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1、HumanBehaviorandtheEfficiencyoftheFinancialSystemby*RobertJ.ShillerAbstractRecentliteratureinempiricalfinanceissurveyedinitsrelationtounderlyingbehavioralprinciples,principleswhichcomeprimarilyfrompsychology,sociologyandanthropology.Thebehavioralprinciplesdiscussedare:prospecttheory,re
2、gretandcognitivedissonance,anchoring,mentalcompartments,overconfidence,over-andunderreaction,repre-sentativenessheuristic,thedisjunctioneffect,gamblingbehaviorandspeculation,perceivedirrelevanceofhistory,magicalthinking,quasi-magicalthinking,attentionanomalies,theavailabilityheuristic,
3、cultureandsocialcontagion,andglobalculture.Theoriesofhumanbehaviorfrompsychology,sociology,andanthropologyhavehelpedmotivatemuchrecentempiricalresearchonthebehavioroffinancialmarkets.InthispaperIwillsurveybothsomeofthemostsignificanttheories(forempiricalfinance)intheseothersocialscienc
4、esandtheempiricalfinanceliteratureitself.Particularattentionwillbepaidtotheimplicationsofthesetheoriesfortheefficientmarketshypothesisinfinance.Thisisthehypothesisthatfinancialpricesefficientlyincorporateallpublicinformationandthatpricescanberegardedasoptimalestimatesoftrueinvestmentva
5、lueatalltimes.Theefficientmarketshypothesisinturnisbasedonmoreprimitivenotionsthatpeoplebehaverationally,oraccuratelymaximizeexpectedutility,andareabletoprocessallavailableinformation.Theideabehindtheterm“efficientmarkets1hypothesis,”atermcoinedbyHarryRoberts(1967),hasalonghistoryinfin
6、ancialresearch,afarlongerhistorythanthetermitselfhas.Thehypothesis(withoutthewords*ThispaperwaspreparedforJohnB.TaylorandMichaelWoodford,Editors,HandbookofMacroeconomics.Anearlierversionwaspresentedataconference“RecentDevelopmentsinMacro-economics”attheFederalReserveBankofNewYork,Febru
7、ary27–8,1997.TheauthorisindebtedtoRickyLamforresearchassistance,andtoMichaelKrause,VirginiaShiller,AndreiShleifer,DavidWilcox,andtheeditorsforhelpfulcomments.ThisresearchwassupportedbytheNationalScienceFoundation.1TheRoberts(1967)paperhasneverbeenpublished;thefameofhispaperapparently
