behavioural-finance

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1、BehaviouralFinanceMartinSewellUniversityofCambridgeFebruary2007(revisedApril2010)AbstractAnintroductiontobehaviouralnance,includingareviewofthemajorworksandasummaryofimportantheuristics.1IntroductionBehaviouralnanceisthestudyofthein uenceofpsychologyonthebehaviourofnancialpractitione

2、rsandthesubsequenteectonmarkets.Behaviouralnanceisofinterestbecauseithelpsexplainwhyandhowmarketsmightbeinecient.Formoreinformationonbehaviouralnance,seeSewell(2001).2HistoryBackin1896,GustaveleBonwroteTheCrowd:AStudyofthePopularMind,oneofthegreatestandmostin uentialbooksofsocialpsy

3、chologyeverwritten(leBon1896).Selden(1912)wrotePsychologyoftheStockMarket.Hebasedthebook`uponthebeliefthatthemovementsofpricesontheexchangesaredependenttoaveryconsiderabledegreeonthementalattitudeoftheinvestingandtradingpublic'.In1956theUSpsychologistLeonFestingerintroducedanewconceptin

4、socialpsychology:thetheoryofcognitivedissonance(Festinger,RieckenandSchachter1956).Whentwosimultaneouslyheldcognitionsareinconsistent,thiswillproduceastateofcognitivedissonance.Becausetheexperienceofdissonanceisunpleasant,thepersonwillstrivetoreduceitbychangingtheirbeliefs.Pratt(1964)co

5、nsidersutilityfunctions,riskaversionandalsorisksconsid-eredasaproportionoftotalassets.TverskyandKahneman(1973)introducedtheavailabilityheuristic:`ajudg-mentalheuristicinwhichapersonevaluatesthefrequencyofclassesortheprob-abilityofeventsbyavailability,i.e.bytheeasewithwhichrelevantinstan

6、cescometomind.'Therelianceontheavailabilityheuristicleadstosystematicbiases.1In1974,twobrilliantpsychologists,AmosTverskyandDanielKahneman,describedthreeheuristicsthatareemployedwhenmakingjudgmentsunderuncertainty(TverskyandKahneman1974):representativenessWhenpeopleareaskedtojudgethepro

7、babilitythatanobjectoreventAbelongstoclassorprocessB,probabilitiesareevaluatedbythedegreetowhichAisrepresentativeofB,thatis,bythedegreetowhichAresemblesB.availabilityWhenpeopleareaskedtoassessthefrequencyofaclassortheprobabilityofanevent,theydosobytheeasewithwhichinstancesorocc