作者：Lanfang Wang, Susheng Wang
关键字：Investment Abnormalities Endogenous Market Signals Experience Risk Attitude
摘要/Abstract
Investors often behave in puzzling ways. In this paper, we develop a theory that implies “unusual” investment behaviors in a market equilibrium with heterogeneous investors who formu-late their investment strategies based on their individual assessments of market signals, where mar-ket signals are tacit information and endogenously dependent on the individual assessments. Tacit information requires experience and knowledge to interpret and understand. We find that (1) dif-ferences in investors’ knowledge, experience, risk attitudes and incomes can give rise to unusual investment behaviors under economic rationality; (2) investment behaviors are normal in normal periods, but abnormal in abnormal periods (a reversal of investment behaviors) when a swing mar-ket drives many inexperienced and highly risk-averse investors in and out of the market; (3) a change in the population shares of different types of investors in the market can cause a reversal of investment behaviors among those same types of investors; and (4) empirical evidence supports our theory.
全文阅读：https://www.sinoss.net/qikan/2015/1225/14175.html