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chapter 1 a survey of behavioral finance …(第1章的调查行为金融学u2026)
Chapter 1
A SURVEY OF BEHAVIORAL FINANCE
Nicholas Barberis and Richard Thaler
1. Introduction
The traditional finance paradigm, which underlies many of the other arti
cles in this handbook, seeks to understand financial markets using models
in which agents are “rational.” Rationality means two things. First, when
they receive new information, agents update their beliefs correctly, in the
manner described by Bayes’s law. Second, given their beliefs, agents make
choices that are normatively acceptable, in the sense that they are consis
tent with Savage’s notion of Subjective Expected Utility (SEU).
This traditional framework is appealingly simple, and it would be very
satisfying if its predictions were confirmed in the data. Unfortunately, after
years of effort, it has become clear that basic facts about the aggregate
stock market, the cross-section of average returns and individual trading
behavior are not easily understood in this framework.
Behavioral finance is a new approach to financial markets that has
emerged, at least in part, in response to the difficulties faced by the tradi
tional paradigm. In broad terms, it argues that some financial phenomena
can be better understood using models in which some agents are not fully
rational. More specifically, it analyzes what happens when we relax one, or
both, of the two tenets that underlie individual rationality. In some behav
ioral finance models, agents fail to update their beliefs correctly. In other
models, agents apply Bayes’s law properly but make choices that are nor
matively questionable, in that they are incompatible with SEU.1
We are very grateful to Markus Brunnermeier, George Constantinides, Kent Daniel, Milt Har
ris, Ming Huang, Owen Lamont, Jay Ritter, Andrei Shleifer, Jeremy Stein and Tuomo
Vuolteenaho f
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