股票投资组合分散化翻译汇总版

1、股票投资组合分散化AbstracL This study shows that l.'.S. individual investors hold uiider-dncrsified porrfblios, where ths； level of under did t?n;irkation is greater dmimglaw-income, less-educated, and les-sopliisticatcd investors. The 】evel of under-diversifiction is also correlated with invesimcnt choi

2、ces that arc const stent with wer*ccnfLdt?ncch trend-fbllouing bdwvior, and local bias. Fiirthcrmare. invesiors who oer-eigh slocks with higher volatility imd higher skwncss are kss divcriillcd. In contrasi, there is link evidence that portfolio size or transaction costs constraint diversificaiicn.

3、Under-diversification is costly to most investors, bui a small subset of imestors under-diversify because of superior information.摘要：该研究显示了美国个体投资者持有投资组合的未分散程度较低，并且在年轻人、低收入、低学历和经验不足的投资者中尤为显著。投资组合未分散程度也与 投资者的过度自信、从众行为和本地偏好有关。甚至，持有过多浮动较大、偏度 较高的股票的投资者分散化程度较低。相反地，没有证据可以证明投资组合的规模或者交易成本会约束组合分散化。投资组合的未分散化的代

4、价对于大多数投资 者是昂贵的，除了少数拥有信息优势的投资者。L IntroductionU.S. equity risk has a large idiosyncratic component, much of which could be reduced through portlblio diversification. Most rational models of portfolio choice biggest that investors hold diversified portfolios to reduce or eliminate noncompensated risk,

5、and virtually all asset pricing models posit that securities are priced by a diversified, marginal investor who demancis hrtle or no compensation for holding idiosyncratic risk, Bui do invesiors hold well-diversified portfolios? Which individual characteristics or behavioral patterns are associated

6、with underdiversification? And whiit are the economic costs (if any) of under- d i ve rs ification?引言：美国股市风险组成中有一个很大的乖僻成分，其中大部分可以通过投资组合的分散化来降低。多数合理的投资组合选择模型建议投资者持有分散化投资组合从而降低或排除非系统 性风险，实际上所有的资产定价模型都假定有价证券是通过分散化的边际投资者来定价的， 这样的投资者持有那些乖僻风险仅需付出较少的代价或无需付出代价。但是，投资者真的持有合理分散化的投资组合吗？有哪些个体投资者或者行为模式与分散化有所关联呢？是

7、未 分散投资组合的经济成本又有多高呢？5* Summary and ConcluMonThis study examines the diversification choices of individual investors during a six-ycar period in recent U.S. capital market hisTorj; Using data from a Laige U.S. discount brokerage house, we find IhM investors in our sample are under-diversified, where u

8、nder-diversification is greater in retirement accounts. Overiime, the average divers讦icMion level improves, but the improved diversification does not necessarily imply that investors' portfolio composition skills have improved, To a large extent, the iinprovenicnts in the diversificaiion cliarac

9、teri sties of investor peril olios arc induced by changes in the correlation struclure of the U.S. equity market结论：该研究检验了最近美国资本市场史的一个6年个体投资者对于资产组合的分散化选择。在美国一家大型折扣经纪公司的数据中，我们发现样本中的投资者都未充分进行风险分散， 这种未充分分散风险的程度在退休账户中更为显著。随着时间的推移，平均的风险分散化程度有所改善，但是风险分散化程度的改善并不是因为投资者的投资技能的提升。在很大程度上，投资者分散化程度的提高是由美国投资市场结构性变化

10、而形成的。There is considerable heterogeneity in the diversificalion choices of individual investors. In the crossolder, wealthier, more experienced, »nd financially sophisticated investors firxl those who diversify with assets other than domestic stocks also hold relatively better diversified domes

11、tic stock portfolios. For instance.不冋个体投资者的分散化选择存在相当大的异质性。从截面数据看，更加年长、富有、有经验、专业的投资者，和那些将财产而不是国有股票分散化的投资者，同样持有相对较好的分散化的国内股票投资组合。The unexpectedly high idiosyncratic risk in investor portfolios results in a welfare loss. Examining the relation between diversif ication and performance, wc find that some

12、 investors undcr-diversify because they might have superior private in* lonnaiion. However, most investors could have improved the pertorniance of their portfolios by simply investing in one of the many available passive index funds*投资组合中没有被预期到的乖僻风险会给投资者造成收益损失。通过检验风险分散化和投资者行为之间的关系，我们发现一些投资者因为有信息优势而未

13、进行风险分散化。然而，大多数投资者其实可以通过简单地从众多的费用型指数基金中挑一个来投资，其从而来提高他们的投资行为。第一段：公司规模和账面市值比这两个突出的变量已经被证明和股票收益率有显著的相关性。Fama和French发现，股票收益率和公司规模呈负相关，和账面市值比呈正相关。他们同样 发现了股票收益率和3系数之间在统计上不相关。size and book-to-market ratios have emerged as the two prominent variables that are significantly related to stock returns.通常人们认为公司规模

14、和账面市值比两个指标是衡量股票收益率的重要指标。Fama and French find that stock retur ns are n egatively related to size and positively relatedto book-to-market ratios.Fama和French发现股票收益率与公司规模成负相关，与账面市值比呈正相关They also find that the relati on ship betwee n stock retur ns and beta is not statistically sig ni fica nt.他们还发现股票收益率

15、与贝塔系数之间呈不显著相关第二段略第三段：Fama和French将这些理论集合分为两种情境，在这些情境中，经验的结果可以被看到，两种情境，一个是合理估值，另一个是过度反应。（好多词。明天再翻译）Fama and French divide the set of theories into two contexts within which the empirical results can be viewed,one related to rational valuation and the other related to overreaction.Fama和French将上述理论划分为两部

16、分，一部分与理性价值有关，另一部分与过度反 应有关The essence of the rational valuation is that size and book-to-market are indicators of risk through their relationship with the econmic prospects of companies.理性价值评估的本质是通过公司规模和账面市值比两个风险指标的关系确定公司的经、”、If济前景The essence of overreaction,as described by De Bondt and Thaler,is tha

17、t investors overreact to recent stock returns,thereby causing the stocks of "losers" to become undervalued and the stocks of "winners" to become undervalued.过度反应的本质是投资者对近期股票收益率的过度反应， 如 De Bondt 何 Thaler 描述的， 造成（赢者输者效应）失败者的股票被低估，赢者的股票被高估第四段：Fama和French的分析挑战了很多的领域，Chan和Lakonishok强调

18、了收益率和 B之间的关系必须谨慎地理解，因为实现的收益率是充满噪音（干扰因素）的。Black 和 Roll、Ross认为如果基准投资组合的均值方差不符合正态分布的话，收益率和3的关系可能很弱。Black研究得更深入、 更谨慎， 他认为股票收益率、 公司规模和账面市值比可能会因为数据挖掘不 够而呈现出强有力关系。Famaand French's analysis has been challenged on several grounds.Fama and French 的分析对很多领域发起挑战Chan and Lakonishok emphasize that the relationship between returns and beta must be interpreted with caution because realized returns are noisy.Chan 和 Lakonishok 强调实际股票收益率和贝塔系数之间的关系必须谨慎的理解，因为 实际收益率是充满噪音的。Black and Rpll and Ross say that the relationship between returns and beta might be weak if the benchmark p