發(fā)布時間：2018-01-20 10:57

  本文關(guān)鍵詞： 金融市場假說 諾貝爾獎 有效市場假說 行為金融 適應(yīng)性市場假說　出處：《理論探索》2014年01期 　論文類型：期刊論文

【摘要】：2013年諾貝爾經(jīng)濟(jì)學(xué)獎得主尤金·法瑪致力于把新古典金融理論引入主流經(jīng)濟(jì)學(xué),而另一位諾獎得主羅伯特·席勒則是通過行為金融視角探析資產(chǎn)價格的動態(tài)。由尤金·法瑪集大成的有效市場假說和以羅伯特·席勒為代表的行為金融,對于如何看待金融市場的本質(zhì),曾經(jīng)進(jìn)行過長期的爭論和激辯。二者的分歧集中表現(xiàn)在對市場參與者決策行為的不同假設(shè)上,有效市場假說認(rèn)為投資者的決策以理性預(yù)期、風(fēng)險厭惡和效用最大化為基礎(chǔ);而行為金融則指出投資者并非理性,且其風(fēng)險偏好具有時變性,在投資決策中經(jīng)常受"認(rèn)知偏差"和"有限套利"的影響,認(rèn)知偏差導(dǎo)致市場產(chǎn)生錯誤價格,而有限套利則使價格錯誤成為常態(tài)。伴隨著長期學(xué)術(shù)爭鳴而來的是更多創(chuàng)新性觀點(diǎn)的涌現(xiàn),其中由華裔金融學(xué)家羅聞全提出的適應(yīng)性市場假說,彌合了有效市場假說與行為金融之間的分歧,為兩種理論建立了具有內(nèi)在一致性的分析框架。
[Abstract]:In 2013, the Nobel laureate in economics, Eugene Fama, was dedicated to bringing neoclassical financial theory into mainstream economics. And another Nobel laureate, Robert Schiller, looked at the dynamics of asset prices from a behavioral finance perspective, the efficient Market hypothesis (EMH) built by Eugene Fama, and behavioral finance, represented by Robert Schiller. There has been a long debate on how to look at the nature of financial markets. The difference between the two focuses on the different assumptions about the decision-making behavior of market participants. The efficient market hypothesis holds that investors' decisions are based on rational expectations, risk aversion and utility maximization. Behavioral finance points out that investors are not rational, and their risk preferences are time-varying. They are often influenced by "cognitive bias" and "limited arbitrage" in investment decisions. Cognitive bias leads to wrong prices in the market. But limited arbitrage makes the price error become the norm. Along with the long-term academic controversy is the emergence of more innovative ideas, including the adaptive market hypothesis put forward by Luo Wenquan, a Chinese financial scientist. The differences between efficient market hypothesis and behavioral finance are bridged, and an analytical framework with internal consistency is established for the two theories.
【作者單位】： 北京師范大學(xué);
【基金】：國家社會科學(xué)基金重點(diǎn)項目“我國經(jīng)濟(jì)發(fā)展方式轉(zhuǎn)型中的金融保障體系研究”(10AJL005),負(fù)責(zé)人胡海峰;國家社會科學(xué)基金重大項目“加快推進(jìn)對外經(jīng)濟(jì)發(fā)展方式轉(zhuǎn)變研究”(10ZD&017),負(fù)責(zé)人李，

本文編號：1447941