the rational herd

the rational herd

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时间:2018-02-10

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1、14.THERATIONALHERDBlackMondayreignitedinterestinKeynes’sviewoffinance,whichhadbeenlargelyforgotten,atleastintheUnitedStates.InJune1990,twoyoungeconomistsfromMITandHarvard,DavidScharfsteinandJeremyStein,publishedanarticleinTheAmericanEconomicReviewentitled“HerdBehaviorandInvestment,”whi

2、chbeganbycitingKeynes’squip“Worldlywisdomteachesthatitisbetterforreputationtofailconventionallythantosucceedunconventionally.”ScharfsteinandSteinwentontoconstructamathematicalmodel,demonstratingthatinsomecircumstancesitwasanoptimalstrategyforinvestmentmanagerstomimictheactionsofothersr

3、atherthantrusttheirownjudgments.ThesetupoftheScharfstein-SteinmodelwassomewhatdifferentfromtheBeautyContest,butthereasoningthatmotivateditwasthesame:ifaninvestmentmanagergoeswiththecrowdandthingsturnoutbadly,hegetstosharetheblamewitheverybodyelse;ifhefollowsacontrarianstrategy,hebearss

4、oleresponsibilityforhismistakes.“Theunderlyingideaisthatifyoudosomethingdumb,buteverybodyelseisdoingthesamedumbthingatthesametime,peoplewon’tthinkofyouasstupid,anditwon’tbeharmfultoyourreputation,”Steinexplainedtomeinaninterviewsomeyearsago.“Wefirstgotmotivatedbythe1987crash.Theconvent

5、ionalwisdomleadinguptoitwaseverybodythoughtthemarketwasovervalued,butallthefundmanagerssaid,‘Gee,alltheotherguysareinequities,soIoughttobeinequities,too.Ifitgoesdown,we’llallgodowntogether.IfIbailout,Imaybetheoneguywhobailedouttoosoon.’Ifyoubelievethisstoryistrue,itmeansthemarketismore

6、fragileandunstable.Ifeverybodyactsontheirownopinion,you’dhaveadiversityofopinioninthemarketplace,whereasthiswayeverybodyisfollowingthegroup.Ifthegroupshifts,theneverybodyshifts.”FollowingthepublicationoftheScharfsteinandSteinpaper,otherresearchersprovidedempiricalevidencethatsupportedi

7、t.AfteranalyzingthehiringandfiringoffundmanagersatmutualfundfirmssuchasFidelity,FranklinTempleton,andT.RowePrice,JudithChevalier,whoisnowattheYaleSchoolofManagement,andGlennEllison,ofMIT,concludedthatyoungfundmanagerswhofollowedinvestmentstrategiesthatdeviatedsignificantlyfromtheirpe

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