PAGE -PAGE１-中英文對照外文翻譯文獻中英文對照外文翻譯文獻(文檔含英文原文和中文翻譯)外文翻譯：BehavioralFinance1.IntroductionBehavioralfinanceistheparadigmwherefinancialmarketsarestudiedusingmodelsthatarelessnarrowthanthosebasedonVonNeumann–Morgensternexpectedutilitytheoryandarbitrageassumptions.Specifically,behavioralfinancehastwobuildingblocks:cognitivepsychologyandthelimitstoarbitrage.Cognitivereferstohowpeoplethink.Thereisahugepsychologyliteraturedocumentingthatpeoplemakesystematicerrorsinthewaythattheythink:Theyareoverconfident,theyputtoomuchweightonrecentexperience,etc.Theirpreferencesmayalsocreatedistortions.Behavioralfinanceusesthisbodyofknowledgeratherthantakingthearrogantapproachthatitshouldbeignored.Limitstoarbitragereferstopredictinginwhatcircumstancesarbitrageforceswillbeeffective,andwhentheywillnotbe.Behavioralfinanceusesmodelsinwhichsomeagentsarenotfullyrational,eitherbecauseofpreferencesorbecauseofmistakenbeliefs.Anexampleofanassumptionaboutpreferencesisthatpeoplearelossaverse—a$2gainmightmakepeoplefeelbetterbyasmuchasa$1lossmakesthemfeelworse.MistakenbeliefsarisebecausepeoplearebadBayesians.ModernfinancehasasabuildingblocktheEfficientMarketsHypothesis(EMH).TheEMHarguesthatcompetitionbetweeninvestorsseekingabnormalprofitsdrivespricestotheir“correct”value.TheEMHdoesnotassumethatallinvestorsarerational,butitdoesassumethatmarketsarerational.TheEMHdoesnotassumethatmarketscanforeseethefuture,butitdoesassumethatmarketsmakeunbiasedforecastsofthefuture.Incontrast,behavioralfinanceassumesthat,insomecircumstances,financialmarketsareinformationallyinefficient.Notallmisvaluationsarecausedbypsychologicalbiases,however.Somearejustduetotemporarysupplyanddemandimbalances.Forexample,thetyrannyofindexingcanleadtodemandshiftsthatareunrelatedtothefuturecashflowsofthefirm.WhenYahoowasaddedtotheS&P500inDecember1999,indexfundmanagershadtobuythestockeventhoughithadalimitedpublicfloat.Thisextrademanddroveupthepricebyover50%inaweekandover100%inamonth.Eighteenmonthslater,thestockpricewasdownbyover90%fromwhereitwasshortlyafterbeingaddedtotheS&P.Ifitiseasytotakepositions(shortingovervaluedstocksorbuyingundervaluedstocks)andthesemisvaluationsarecertaintobecorrectedoverashortperiod,then“arbitrageurs”willtakepositionsandeliminatethesemispricingsbeforetheybecomelarge.However,ifitisdifficulttotakethesepositions,duetoshortsalesconstraints,forinstance,orifthereisnoguaranteethatthemispricingwillbecorrectedwithinareasonabletimeframe,thenarbitragewillfailtocorrectthemispricing.1Indeed,arbitrageursmayevenchoosetoavoidthemarketswherethemispricingismostsevere,becausetherisksaretoogreat.Thisisespeciallytruewhenoneisdealingwithalargemarket,suchastheJapanesestockmarketinthelate1980sortheUSmarketfortechnologystocksinthelate1990s.ArbitrageursthatattemptedtoshortJapanesestocksinmid-1987andhedgebygoinglonginUSstockswererightinthelongrun,buttheylosthugeamountsofmoneyinOctober1987whentheUSmarketcrashedbymorethantheJapanesemarket(becauseofJapanesegovernmentintervention).Ifthearbitrageurshavelimitedfunds,theywouldbeforcedtocovertheirpositionsjustwhentherelativemisvaluationsweregreatest,resultinginadditionalbuyingpressureforJapanesestocksjustwhentheyweremostovervalued!5.ConclusionsThisbriefintroductiontobehavioralfinancehasonlytouchedonafewpoints.MoreextensiveanalysiscanbefoundinBarberisandThaler(2003),Hirshleifer(2001),Shefrin(2000),andShiller(2000).Itisverydifficulttofindtradingstrategiesthatreliablymakemoney.Thisdoesnotimplythatfinancialmarketsareinformationallyefficient,however.Low-frequencymisvaluationsmaybelarge,withoutpresentinganyopportunitytoreliablymakemoney.Asanexample,individualsorinstitutionswhoshortedJapanesestocksin1987–1988whentheyweresubstantiallyovervalued,orTaiwanesestocksinearly1989whentheyweresubstantiallyovervalued,orTMTstocksintheUS,Europe,andHongKonginearly1999whentheyweresubstantiallyovervalued,alllostenormousamountsofmoneyasthesestocksbecameevenmoreovervalued.Mostoftheseshortsellers,whowererightinthelongrun,werewipedoutbeforethemisvaluationsstartedtodisappear.Thus,theforcesofarbitrage,whichworkwellforhigh-frequencyevents,workverypoorlyforlow-frequencyeventsBehavioralfinanceis,relativelyspeaking,initsinfancy.Itisnotaseparatediscipline,butinsteadwillincreasinglybepartofmainstreamfinance.行為金融1.引言行為金融學就是用來研究金融市場的一種新型的模型。它所依據的模型假設基礎要比馮?諾依曼或摩根斯坦提出的那些已普遍使用的期望效用理論和套利假設模型要小很多。具體而言，行為金融學有兩個組成部分：認知心理學和有限套利。認知是指人們如何思考的過程。目前已經存在大量的心理學方面的文獻說明了人們如何依靠他們具有偏差的思考導致做出系統誤差的行為。原因可能有：投資者總是過于自信，他們過分關注于最近的市場經驗等等。另外，他們的偏好也可能造成偏差。而行為金融學則使用人們的具體行為方法而不是采取那些高高在上的定價理論來研究金融市場，那些理論應該暫時被忽略。另一組成部分有限套利則指應該如何預測市場當套利行為有效的時候或者當套利者的套利行為受到限制時。行為金融學所使用的模型通常是假設一些市場機構不是完全理性，其原因是投資者的喜好或者是錯誤的信念。關于偏好假設的一個典型例子是：人們厭惡風險和損失。2美元的增益使人感到的快樂可能和1美元的虧損所帶來槽糕的情緒的效果是一樣的。錯誤信念的產生是因為他們沒有遵循貝葉斯法則?，F代金融理論已經開始質疑有效市場假說。有效市場假說認為，理性投資者之間追求套利利潤的競爭會使市場價格回歸正確的區間。有效市場假說并不認為所有的投資者都是理性的，但它確實認為市場是理性的。有效市場假說并不認為市場能夠預見未來，但它確實認為市場能做出對未來的準確預測。與此相反，行為金融假定，在某些情況下，金融市場不是信息強有效的。然而并非所有錯誤估價都是由心理偏見造成的，有些情況只是由于暫時的供需失衡。例如，對于僅依靠評估指數的作用可能會導致產生與公司未來現金流量無關的需求變化。當雅虎在1999年12月加入標準普爾500指數時，基金經理不得不買其股票即使當它必須有限量持有公眾股票時。這種額外的需求推動了價格在一個星期漲了50％和一個月內漲了100％。然而在十八個月后，以它剛加入到標準普爾指數的價格下跌依然超過90％。如果搶占位置是簡單的(賣空估值過高的股票或購買低估股票)而且這些錯位評價一定要在短期內得到解決。那么套利將搶占市場并且在他們變大之前消除這些錯位定價。然而如果由于短期銷售限制將很難在合理的時間內搶占位置。舉個例子，如果不能保證錯誤的定價會在短期的有效時間框架中得到消除，那么理性套利將不能是價格回歸正常。事實上，由于風險太大了，套利者可能會選擇避免錯誤定價嚴重的市場，尤其是那些涉及巨額交易的市場。例如，在80年代末的日本股市或在90年代末的美國市場中的科技股。套利者們曾經試圖短期套利1987年10月的日本股市，來中和對沖美國股市。這在長期來看是正確的行為。但是他們在10月的美國股市由于日本政府的干預造成日本市場崩潰中損失了巨額資金。如果套利者只有有限的資金，他們將被迫回補頭寸當相關錯誤定價差額巨大時，從而會導致日本股市額外的購買壓力。5.結論這個關于行為金融學簡短的介紹了只談到了幾點。更廣泛的分析可以參考巴爾貝里斯和泰勒（2003），赫什萊佛（2001），舍夫林（2000），和希勒（2000）的文獻。在市場中非常難找到可以非?？煽康刭嶅X的交易策略。但這并不意味著金融市場是信息有效的市場。然而，低概率的錯誤定價可能是非常巨大，絲毫沒有任何機會來可靠地賺錢。舉一個例子，那些個人或者機構在1987-1988年做空那時已被大幅高估的日本股市，或1989年初臺灣被大幅高估的股票，又或者TMT股票在美國，歐洲和香港(在1999年年初個人或者機構就已經進行了大幅高估)，這些行為最后都失去了大量資金，因為這些股票反而變得更加的高度估值。大多數短期做空的套利者，在長期看來是正確的，但是在短期市場時，他們在錯誤的定價開始消失之前就已經被逐出了市場。因此，套利的力量，對于高頻率發生的事件則具有想很好的效果，而對于低頻率事件則效果很差。行為金融學這一理論，相對而言，還處于起步階段。但它并不是一個被分離的學科，未來它將日益成為主流金融理論的一部分。作者：JayRRitter.國籍：American出處：Pacific-BasinFinanceJournal,2003,114外文翻譯之二China'ssegmentedstockmarket:AnapplicationoftheconditionalinternationalcapitalassetpricingmodelAbstract.China'ssegmentedstockmarketprovidesanopportunitytostudyconditionalinternationalassetpricingfrommultipleviewpointsdomesticandforeign.WeusethemultivariateGARCH-MframeworkofDeSantisandGérard[DeSantis,G.,andGérard,B.,1998.Howbigisthepremiumforcurrencyrisk?JournalofFinancialEconomics49,pp.375–412.],butaddconditionallocalspecificriskandfindglobal,local,andcurrencyrisktobepricedandtime-varyinginChinesemarkets,suggestingmildsegmentationfordevelopingcountrymarkets.Thetime-varyingpriceofcurrencyriskindicatesthatthestrictcurrencyrestrictionsinChinadonotsufficientlyreducecurrencyrisktostabilizethepriceofcurrencyrisk.WealsofindthatthepriceoflocalriskintheChineseAstockmarketisnon-time-varyingrelativetothedevelopedmarket,buttime-varyingrelativetotheemergingmarket.ThisfindingimpliesthattheChineseAstockmarketismorecomparabletoadevelopedmarketthananemergingmarket.However,resultsonChineseBsharesshowtheoppositerelationship:fromaforeigninvestor'sperspective,ChineseBsharesarebettercategorizedasbeingemergingthandeveloped.ThisisfurthersupportedbyanEngle–Grangercointegrationtest.SummaryandconclusionInthispaperwehaveevaluatedtheinternationalassetpricingmodelsandthepricingofglobal,local,andcurrencyrisksintheChineseandU.S.stockmarkets.OurmarketportfolioswereconstructedfromMSCIindices:theallcountryworldmarket,emergingmarkets,anddevelopedmarkets.ThesewerechosentoattempttorepresentwhichinvestmentalternativeswereavailableforChineseinvestorsandU.S.investors.SincethestockmarketinChinaissegmentedintoAandBshares,whereChineseinvestorscanonlypurchaseAshareswhileforeigninvestorscanonlypurchaseBshares,wewereabletotaketwodifferentviewpoints:onefromaUSinvestor'sperspectiveandanotherfromaChineseinvestor'sperspective.FortheChineseinvestor,wewereattemptingtoseewhethertheyperceivedtheirmarketasbeingmoreequivalenttoadevelopedmarketoranemergingmarket.FortheU.S.investor,wewereattemptingtogaugewhetherChinawasperceivedasbeingdevelopedoremergingaswell.OurmaininterestwasinthepricingoftheChinesestockmarketsinceitoffersaninterestingtestlaboratoryformanyaspectsoftheinternationalassetpricingmodels.Iflocalriskorcurrencyriskarepricedinthesecurities,thatsuggestsaformofpartialmarketsegmentation.Ifonlyglobalriskispricedinthesecurities,thatmeansinvestorscandiversifyawaythelocalandcurrencyrisks.Inaddition,weexaminedtheeffectofChina'sfinancialrestrictionsonthepricesofrisks,andcomparedthepricesofrisksbetweenglobalmarkets.WealsostudiedtheintegrationofChineseequitymarketsintoglobalmarkets.WeemployedthemultivariateGARCH-MframeworkofDeSantisandGérard(1998)inourempiricalspecification,allowingtime-varyingvariance–covarianceprocesses,andextendedtheirframeworktoincorporatepartialsegmentationforthelocalriskspecification.Wealsoaddedacurrencyriskfactor.Theresultsshowthatglobalriskispricedandtime-varying.Thepriceofcurrencyrisk,withanegativevalue,ispricedandtime-varyingintheChinesemarketswithrespecttotheAllCountryWorldIndex,thedevelopedindex,andtheemergingindex.Thisresultisconsistentwithpriorstudies.UnderChina'sstrictcurrencyrestrictions,thetime-varyingcurrencyriskpriceseemstoindicatethatChina'sforeignexchangeratepolicydoesnoteffectivelyreducethecurrencyriskfluctuationtomakeitrelativelystable.Indirectfactorsormodelmisspecificationcouldexplainthetime-varyingcurrencyriskprice.ThenegativevaluecouldalsoindicateaconsensusexpectationthattheChineseYuanwillappreciaterelativetotheU.S.dollarOurresultsshouldbeveryusefulforbothcompaniesandinternationalinvestorswhoareinterestedininvestinginemergingmarkets,orindiversifyingtheirportfoliosinternationally.Forinstance,ourresultsshowthatonemustseparatelocalmarketriskfromthecurrencyriskininvestmentandriskmanagementdecisionsinthecontextofemergingmarketsbecauseoftheiruniquemarketfeaturesandmorevolatileexchangerates.Wealsoillustratedhow,whenfinancialrestrictionseffectivelysegmentdomesticfromforeignmarkets,domesticperceptionsoftheirmarketmaydifferfromforeignperceptions.Thiscanleadtohavinglocalandcurrencyriskbeingpricedinonesetofshares,butnotpricedinanothersetofshares.InthecaseofChina,ChineseinvestorsperceivetheirmarketasbeingmorecloselycomparabletodevelopedmarketswhileU.S.investorsperceivetheChinesemarketasbeingmorelikeanemergingmarket.ThisconclusionmustbetemperedbythefactthatChina-AsharesarenotidenticaltoChina-Bshares.SomecompanieslistonlyChina-AshareswhileothersissueBshares.Therefore,theindicesarenotcomprisedofidenticalcomponents.Someoftheresultscouldbeskewedbythesecompositionaleffects.中國分段股票市場：條件化的國際資本資產模型的應用摘要我國分為多個板塊的證券市場的這一現狀，為以國內外多個視角的條件下研究國際資產定價理論提供了一個機會。我們使用德桑蒂斯和杰勒德的多變量的GARCH-M框架(德桑蒂斯,G杰勒德,B,1998.貨幣風險的溢價有多大?金融經濟學雜志49,375–412)。但是考慮到發展中國家市場的適度分割，我們增加了對當地條件具體化風險的研究以及研究全球、地方風險、中國市場的貨幣風險在隨時間變化的中國市場是如何定價的。這種對隨時間變化的貨幣風險的定價表明了中國嚴格的貨幣管制并沒有充分地降低匯率風險以穩定貨幣價值。我們同時還發現，在中國A股市場的局部風險的價格是不隨發達國家市場的時間變化，而是與新興市場的發展相關。這一發現意味著中國A股市場比起新興市場，和發達國家的完善市場更具可比性。然而，中國B股市場的研究結果