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1、CHAPTER22TheBehaviorofIndividualInvestors*BradM.BarberaandTerranceOdeanbaGraduateSchoolofManagement,UniversityofCalifornia,Davis,Davis,CA95616,USA.Tel.:+1(530)7520512bHaasSchoolofBusiness,UniversityofCalifornia,Berkeley,Berkeley,CA94720,USA.Tel.:+1(510)6426767Contents1.ThePerformanceofIndividu
2、alInvestors15351.1TheAverageIndividual15351.1.1Long-HorizonResults15401.1.2Short-HorizonResults15421.1.3Marketvs.LimitOrders15431.2Cross-SectionalVariationinPerformance15442.WhydoIndividualInvestorsUnderperform?15472.1AsymmetricInformation15472.2Overconfidence15472.3SensationSeeking15492.4Fami
3、liarity15503.TheDispositionEffect:SellingWinnersandHoldingLosers15513.1TheEvidence15513.2WhyDoInvestorsPrefertoSellWinners?15574.ReinforcementLearning15595.Attention:ChasingtheAction15596.FailuretoDiversify15607.AreIndividualInvestorsContrarians?15648.Conclusion1565References1565Thebulkofresea
4、rchinmoderneconomicshasbeenbuiltonthenotionthathumanbeingsarerationalagentswhoattempttomaximizewealthwhileminimizingrisk.Theseagentscarefullyassesstheriskandreturnofallpossibleinvestmentoptionstoarriveataninvestmentportfoliothatsuitstheirlevelofriskaversion.Modelsbasedonthese*WethankNicholasBa
5、rberis,SimonGervais,MarkkuKaustia,MattiKeloharju,AndreiSimonov,PaoloSodini,ReneStulz,SheridanTitman,StephenUtkus,JingYao,andLuoZuoforcommentsonthispaper.WethankNoahStoffmanforprovidinguswithananalysisofthedispositioneffectfortheFinnishdataset.LaneySmithprovidedvaluableresearchassistance.Handbo
6、okoftheEconomicsofFinance©2013ElsevierB.V.http://dx.doi.org/10.1016/B978-0-44-459406-8.00022-6Allrightsreserved.15331534BradM.BarberandTerranceOdeanassumptionsyieldpowerfulinsightsintohowmarketswork.Forexample,intheCapitalAsset-PricingModel—thereigningworkhorseofasset-pricingmodels—investorsho
7、ldwell-diversifiedportfoliosconsistingofthemarketportfolioandrisk-freeinvestments.InGrossmanandStiglitz’s(1980)rationalexpectationsmodel,someinvestorschoosetoacquirecostlyinformationandotherschoosetoinvestpassively.Informed,active,inves
