1、 1 本科毕业论文外文 外文题目： Herd Behavior in Financial Market 出 处 IMF Staff Papers Vol.47,No.3 作 者： Sushil Bikhchandani and Sunil Sharma 原 文： Herd Behavior in Financial Markets This paper provides an overview of the recent theoretical and empirical research on herd behaveior in financeial maekets.It looks at
2、what precisely is meant by hearding,the causes of herd behaveior,the successs of exisiting studies in identifying the phenolmenon,and the effect that herding has on financeial markets. In the aftermath of several widespread financial crises, “herd” has again become a pejorative term in the financial
3、 lexicon. Investors and fund managers are portrayed as herds that charge into risky ventures without adequate information and appreciation of the risk-reward trade-offs and, at the first sign of trouble, flee to safer havens. Some observers express concern that herding by market participants exacerb
4、ates volatility, destabilizes markets, and increases the fragility of the financial system.This raises questions about why it is surprising that profit-maximizing investors, increasingly with similar information sets, react similarly at more or less the same time? And is such behavior part of market
5、 discipline in relatively transparent markets, or is it due to other factors? For an investor to imitate others, she must be aware of and be influenced by others actions. Intuitively, an individual can be said to herd if she would have made an investment without knowing other investors decisions, bu
6、t does not make that investment when she finds that others have decided not to do so. Alternatively, she herds when knowledge that others are investing changes her decision from not investing to making the investment. There are several reasons for a profit/utility-maximizing investor to be influence
7、d into reversing a planned decision after observing others. First, others may know something about the return on the investment and their actions reveal this information. Second, and this is relevant only for money managers who invest 2 on behalf of others, the incentives provided by the compensatio
8、n scheme and terms of employment may be such that imitation is rewarded. A third reason for imitation is that individuals may have an intrinsic preference for conformity. When investors are influenced by others decisions, they may herd on an investment decision that is wrong for all of them. Suppose
9、 that 100 investors each have their own assessments, possibly different, about the profitability of investing in an emerging market. For concreteness, suppose that 20 of the investors believe that this investment is worthwhile and the remaining 80 believe that it is not.Every investor knows only her
10、 own estimate of the profitability of this investment；she does not know the assessments of others or which way a majority of them are leaning. If these investors pooled their knowledge and assessments, they would collectively decide that investing in the emerging market is not a good idea.But they d
11、o not share their information and assessments with each other.Moreover, these 100 investors do not take their investment decisions at the same time. Suppose that the first few investors who decide are among the 20 optimistic investors and they make a decision to enter the emerging market. Then sever
12、al of the 80 pessimistic investors may revise their beliefs and also decide to invest.This, in turn, could have a snowballing effect, and lead to most of the 100 individuals investing in the emerging market. Later, when the unprofitability of the decision becomes clear, these investors exit the mark
13、et. The above example illustrates several aspects of information cascades or herd behavior arising from informational differences. First, the actions (and the assessments) of investors who decide early may be crucial in determining which way the majority will decide. Second, the decision that invest
14、ors herd on may well be incorrect. Third, if investors take a wrong decision, then with experience and/or the arrival of new information, they are likely to eventually reverse their decision starting a herd in the opposite direction. This, in turn, increases volatility in the market. According to th
15、e definition of herd behavior given above, herding results from an obvious intent by investors to copy the behavior of other investors. This should be distinguished from “spurious herding” where groups facing similar 3 decision problems and information sets take similar decisions. Such spurious herd
16、ing is an efficient outcome whereas “intentional” herding, as explained in Section I, need not be efficient. But it needs pointing out that empirically distinguishing “spurious herding” from “intentional” herding is easier said than done and may even be impossible, since typically, a multitude of fa
17、ctors have the potential to affect an investment decision. Fundamentals-driven spurious herding out of equities could arise if, for example, interest rates suddenly rise and stocks become less attractive investments.Investors under the changed circumstances may want to hold a smaller percentage of s
18、tocks in their portfolio. This is not herding according to the definition above because investors are not reversing their decision after observing others. Instead, they are reacting to commonly known public information, which is the rise in interest rates. Spurious herding may also arise if the oppo
19、rtunity sets of different investors differ. Suppose there are two groups of investors who invest in a countrys stock marketdomestic (D) and foreign (F) investors. Due to restrictions on capital account convertibility in this country, type D individuals invest only in Sd, the domestic stock market, a
20、nd in Bd, the domestic bond market. Type F individuals invest in Sd, Bd, and also in Sf, a foreign countrys stock market and Bf, the foreign bond market. If, in the foreign country, interest rates decrease or there is greater pessimism regarding firms earning expectations, then type F investors may
21、increase the share of Sd and Bd in their portfolio, buying both from type D investors.Consequently, in the domestic markets Sd and Bd, type F investors appear to be part of a buying “herd” whereas type D investors appear to be part of a selling “herd.”However, the investment decisions of types F and
22、 D investors are individual decisions and may not be influenced by others actions. Moreover, this behavior is efficient under the capital convertibility constraints imposed on type D investors. Other causes of intentional herding include behavior that is not fully rational(and Bayesian). Recent papers on this topic include DeLong, Shleifer, Summers,and Waldman (1990)； Froot, Scharfstein, and Stein (1992)； and Lux and
