency is that prices equal fundamental value. But once one relaxes the assumption of investor rationality, this need not be true, and the second objective is distinct. In particular, the second goal is to “cater” to short-term investor demands via particular investment projects or otherwise packaging the firm and its securities in a way that maximizes appeal to investors. Through such catering activities, managers influence the temporary mispricing, which we represent by the function ()⋅δ,where the arguments of δ depend on the nature of investor sentiment. The arguments might include investing in a particular technology, assuming a conglomerate or single-segment structure, changing the corporate name, managing earnings, initiating a dividend, and so on. In practice, the determinants of mispricing may well vary over time.The third goal is to exploit the current mispricing for the benefit of existing, long-run investors. This is done by a “market timing” financing policy whereby managers supply securities that are temporarily overvalued and repurchase those that are undervalued. Such a policy transfers value from the new or the outgoing investors to the ongoing, long-run investors; the transfer is realized as prices correct in the long run.2 For simplicity, we focus here on temporary mispricing in the equity markets, and so δ refers to the difference between the current price and the fundamental value of equity. More generally, each of the firm’s securities may be mispriced to some degree. By selling a fraction of the firm e, long run shareholders gain ()⋅δe.We leave out the budget constraint, lumping together the sale of new and existing shares. Instead of explicitly modeling the flow of funds and any potential financial constraints, we will consider the reduced form impact of e on fundamental value.It is worth noting that other capital market imperfections can lead to a sort of catering behavior. For example, reputation models in the spirit of Holmstrom (1982) can lead to earnings management, inefficient investment, and excessive swings in corporate strategy even when the capital markets are not fooled in equilibrium.3 Viewed in this light, the framework here is2 Of course, we are also using the market inefficiency assumption here in assuming that managerial efforts to capturea mispricing do not completely destroy it in the process, as they would in the rational expectations world of Myers and Majluf (1984). In other words, investors underreact to corporate decisions designed to exploit mispricing. This leads to some testable implications, as we discuss below.3 For examples, see Stein (1989) and Scharfstein and Stein (1990). For a comparison of rational expectations and inefficient markets in this framework, see Aghion and Stein (2004).relaxing the assumptions of rational expectations in Holmstrom, in the case of catering, and Myers and Majluf (1984), in the case of market timing.Putting the goals of fundamental value, catering, and market timing into one objective function, the irrational investors approach has the manager choosing investment and financing to()()[]()()⋅−+⋅+−⋅δλδλ1,max ,e K K f eK , where λ, between zero and one, specifies the manager’s horizon. When λ equals one, the manager cares only about creating value for existing, long-run shareholders, the last term drops out, and there is no distinct impact of catering. However, even an extreme long-horizon manager cares about short-term mispricing for the purposes of market timing, and thus may cater to short-term mispricing to further this objective. With a shorter horizon, maximizing the stock price becomes an objective in its own right, even without any concomitant equity issues.We take the managerial horizon as given, exogenously set by personal characteristics, career concerns, and the compensation contract. If the manager plans to sell equity or exercise options in the near term, his portfolio considerations may lower λ. However, managerial horizon may also be endogenous. For instance, consider a venture capitalist who recognizes a bubble. He might offer a startup manager a contract that loads heavily on options and short-term incentives, since he cares less about valuations that prevail beyond the IPO lock-up period. Career concerns and the market for corporate control can also combine to shorten horizons, since if the manager does not maximize short-run prices, the firm may be acquired and the manager fired.Differentiating with respect to K and e gives the optimal investment and financial policy of a rational manager operating in inefficient capital markets:()()()⋅+−=⋅−K K e K f δλλ11,, and ()()()()⋅++⋅=⋅−−e e e K f δδλλ1,.In words, the first condition is about investment policy. The marginal value created from investment is weighed against the standard cost of capital, normalized to be one here, net of the impact that this incremental investment has on mispricing, and hence its effect through mispricing on catering and market timing gains. The second condition is about financing. The marginal value lost from shifting the firm’s current capital structure toward equity is weighed against the direct market timing gains and the impact that this incremental equity issuance has on mispricing, and hence its effect on catering and market timing gains. This is a lot to swallow at once, so we consider some special cases.Investment policy. Investment and financing are separable if both δK and f e are equal to zero. Then the investment decision reduces to the familiar perfect markets condition of f K equal to unity. Real consequences of mispricing for investment thus arise in two ways. In Stein (1996) and Baker, Stein, and Wurgler (2003), f e is not equal to zero. There is an optimal capital structure, or at least an upper bound on debt capacity. The benefits of issuing or repurchasing equity in response to mispricing are balanced against the reduction in fundamental value that arises from too much (or possibly too little) leverage. In Polk and Sapienza (2004) and Gilchrist, Himmelberg, and Huberman (2004), there is no optimal capital structure, but δK is not equal to zero: mispricing is itself a function of investment. Polk and Sapienza focus on catering effects and do not consider financing (e equal to zero in this setup), while Gilchrist et al. model the market timing decisions of managers with long horizons (λ equal to one).Financial policy. The demand curve for a firm’s equity slopes down under the natural assumption that δe is negative, e.g., issuing shares partly corrects mispricing.4 When investment and financing are separable, managers act like monopolists. This is easiest to see when managers 4 Gilchrist et al. (2004) model this explicitly with heterogeneous investor beliefs and short-sales constraints.have long horizons, and they sell down the demand curve until marginal revenue δ is equal to marginal cost –e δe . Note that price remains above fundamental value even after the issue: “corporate arbitrage” moves the market toward, but not all the way to, market efficiency.5 Managers sell less equity when they care about short-run stock price (λ less than one, here). For example, in Ljungqvist, Nanda, and Singh (2004), managers expect to sell their own shares soon after the IPO and so issue less as a result. Managers also sell less equity when there are costs of suboptimal leverage.Other corporate decisions. Managers do more than simply invest and issue equity, and this framework can be expanded to accommodate other decisions. Consider dividend policy. Increasing or initiating a dividend may simultaneously affect both fundamental value, through taxes, and the degree of mispricing, if investors categorize stocks according to payout policy as they do in Baker and Wurgler (2004a). The tradeoff is()()()⋅+=⋅−−d d e K f δλλ1,, where the left-hand side is the tax cost of dividends, for example, and the right-hand side is the market timing gain, if the firm is simultaneously issuing equity, plus the catering gain, if the manager has short horizons. In principle, a similar tradeoff governs the earnings management decision or corporate name changes; however, in the latter case, the fundamental costs of catering would presumably be small.B. Empirical challengesThe framework outlined above suggests a role for securities mispricing in investment, financing, and other corporate decisions. The main challenge for empirical tests in this area is 5 Total market timing gains may be even higher in a dynamic model where managers can sell in small increments down the demand curve.measuring mispricing, which by its nature is hard to pin down. Researchers have found several ways to operationalize empirical tests, but none of them is perfect.Ex ante misvaluation. One option is to take an ex ante measure of mispricing, for instance a scaled-price ratio in which a market value in the numerator is related to some measure of fundamental value in the denominator. Perhaps the most common choice is the market-to-book ratio: A high market-to-book suggests that the firm may be overvalued. Consistent with this idea, and the presumption that mispricing corrects in the long run, market-to-book is found to be inversely related to future stock returns in the cross-section by Fama and French (1992) and in the time-series by Kothari and Shanken (1997) and Pontiff and Schall (1998). Also, extreme values of market-to-book are connected to extreme investor expectations by Lakonishok, Shleifer and Vishny (1994), La Porta (1996), and La Porta, Lakonishok, Shleifer, and Vishny (1997).One difficulty that arises with this approach is that the market-to-book ratio or another ex ante measure of mispricing may be correlated with an array of firm characteristics. Book value is not a precise estimate of fundamental value, but rather a summary of past accounting performance. Thus, firms with excellent growth prospects tend to have high market-to-book ratios, and those with agency problems might have low ratios—and perhaps these considerations, rather than mispricing, drive investment and financing decisions. Dong, Hirshleifer, Richardson, and Teoh (2003) and Ang and Cheng (2003) discount analyst earnings forecasts to construct an arguably less problematic measure of fundamentals than book value.Another factor that limits this approach is that a precise ex ante measure of mispricing would represent a profitable trading rule. There must be limits to arbitrage that prevent rational investors from fully exploiting such rules and trading away the information they contain about mispricing. But on a more positive note, the same intuition suggests that variables like market-to-book are likely to be a more reliable mispricing metric in regions of the data where short-sales constraints and other (measurable) arbitrage costs and risks are most severe. This observation has been exploited as an identification strategy.Ex post misvaluation. A second option is to use the information in future returns. The idea is that if stock prices routinely decline after a corporate event, one might infer that they were inflated at the time of the event. However, as detailed in Fama (1998) and Mitchell and Stafford (2000), this approach is also subject to several critiques.The most basic critique is the joint hypothesis problem: a predictable “abnormal” return might mean there was misvaluation ex ante, or simply that the definition of “normal” expected return (e.g., CAPM) is wrong. Perhaps the corporate event systematically coincides with changes in risk, and hence the return required in an efficient capital market. Another simple but important critique regards economic significance. Market value-weighting or focusing on NYSE/AMEX firms may reduce abnormal returns or cause them to disappear altogether.There are also statistical issues. For instance, corporate events are often clustered in time and by industry—IPOs are an example considered in Brav (2000)—and thus abnormal returns may not be independent. Barber and Lyon (1997) and Barber, Lyon, and Tsai (1999) show that inference with buy-and-hold returns (for each event) is challenging. Calendar-time portfolios, which consist of an equal- or value-weighted average of all firms making a given decision, have fewer problems here, but the changing composition of these portfolios adds another complication to standard tests. Loughran and Ritter (2000) also argue that such an approach is a less powerful test of mispricing, since the clustered events have the worst subsequent performance. A final statistical problem is that many studies cover only a short sample period. Schultz (2003) showsthat this can lead to a small sample bias if managers engage in “pseudo” market timing, making decisions in response to past rather than future price changes.Analyzing aggregate time series resolves some of these problems. Like the calendar time portfolios, time series returns are more independent. There are also established time-series techniques, e.g. Stambaugh (1999), to deal with small-sample biases. Nonetheless, the joint hypothesis problem remains, since rationally required returns may vary over time.But even when these econometric issues can be solved, interpretational issues may remain. For instance, suppose investors have a tendency to overprice firms that have genuinely good growth opportunities. If so, even investment that is followed by low returns need not be ex ante inefficient. Investment may have been responding to omitted measures of investment opportunities, not to the misvaluation itself.Cross-sectional interactions. Another identification strategy is to exploit the finer cross-sectional predictions of the theory. In this spirit, Baker, Stein, and Wurgler (2003) consider the prediction that if f e is positive, mispricing should be more relevant for financially constrained firms. More generally, managerial horizons or the fundamental costs of catering to sentiment may vary across firms in a measurable way. Of course, even in this approach, one still has to proxy for mispricing with an ex ante or ex post method. To the extent that the hypothesized cross-sectional pattern appears strongly in the data, however, objections about the measure of mispricing lose some steam.C. Investment policyOf paramount importance are the real consequences of market inefficiency. It is one thing to say that investor irrationality has an impact on capital market prices, or even financing policy,。

国内外研究融资问题的综述

国内外研究融资问题的综述一、国内研究1.融资结构与公司治理国内学者对融资结构与公司治理关系的研究较为丰富。

他们认为，不同的融资结构会对公司的治理结构产生影响，进而影响公司的经营绩效和长期发展。

例如，股权融资和债权融资的比例、股权集中度、董事会结构等都会对公司治理产生影响。

2.融资方式与效率国内学者对融资方式与效率的研究也较多。

他们认为，不同的融资方式会对公司的融资效率产生影响。

例如，股权融资、债权融资、混合融资等不同的融资方式，会对公司的融资成本、融资期限、融资风险等方面产生影响，进而影响公司的经营绩效和长期发展。

3.融资约束与投资行为国内学者对融资约束与投资行为的研究也较多。

他们认为，融资约束会对公司的投资行为产生影响。

例如，当公司面临融资约束时，可能会减少投资支出、降低投资效率、增加投资风险等，进而影响公司的长期发展。

二、国外研究1.信息不对称与融资问题国外学者对信息不对称与融资问题的研究较为深入。

他们认为，信息不对称是导致融资问题的主要原因之一。

例如，在股权融资中，投资者往往无法完全了解公司的真实情况，因此会对公司的估值产生偏差，进而影响公司的融资效率和长期发展。

2.金融市场与融资问题国外学者对金融市场与融资问题的研究也较多。

他们认为，金融市场的完善程度会对公司的融资效率和成本产生影响。

例如，金融市场的发达程度越高，公司的融资渠道越多样化，融资效率越高，成本越低。

3.公司治理与融资问题国外学者对公司治理与融资问题的研究也较多。

他们认为，公司治理结构会对公司的融资效率和成本产生影响。

例如，董事会结构、股权集中度、管理层激励等都会对公司治理产生影响，进而影响公司的融资效率和成本。

综上所述，国内外对于融资问题的研究涉及多个领域和方面。

这些研究为我们更好地理解融资问题提供了重要的理论依据和实践指导。

行为金融学综述

行为金融学综述行为金融学(behavioral finance，BF)作为新兴的金融学分支与占据金融学统治地位已经有三十年之久的有效市场假说(efficient market hypothesis,EMH)，对金融学的基础——套利，投资人理性以及自1980年代以来涌现出来的大量异常现象进行了达二十年之长的争论，双方此消彼长，加深了人们对金融市场的理解，促进了金融学向更广更深的方向发展。

一、介绍在传统金融学的范式中，“理性”意味着两个方面：首先，代理人的信仰是正确的：他们用于预测未知变量未来实现的主观分布就是那些被抽取实现的分布。

其次，给定他们的信仰，在与Savage的主观期望效用（SEU）概念相一致的意义上，代理人做出正常可接受的选择。

BF是一种研究金融市场崭新方法，至少部分地以对传统范例面临的困难做出反应的面貌出现的。

广义上，BF认为通过使用某些代理人不是完全理性的模型，可以更好的理解某些金融现象。

在某些行为金融学模型中，代理人的信仰不完全正确，大都是因为不恰当的应用贝叶斯法则。

在另一些模型中，代理人的信仰是正确的但做出的选择通常是有疑问的，与SEU不相容。

BF最大的成功之一是一系列理论文章表明在理性交易者和非理性交易者相互影响的经济体中，非理性对价格的影响是实质性的和长期的。

文献称之为“套利限制（limits of arbitrage）”，这构成了BF的两大块之一。

（见第二部分）为了做出清晰的预测，行为模型常需要指定代理人的非理性形式。

人们究竟怎样误用贝叶斯法则或偏离SEU呢？在此引导下，行为经济学家们典型地求助于认知心理学家汇编的大量实验证据，这些都是关于人们形成信仰时潜在的偏误，和人们的偏好或给定信仰后怎样做出决策的。

因此心理学构成了BF的第二大块。

（见第三部分）我们考虑BF的特殊应用：理解整个股市，平均回报的横截面情况，封闭式基金定价；理解投资者特殊群体怎样选择其资产组合和跨时交易；理解证券发行，资本结构和公司的股利政策。

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国内外行为金融的应用研究综述
摘要：行为金融理论不断发展的同时，其应用也越来越广，综观国内外对行为金融的应用研究，主要集中在对金融市场上异常现象的解释、投资策略研究，此外与博弈论的结合研究也逐步涉入与发展；研究领域包括证券市场、金融衍生市场、银行信贷市场与一般的金融投资市场等；研究对象主要集中证券市场中的有限理性个体、群体行为及非有效市场。

文章拟就行为金融在国内外的应用研究作一系统性梳理，并加以评述以探讨其进一步的研究方向。

关键词：行为金融；应用研究；综述当Kahneman&Tversky（1979，1992）的期望理论被引入资产定价研究时，现代金融范式就开始遭受到严重置疑，这也是行为金融理论研究史上的一个里程碑。

事实上，正式转向对行为金融的研究是在检验EMH/CAPM过程中碰到无法解释的市场问题时开始的，可以说，行为金融是现代金融理论危机的产物。

随着金融市场的发展，金融经济学家和投资实践家们不断地发现现代金融理论与现实金融市场的冲突，并尝试从多个角度进行革新，在不断发展与实践中产生了行为金融理论。

行为金融理论来源于实践，又反过来不断解释实践中很多现代金融理论无法解释的异象。

在行为金融理论发展的同时，其应用范围也扩展到金融与投资及其延伸领域，为更好的应用行为金融相关理论去分析实践中的金融现象，并制定相应的政策措施，本文拟就行为金融在国内外的应用研究作一系统性梳理与简要述评。

一、国外应用研究进展（一）行为金融理论对股权溢价之谜、波动性之谜、预测之谜的解释较多学者通过实证研究发现股票市场在历史上
1。