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Richard Thaler’s empirical findings and theoretical insights into behavioral finance

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School of Psychology and Cognitive Science, East China Normal University, Shanghai 200062, China

Abstract

Richard H. Thaler is a renowned behavioral finance researcher whose empirical findings and theoretical insights have linked economic and psychological analyses with individual decision-making. This article summarizes Thaler’s findings and introduces them to a larger audience. Thaler and colleagues found systematic price reversals for stocks that underwent extreme long-term gains or losses, wherein past losers went on to far outperform past winners, consistent with the behavioral hypothesis of investor overreaction. Additionally, Thaler and colleagues presented findings suggesting that discount fluctuations in closed-end funds were driven by changes in individual investor sentiment. Finally, Thaler and colleagues explained the equity premium puzzle in terms of so-called myopic loss aversion, wherein investors are assumed to be loss-averse and even long-term investors are assumed to evaluate their portfolios frequently. In conclusion, Thaler played a crucial role in the development of the behavioral finance field by incorporating new human psychology insights into economic analyses.

Keywords： “winner-loser” effect; ; discounts on closed-end funds ; equity premium puzzle ; behavioral finance ; myopic loss aversion

ZHU Yao, LI Jianhua, ZHUANG Jin-Ying. (2019). Richard Thaler’s empirical findings and theoretical insights into behavioral finance. Advances in Psychological Science, 27(3), 439-446

2 行为金融学的理论基石——有限理性及预期理论

3.2 封闭式基金之谜——投资者情绪

1991年, 塞勒及其合作者Charles Lee和Andrei Shleifer (下文简称为LST)在《金融学期刊》(Journal of Finance)上共同发表了《投资者情绪与封闭式基金之谜》, 从实证研究的角度, 用投资者情绪解释了封闭式基金之谜。文章中, LST首先指出, 要解释封闭式基金之谜, 必须同时回答以下四个问题：首先, 为什么投资者愿意溢价购买新基金而非折价购买现有基金?其次, 为什么封闭式基金通常以相对于其净资产价值相当大的折价(超过10%)交易?再次, 为什么折价率在不同时间、不同基金间会有很大的波动, 且出现同步运动现象?最后, 为什么当封闭式基金进行清算或转为开放式基金后, 其价格会上升、折价幅度缩小(Lee et al., 1991)?

3.2.1 不同基金间的折价率具有共变特性

3.2.2 新基金溢价之谜

3.2.3 封闭式基金之谜与小企业效应

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