Investor psychology and asset pricing

• 成果类型: Article; Proceedings Paper
• 署名作者: Hirshleifer, D
• 署名单位: University System of Ohio; Ohio State University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00379
• 发表日期: 2001
• 页码: 1533-1597
• 关键词: BOOK-TO-MARKET; EXTENDED FUNCTIONAL FIXATION; ANOMALOUS PRICE BEHAVIOR; long-run performance; COMMON-STOCK RETURNS; equity premium; cross-section; risk-aversion; CONTRARIAN INVESTMENT; HOME BIAS

摘要

The basic paradigm of asset pricing is in vibrant flux. The purely rational approach is being subsumed by a broader approach based upon the psychology of investors. In this approach, security expected returns are determined by both risk and misvaluation. This survey sketches a framework for understanding decision biases, evaluates the a priori arguments and the capital market evidence bearing on the importance of investor psychology for security prices, and reviews recent models.