روانشناسی سرمایه گذار در بازارهای سرمایه: پیامدهای شواهد و سیاست

We review extensive evidence about how psychological biases affect investor behavior and prices. Systematic mispricing probably causes substantial resource misallocation. We argue that limited attention and overconfidence cause investor credulity about the strategic incentives of informed market participants. However, individuals as political participants remain subject to the biases and self-interest they exhibit in private settings. Indeed, correcting contemporaneous market pricing errors is probably not government's relative advantage. Government and private planners should establish rules ex ante to improve choices and efficiency, including disclosure, reporting, advertising, and default-option-setting regulations. Especially, government should avoid actions that exacerbate investor biases.

In 1913, John D. Watson introduced behaviorism, a radical new approach to psychology. He held that the only interesting scientific issues in psychology involved the study of direct observables such as stimuli and responses. He further argued that the environment rather than internal proclivities determine behavior. Behaviorism was later developed by B.F. Skinner in what aimed to be a more rigorous approach to psychology. Skinner and his followers had a highly focused research agenda which excluded notions such as ‘thought’, ‘feeling’, ‘temperament’, and ‘motivation’. Skinner denied the meaningful existence of such internal cognitive processes or states. Based primarily on experiments on rats and pigeons, he argued that all human behavior could be explained in terms of conditioning by means of reinforcement or association (operant instrumental conditioning or classical conditioning). In retrospect it is astonishing, but for decades (1940–60s) behaviorism was pervasive and dominant in academic psychology in the U.S. Contrary evidence was downplayed or reinterpreted within the paradigm. Eventually, however, a combination of evidence and common sense led to the ‘cognitive revolution’ in experimental psychology, which reinstated internal mental states as objects of scientific inquiry. This episode exemplifies a common pattern of innovation, overreaching, and long-horizon correction in the soft sciences. Freudian psychology and Keynesian macroeconomics provide other examples. A genuine innovation is interpreted either too dogmatically or too elastically (or both!) by enthusiasts, is extended beyond its realm of validity, yet dominates discourse for decades. Indeed, such patterns seem common in intellectual movements of many sorts. In financial economics, the most salient example is the efficient markets hypothesis. The efficient markets hypothesis reflects the important insight that securities prices are influenced by a powerful corrective force. If prices reflect public information poorly, then there is an opportunity for smart investors to trade profitably to exploit the mispricing. But, as vividly described by Lee (2001), just because water likes to find its own level does not mean that the ocean is flat. And just because there are predators in the African veldt does not mean there are no prey. While there are important forces that act to improve market efficiency, the notion of a corrective tendency was carried to extremes by enthusiasts. For example, it is often argued that markets must be presumed efficient on a priori grounds unless conclusively proven otherwise. The classical economists had a broader view. For example, Adam Smith's analysis of ‘overweening conceit’ and compensating wage differentials across professions described how individual psychology causes mispricing and inefficient resource allocation. In recent years, some finance researchers have returned to such a broader conception of economics, and have denied market efficiency its presumption of innocence. This denial is based upon theoretical arguments that the arbitrage forces acting to improve informational efficiency are not omnipotent.1 Furthermore, evidence of at least some degree of guilt has accumulated. Even some of the fans of efficient market agree that investors frequently make large errors. We review evidence on this issue, together with evidence on market prices which, we argue, provide fairly definitive proof that markets are subject to measurable and important mispricing. We do not claim this to be a surprising conclusion, except relative to the extreme position that even now retains some popularity among academics. Recent theoretical research suggests that arbitrage by rational traders need not eliminate mispricing. One reason is that there are some psychological biases which virtually no one escapes. A second reason is that when traders are risk averse, prices reflect a weighted average of beliefs. Just as rational investors trade to arbitrage away mispricing, irrational investors trade to arbitrage away rational pricing. The presumption that rational beliefs will be victorious is based on the premise that wealth must flow from foolish to wise investors. However, if investors are foolishly aggressive in their trading, they may earn higher rewards for bearing more risk (see, e.g., DeLong 1990b and DeLong 1991) or for exploiting information signals more aggressively (Hirshleifer and Luo, 2001), and may gain from intimidating competing informed traders (Kyle and Wang, 1997). Indeed, one would expect wealth to flow from smart to dumb traders exactly when mispricing becomes more severe (Shleifer and Vishny, 1997; Xiong, 2000), which could contribute to self-feeding bubbles.2 When intellectual movements overreach, the pain goes beyond the ivory tower. When the error is in economic theory, the scale of the waste can be monumental. The efficient markets hypothesis is largely an exception. Its emphasis upon the wisdom of market prices encourages a becoming humility on the part of academics in proposing government initiatives. Nevertheless, we think at this point it is appropriate for economists to consider the implications for public policy of imperfect rationality in securities and asset markets. Much of the scientific debate over market efficiency has a policy undercurrent. The efficient markets hypothesis is associated with the free market school of thought traditionally championed at the Universities of Chicago and Rochester. Imperfect rationality approaches are in part associated with East Coast schools that have tended to be much more enthusiastic about government activism. So, based on intellectual lineages it appears that the scientific hypothesis that markets are highly efficient is linked to the normative position that markets should be allowed to operate freely. Proponents of laissez faire seem to have drawn a brittle defensive line: if markets turn out to be substantially inefficient, the city of freedom is open to be sacked. We argue that this link between efficient markets and the desirability of laissez faire is logically weak. An important weakness is that even if investors are imperfectly rational and assets are systematically mispriced, policymakers should still show some deference to market prices. Individual political participants are not immune to the biases and self-interest exhibited in private settings. Government has no special superiority in deciding when the stock market is in a bubble to be pricked, or when it is time to administer economic ProzacTM to counteract market pessimism. Indeed, the economic incentives of officials to overcome their biases in evaluating fundamental value are likely to be weaker than the incentives of market participants. So government efforts to correct market perceptions are likely to waste resources and increase ex ante uncertainty. In sum, advocates of laissez faire who rest their case on market efficiency are in some respects needlessly vacating the high ground of the debate without clash of arms.3 This is not to say that market inefficiency is devoid of implications for policy. Mispricing can cause some classes of foolish investors to do worse than a ‘dartboard’ portfolio, wasting money on stale fads or on securities marketed to the ignorant. We argue that limited attention and processing capacity creates a general problem of investor credulity. Several studies (discussed in 2, 3 and 4) provide evidence suggesting that investors and analysts on average do not discount enough for the incentives of interested parties such as firms, brokers, analysts, or other investors to manipulate available information. There is evidence that investors in many contexts do go beyond superficial appearances and make some adjustment for systematic biases in measures of value such as accounting earnings. However, cognitive limitations make it hard to make the appropriate adjustments uniformly and consistently. Investor credulity and systematic mispricing in general suggest a possible role for regulation to protect ignorant investors, and to improve risk sharing. The potential for improvement does not imply that government activism will help. The political process is subject to manipulation by interest groups, and political players have self-interested motives. So a global default of laissez faire is superior to a hair-trigger readiness to bring the coercive power of government into play. We do suggest that investor education, disclosure rules, and reporting rules designed to make financial reports consistent and easy to process may be helpful. Designed correctly, such policies may infringe relatively little on individual freedom of choice. More controversial may be restrictions on financial advertising and rules that limit investors’ freedom of action. The potential benefits of government policy at its best is that it can help investors make better decisions, and can improve the efficiency of market prices. But much regulation already exists for these purposes. Academic study based on psychological biases may support new regulation, but may also determine that some existing regulations and activities are counterproductive. Just as much as if markets were perfectly efficient, government can do great good simply by doing no harm. The remainder of the paper is structured as follows. Section 2 describes evidence on the behavior of investors and analysts. Section 3 examines whether investor biases affect asset prices. Section 4 examines evidence regarding whether firms exploit investor biases. Section 5 discusses the problem of excessive credulity by investors. Section 6 considers basic issues about how public policy should take into account the psychology of investors. Section 7 discusses implications for reporting standards, disclosure regulation, and financial advertising. Section 8 considers policies that limit firm and investor freedom of action. Section 9 concludes.

We have argued that there is now persuasive evidence that investors make major systematic errors. We further argue, though it is not absolutely a prerequisite for most of our policy conclusions, that the evidence is persuasive that psychological biases affect market prices substantially. Furthermore, there are some indications that as result of mispricing there is substantial misallocation of resources in the economy. Thus, we suggest that economists should study how regulatory and legal policies can limit the damage caused by imperfect rationality. But do not hand the car keys to junior just yet. Obviously, interest group politics distorts (or dominates) public discourse and government activity, with perverse results. Even if voters and officials sought solely to serve a broad public interest, there is no reason to think that regulators, politicians, courts, or individual voters are less subject to bias than are market prices — far from it. This suggests that detecting and responding to market pricing errors is not the government's relative advantage. Emotions and psychological biases in judgment and decision seem to have important effects on public discourse and the political process, leading to mass delusions and excessive focus on transiently popular issues. If individuals were fully rational in their market and political judgments, there would be a case for government intervention to remedy informational externalities in capital markets. The case against such intervention comes from the tendency for people in groups to fool themselves in the political sphere, and for pressure groups to exploit the imperfect rationality of political participants. These failings of the political process provide a case for creating political institutions that are tilted against governmental intervention in capital markets. This applies to the making of ex ante rules, and even more strongly to policies designed to correct alleged market mispricing ex post. However, we do argue that there is a good case for some minimally coercive and relatively low-cost measures to help investors make better choices and make the market more efficient. These involve regulation of disclosure by firms and by information intermediaries, financial reporting regulations, investment education, and perhaps some efforts to standardize mutual fund advertising. More controversially, a case can be made for regulations to protect foolish investors by restricting their freedom of action or the freedom of those that may prey upon them. Limits on how securities are marketed and laws against market manipulation through rumor-spreading may fall into this category. There is little cost to requiring companies to provide a standard warning, analogous to cigarette warning labels, to workers of the risks of plunging retirement money in their own company's stock. Regulating the way in which retirement investment options are presented to individuals (e.g., the status quo choice, and how choices are categorized) may have low cost yet may greatly affect lifetime outcomes. Especially, maintaining zero long-term average inflation would eliminate money illusion problems, including problems in remembering and comparing prices of goods and problems in assessing past investment returns.