مالی یک رشته جدید است که خاستگاه آن علم اقتصاد است. پايه هاي این رشته از سال 1952 و انتشار مقاله هري ماركويتز استوار گردید. و با مقاله فرانكو موديلياني و مرتون ميلر در سال 1958 توسعه یافت. تاروپود این رشته در سه حوزه «مالي شركتها»، «بازارها و نهادهاي مالي» و «مديريت سرمايهگذاري» است و رشتة «مهندسي مالي و مديريت ريسك» اين سه حوزه را به يكديگر پيوند ميزند.
این وبلاگ نیز با هدف قدم برداشتن در ساحل دریای مواج مالی، سعی دارد مطالب مفیدی را به صورت تخصصی و جامع گردآوری نماید.
محمد هنرمند قالیباف (کارشناس مدیریت مالی و دانشجوی کارشناسی ارشد مدیریت مالی دانشگاه علامه طباطبائی)
Studies in Economics and Finance. Vol. 29 No. 4, 2012. pp. 246-267
Abstract Purpose – The purpose of this paper is to present a review as well as a synthesis of the extant literature in the ﬁeld of Neuroﬁnance. The paper has been divided into eight parts. The ﬁrst and second parts introduce the paper and dwell upon the brain functions in ﬁnancial decisions. Part three presents the origin of Neuroﬁnance and part four explains the difference between traditional ﬁnance behavioural ﬁnance and neuroﬁnance. Part ﬁve and six of the paper look into the research studies in Neuroﬁnance and their application. Part seven gives a brief discussion on the limitations of neuroﬁnance studies and part eight gives the conclusion
Design/methodology/approach – The existing body of academic literature pertinent to the domain of Neuroﬁnance was reviewed so as to provide an integrated portrayal and synthesis of the current level of knowledge in this ﬁeld. This paper covers the insights on the subject for developing a deeper understanding of the investor’s psychology.
Findings – Neuroﬁnance is a very young discipline. It tries to relate the brain processes to the investment behaviour. Most of the researches in the domain of neuroﬁnance focus on trading behaviour. It would be interesting to explore the workings of the brain for other investment behaviours too like personal ﬁnancial planning decisions, etc. Originality/value – Neuroﬁnance is emerging as an alternate ﬁeld of study and practice and this paper is an attempt to look at the development of Neuroﬁnance and its role in developing a better understanding of the investor behaviour. Keywords: Neuroﬁnance, Investor psychology, Behavioural ﬁnance, Trading behaviour, Neuroscience. Traditional ﬁnance, Investments, Finance, Psychology
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, VOL 35, JUNE 2000
We develop a positive behavioral portfolio theory (BPT) and explore its implications for portfolio construction and security design. The optimal portfolios of BPT investors resemble combinations of bonds and lottery tickets, consistent with Friedman and Savage's (1948) observation. We compare the BPT efficient frontier with the mean-variance efficient frontier and show that, in general, the two frontiers do not coincide. Optimal BPT portfolios are also different from optimal CAPM portfolios. In particular, the CAPM twofund separation does not hold in BPT. We present BPT in a single mental account version (BPT-SA) and a multiple mental account version (BPT-MA). BPT-SA investors integrate their portfolios into a single mental account, while BPT-MA investors segregate their portfolios into several mental accounts. BPT-MA portfolios resemble layered pyramids, where layers are associated with aspirations. We explore a two-layer portfolio where the low aspiration layer is designed to avoid poverty while the high aspiration layer is designed for a shot at riches.
Research in behavioral corporate finance takes two distinct approaches. The first emphasizes that investors are less than fully rational. It views managerial financing and investment decisions as rational responses to securities market mispricing. The second approach emphasizes that managers are less than fully rational. It studies the effect of nonstandard preferences and judgmental biases on managerial decisions. This survey reviews the theory, empirical challenges, and current evidence pertaining to each approach. Overall, the behavioral approaches help to explain a number of important financing and investment patterns. The survey closes with a list of open questions.
What Make Chinese Institutional and Individual Investors Trade Excessively?
Steven Shuye Wang, Wei Li, and Ping He
This version: March 28, 2007
A unique data set allows us to examine the institutional and individual investors’ buying and selling activities in the emerging Chinese stock market on a weekly basis. Specifically, we employ binary and multinomial logistic regressions to investigate the difference on determinantsof institutional and individual trading activities. We find strong evidence that institution’s trading exhibits a positive feedback pattern, while individual’s trading behavior is associated with acontrarian character. We also find institutions are more likely to have large excess selling instocks with small market capitalizations while individuals are more likely to have large excessselling in stocks with large market capitalizations. Earnings per share have different impact oninstitutional and individual trading behaviors. Institutions tend to have large excessive buying instocks with high EPS and large excessive selling in stocks with low EPS. Individuals prefer totrade, either buy or sell, excessively in stocks with high EPS and large excess selling pattern ismore apparent. Finally, individual investors are more likely to trade excessively stocks with lowreturn volatility, while no obvious pattern is found for institutional investors.
Herding and Feedback Trading by Institutional and Individual Investors
John R. Nofsinger & Richard W. Sias
We document strong positive correlation between changes in institutional ownership and returns measured over the same period. The result suggests that either institutional investors positive feedback trade more than individual investors or institutional herding impacts prices more than herding by individual investors. We find evidence that both factors play a role in explaining the relation. We find no evidence, however, of return mean-reversion in the year following large changes in institutional ownership – stocks institutional investors purchase subsequently outperform those they sell. Moreover, institutional herding is positively correlated with lag returns and appears to be related to stock return momentum.
آنان در عرصهء فيزيك آموزشهاي كمي پيچيده و دقيق داشتهاند و مهارتهاي لازم براي اينكه به طور تحليلي بينديشند را فرا گرفتهاند و آموختهاند كه مباحث و موضوعات را با دقت بسيار، با زبان و در چارچوب رياضيات بيان كنند و راه حلها را استخراج كنند. اين نوع برخورد با پديدهها سخت به كار نهادهاي مالي و سرمايهگذاري ميآيد; از اين روست كه امروزه نهادهاي مالي بزرگ و كوچك،فارغالتحصيلان دورههاي كارشناسي، كارشناسي ارشد و بالاتر فيزيك را براي كار در بنگاههاي خود به استخدام درميآورند.