塞勒与米勒关于投资者情绪的争论

Debate between Thaler and Miller about Investor Sentiment

本文主要介绍和评述塞勒与米勒在20世纪90年代初关于投资者情绪的争论。双方争论的核心是,封闭式基金折价变动(封闭式基金之谜)与小盘股(小企业效应)超额收益之间相关性在统计上和经济上的显著性。塞勒认为,投资者情绪可以很好地解释封闭式基金之谜的全部四个部分;而且通过实证检验表明,封闭式基金折价幅度与小企业股票收益之间存在显著的负相关关系,因此封闭式基金折价反映了投资者情绪。而米勒通过实证检验表明,封闭式基金折价与小企业股票收益之间的关联是微不足道的,所以投资者情绪在经济上并不重要。塞勒和米勒争论的实质,是正统金融学理论中"有效市场假说"与行为金融理论的正面交锋,也是经济学中理性主义和行为主义之争的一个缩影。

The article records a debate between Thaler and Miller about investor sentiment in 1990s. The core of the debate is the significance of the correlation between the discount of closed-end fund and the excess return of small-cap stocks. Thaler supposed that investor sentiment could explain the closed-end fund discount puzzle while Miller denied the relevancy of investor sentiment in the puzzle. The debate reflects the conflict between behavior finance and rationalism framework.