证券市场行为金融中英文对照外文翻译文献

PAGE -PAGE１-中英文对照外文翻译文献中英文对照外文翻译文献(文档含英文原文和中文翻译)外文翻译：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.行为金融1.引言行为金融学就是用来研究金融市场的一种新型的模型。它所依据的模型假设基础要比冯•诺依曼或摩根斯坦提出的那些已普遍使用的期望效用理论和套利假设模型要小很多。具体而言，行为金融学有两个组成部分：认知心理学和有限套利。认知是指人们如何思考的过程。目前已经存在大量的心理学方面的文献说明了人们如何依靠他们具有偏差的思考导致做出系统误差的行为。原因可能有：投资者总是过于自信，他们过分关注于最近的市场经验等等。另外，他们的偏好也可能造成偏差。而行为金融学则使用人们的具体行为方法而不是采取那些高高在上的定价理论来研究金融市场，那些理论应该暂时被忽略。另一组成部分有限套利则指应该如何预测市场当套利行为有效的时候或者当套利者的套利行为受到限制时。行为金融学所使用的模型通常是假设一些市场机构不是完全理性，其原因是投资者的喜好或者是错误的信念。关于偏好假设的一个典型例子是：人们厌恶风险和损失。2美元的增益使人感到的快乐可能和1美元的亏损所带来槽糕的情绪的效果是一样的。错误信念的产生是因为他们没有遵循贝叶斯法则。现代金融理论已经开始质疑有效市场假说。有效市场假说认为，理性投资者之间追求套利利润的竞争会使市场价格回归正确的区间。有效市场假说并不认为所有的投资者都是理性的，但它确实认为市场是理性的。有效市场假说并不认为市场能够预见未来，但它确实认为市场能做出对未来的准确预测。与此相反，行为金融假定，在某些情况下，金融市场不是信息强有效的。然而并非所有错误估价都是由心理偏见造成的，有些情况只是由于暂时的供需失衡。例如，对于仅依靠评估指数的作用可能会导致产生与公司未来现金流量无关的需求变化。当雅虎在1999年12月加入标准普尔500指数时，基金经理不得不买其股票即使当它必须有限量持有公众股票时。这种额外的需求推动了价格在一个星期涨了50％和一个月内涨了100％。然而在十八个月后，以它刚加入到标准普尔指数的价格下跌依然超过90％。如果抢占位置是简单的(卖空估值过高的股票或购买低估股票)而且这些错位评价一定要在短期内得到解决。那么套利将抢占市场并且在他们变大之前消除这些错位定价。然而如果由于短期销售限制将很难在合理的时间内抢占位置。举个例子，如果不能保证错误的定价会在短期的有效时间框架中得到消除，那么理性套利将不能是价格回归正常。事实上，由于风险太大了，套利者可能会选择避免错误定价严重的市场，尤其是那些涉及巨额交易的市场。例如，在80年代末的日本股市或在90年代末的美国市场中的科技股。套利者们曾经试图短期套利1987年10月的日本股市，来中和对冲美国股市。这在长期来看是正确的行为。但是他们在10月的美国股市由于日本政府的干预造成日本市场崩溃中损失了巨额资金。如果套利者只有有限的资金，他们将被迫回补头寸当相关错误定价差额巨大时，从而会导致日本股市额外的购买压力。5.结论这个关于行为金融学简短的介绍了只谈到了几点。更广泛的分析可以参考巴尔贝里斯和泰勒（2003），赫什莱佛（2001），舍夫林（2000），和希勒（2000）的文献。在市场中非常难找到可以非常可靠地赚钱的交易策略。但这并不意味着金融市场是信息有效的市场。然而，低概率的错误定价可能是非常巨大，丝毫没有任何机会来可靠地赚钱。举一个例子，那些个人或者机构在1987-1988年做空那时已被大幅高估的日本股市，或1989年初台湾被大幅高估的股票，又或者TMT股票在美国，欧洲和香港(在1999年年初个人或者机构就已经进行了大幅高估)，这些行为最后都失去了大量资金，因为这些股票反而变得更加的高度估值。大多数短期做空的套利者，在长期看来是正确的，但是在短期市场时，他们在错误的定价开始消失之前就已经被逐出了市场。因此，套利的力量，对于高频率发生的事件则具有想很好的效果，而对于低频率事件则效果很差。行为金融学这一理论，相对而言，还处于起步阶段。但它并不是一个被分离的学科，未来它将日益成为主流金融理论的一部分。作者：JayRRitter.国籍：American出处：Pacific-BasinFinanceJournal,2003,114外文翻译之二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.中国分段股票市场：条件化的国际资本资产模型的应用摘要我国分为多个板块的证券市场的这一现状，为以国内外多个视角的条件下研究国际资产定价理论提供了一个机会。我们使用德桑蒂斯和杰勒德的多变量的GARCH-M框架(德桑蒂斯,G杰勒德,B,1998.货币风险的溢价有多大?金融经济学杂志49,375–412)。但是考虑到发展中国家市场的适度分割，我们增加了对当地条件具体化风险的研究以及研究全球、地方风险、中国市场的货币风险在随时间变化的中国市场是如何定价的。这种对随时间变化的货币风险的定价表明了中国严格的货币管制并没有充分地降低汇率风险以稳定货币价值。我们同时还发现，在中国A股市场的局部风险的价格是不随发达国家市场的时间变化，而是与新兴市场的发展相关。这一发现意味着中国A股市场比起新兴市场，和发达国家的完善市场更具可比性。然而，中国B股市场的研究结果