行為金融學：男人終究是男人

最近看了一篇2001年的學術文章，標題還蠻吸引人的男人就是男人(Boys Will Be Boys)，這一篇文章被引用了將近6,000次，主要是在描述男人好動，比較自信，操作頻繁，結果減少淨收益。

先來看一下這篇文章的結論：

Modern financial economics assumes that we behave with extreme rationality; but, we do not. Furthermore, our deviations from rationality are often systematic. Behavioral finance relaxes the traditional assumptions of financial economics by incorporating these observable, systematic, and very human departures from rationality into standard models of financial markets. Overconfidence is one such departure. Models that assume market participants are overconfident yield one central prediction: overconfident investors will trade too much. 現代金融經濟學假設我們的行為是極度理性，但我們卻並非如此。 此外，理性的偏離通常具有系統化。 行為金融學透過有系統化的觀察，將人類在金融市場不理性的狀態建立標準模型。(市場上的形態學、泡沫學都是類似的產物，可參考災難投資法) 過度自信就是偏離型態的一種，從市場參與者過度自信的模型可預測出一項結果：過度自信的投資者將交易過多。

We test this prediction by partitioning investors on the basis of a variable that provides a natural proxy for overconfidence— gender. Psychological research has established that men are more prone to overconfidence than women, particularly so in male-dominated realms such as finance. Rational investors trade only if the expected gains exceed transactions costs. Overconfident investors overestimate the precision of their information and thereby the expected gains of trading. They may even trade when the true expected net gains are negative. Models of investor overconfidence predict that, since men are more overconfident than women, men will trade more and perform worse than women. 我們以性別做為變數來區分投資者，研究顯示男人比女人更容易過度自信，尤其是在男性主導的領域（例如金融領域）。理性投資人僅在預期收益大於交易成本時才會進行交易，過度自信的投資者高估了訊息的準確性，從而高估了預期的交易收益，甚至在預期淨收益為負的情況下還是會進行交易。換言之，男性會交易更多，而且交易收益比女人差。

Our empirical tests provide strong support for the behavioral finance model. Men trade more than women and thereby reduce their returns more so than do women. Furthermore, these differences are most pronounced between single men and single women. 我們的實證檢驗為行為金融模型提供了有力的支持：男人比女人交易更多，因此減少的回報比女人多；此外，單身男人和單身女人之間的差異最為明顯。

Individuals turn over their common stock investments about 70 percent annually [Barber and Odean 2000]. Mutual funds have similar turnover rates [Carhart 1997]. Yet, those individuals and mutual funds that trade most earn the lowest returns. We believe that there is a simple and powerful explanation for the high levels of counterproductive trading in financial markets: overconfidence. 個人每年的普通股投資周轉率約為70％[Barber and Odean 2000]。共同基金的周轉率與之相近[Carhart 1997]。然而，交易最多的個人和共同基金收益卻是最低。對金融市場中大量適得其反的交易來說可以提出一個簡單而有力的解釋：過度自信。

很多人會抱怨說每天沖來沖去，最後一結算發現是做了白工，正是這一篇文章所要描繪的重點所在。

這一篇文章提到共同基金也有一樣的問題，共同基金雖然是一個大規模的資金，以這一份研究的背景來推測，應該是偏向於主動型基金；主動型基金也有績效的問題，為了讓投資人滿意或賺取獎金，基金經理人會流於媚俗的投資方法，例如追求短期績效、專注於現在基金排名，至於長期穩定績效就容易棄而不顧。

對於90%甚至於99%的散戶投資人，或者是所謂的小資族，應該都會有這篇文章所提到過度自信、過多交易的問題，這也是我們必須要調整修正的地方。

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