预期情感与投资者行为研究

A Research on Anticipatory Affect and Investor Behavior

本文讨论了投资者心理和证券价格围绕期望事件发生波动的关系。我们集金融学、心理学和神经科学为一体,采用了一种多学科的研究方法,从金融学方面的事件研究阐明了围绕预期事件证券价格的异常运动现象;从神经科学方面论证了赢利预期和情感唤起的相关性;从认知心理学的角度为情感在投资者行为中的中心作用提供了证据。最后简要地介绍了基于BRSN模型的投资策略。

In this paper we demonstrate a relationship between investor psychology and security pricing around anticipated events. Taking a multidisciplinary approach, we pull together research in the finance, psychology, and neuroseience literature. Event-studies in the finance literature demonstrate anomalous security price movements around the dates of anticipated security-related events. From the neuroseience literature we demonstrate correlations between reward anticipation and the arousal of affect. From the cognitive psychology literature we extract evidence for the central role of affect in motivating investing behavior. We briefly outline an investment strategy for exploiting the event-related security price pattern described by the trading strategy, 'buy on the rumor and sell on the news.