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1、十二、市场有效性理论十二、市场有效性理论与行为金融二与行为金融二证券与期货学院证券与期货学院西南财经大学西南财经大学20092009“Behaviouralfinanceisthestudyoftheinfluenceofpsychologyonthebehaviouroffinancialpractitionersandthesubsequenteffectonmarkets."--Sewell(2005)SchoolofSecuritiesandfutures,SWUFE2009证券市场基础2KeyPointsKeyPoints°°AgeneralreviewofBehavioralF
2、inanceAgeneralreviewofBehavioralFinance°°MarketanomaliesandtheraisingofMarketanomaliesandtheraisingofBehavioralFinanceBehavioralFinance°°LimitofarbitrageLimitofarbitrage°°PsychologicaleffectsPsychologicaleffectsSchoolofSecuritiesandfutures,SWUFE2009证券市场基础3EMHandAnomaliesEMHandAnomalies°°TheDispute
3、andtheevidenceTheDisputeandtheevidence…………°°TherearesomethingthatcannotbeTherearesomethingthatcannotbeexplainedbytraditionalapproachexplainedbytraditionalapproach——anomaliesanomalies:Sizeeffect,Valueeffects,:Sizeeffect,Valueeffects,Calendareffects,ExcessvolatilityCalendareffects,Excessvolatility……
4、……°°Howtounderstandthosephenomena?Howtounderstandthosephenomena?SchoolofSecuritiesandfutures,SWUFE2009证券市场基础4WinnersandLosersWinnersandLosersSchoolofSecuritiesandfutures,SWUFE2009证券市场基础5BehavioralApproachBehavioralApproach°°LookingforalternativeexplanationsLookingforalternativeexplanations°°Psycho
5、logicalevidencehelpsPsychologicalevidencehelps……°°TheraisingofBehavioralFinance:vastTheraisingofBehavioralFinance:vastliteratures:literatures:http://http://www.behaviouralfinance.netwww.behaviouralfinance.net//SchoolofSecuritiesandfutures,SWUFE2009证券市场基础6TwoBuildingBlocksofBFTwoBuildingBlocksofBFB
6、ehavioralFinancePsychologyLimitofArbitrageSchoolofSecuritiesandfutures,SWUFE2009证券市场基础7LimitofArbitrage:ArbitrageLimitofArbitrage:Arbitrage°°ConditionsofArbitrage:ConditionsofArbitrage:noinitialoutlays;noinitialoutlays;positivegain.positivegain.°°Example:Example:therearetwostatesofworldandthereare
7、twostatesofworldandthreestocks:threestocks:Payoffs:A(10,8);B(8,0);C(9,12)Payoffs:A(10,8);B(8,0);C(9,12)Prices:PA=3;PB=2;PC=?Prices:PA=3;PB=2;PC=?SchoolofSecuritiesandfutures,SWUFE2009证券市场基础8LimitofArbitrage:reaso
