金融市场假说:2013诺奖得主的分歧及其弥合

发布时间：2018-01-20 10:57

  本文关键词： 金融市场假说 诺贝尔奖 有效市场假说 行为金融 适应性市场假说　出处：《理论探索》2014年01期 　论文类型：期刊论文

【摘要】：2013年诺贝尔经济学奖得主尤金·法玛致力于把新古典金融理论引入主流经济学,而另一位诺奖得主罗伯特·席勒则是通过行为金融视角探析资产价格的动态。由尤金·法玛集大成的有效市场假说和以罗伯特·席勒为代表的行为金融,对于如何看待金融市场的本质,曾经进行过长期的争论和激辩。二者的分歧集中表现在对市场参与者决策行为的不同假设上,有效市场假说认为投资者的决策以理性预期、风险厌恶和效用最大化为基础;而行为金融则指出投资者并非理性,且其风险偏好具有时变性,在投资决策中经常受"认知偏差"和"有限套利"的影响,认知偏差导致市场产生错误价格,而有限套利则使价格错误成为常态。伴随着长期学术争鸣而来的是更多创新性观点的涌现,其中由华裔金融学家罗闻全提出的适应性市场假说,弥合了有效市场假说与行为金融之间的分歧,为两种理论建立了具有内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.
【作者单位】： 北京师范大学;
【基金】：国家社会科学基金重点项目“我国经济发展方式转型中的金融保障体系研究”(10AJL005),负责人胡海峰;国家社会科学基金重大项目“加快推进对外经济发展方式转变研究”(10ZD&017),负责人李，

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