股票投資組合分散化翻譯匯總版

1、股票投資組合分散化AbstracL This study shows that l.'.S. individual investors hold uiider-dncrsified porrfblios, where ths； level of under did t?n;irkation is greater dmimglaw-income, less-educated, and les-sopliisticatcd investors. The 】evel of under-diversifiction is also correlated with invesimcnt choi

2、ces that arc const stent with wer*ccnfLdt?ncch trend-fbllouing bdwvior, and local bias. Fiirthcrmare. invesiors who oer-eigh slocks with higher volatility imd higher skwncss are kss divcriillcd. In contrasi, there is link evidence that portfolio size or transaction costs constraint diversificaiicn.

3、Under-diversification is costly to most investors, bui a small subset of imestors under-diversify because of superior information.摘要：該研究顯示了美國個體投資者持有投資組合的未分散程度較低，并且在年輕人、低收入、低學(xué)歷和經(jīng)驗不足的投資者中尤為顯著。投資組合未分散程度也與 投資者的過度自信、從眾行為和本地偏好有關(guān)。甚至，持有過多浮動較大、偏度 較高的股票的投資者分散化程度較低。相反地，沒有證據(jù)可以證明投資組合的規(guī)?；蛘呓灰壮杀緯s束組合分散化。投資組合的未分散化的代

4、價對于大多數(shù)投資 者是昂貴的，除了少數(shù)擁有信息優(yōu)勢的投資者。L IntroductionU.S. equity risk has a large idiosyncratic component, much of which could be reduced through portlblio diversification. Most rational models of portfolio choice biggest that investors hold diversified portfolios to reduce or eliminate noncompensated risk,

5、and virtually all asset pricing models posit that securities are priced by a diversified, marginal investor who demancis hrtle or no compensation for holding idiosyncratic risk, Bui do invesiors hold well-diversified portfolios? Which individual characteristics or behavioral patterns are associated

6、with underdiversification? And whiit are the economic costs (if any) of under- d i ve rs ification?引言：美國股市風(fēng)險組成中有一個很大的乖僻成分，其中大部分可以通過投資組合的分散化來降低。多數(shù)合理的投資組合選擇模型建議投資者持有分散化投資組合從而降低或排除非系統(tǒng) 性風(fēng)險，實際上所有的資產(chǎn)定價模型都假定有價證券是通過分散化的邊際投資者來定價的， 這樣的投資者持有那些乖僻風(fēng)險僅需付出較少的代價或無需付出代價。但是，投資者真的持有合理分散化的投資組合嗎？有哪些個體投資者或者行為模式與分散化有所關(guān)聯(lián)呢？是

7、未 分散投資組合的經(jīng)濟成本又有多高呢？5* Summary and ConcluMonThis study examines the diversification choices of individual investors during a six-ycar period in recent U.S. capital market hisTorj; Using data from a Laige U.S. discount brokerage house, we find IhM investors in our sample are under-diversified, where u

8、nder-diversification is greater in retirement accounts. Overiime, the average divers訐icMion level improves, but the improved diversification does not necessarily imply that investors' portfolio composition skills have improved, To a large extent, the iinprovenicnts in the diversificaiion cliarac

9、teri sties of investor peril olios arc induced by changes in the correlation struclure of the U.S. equity market結(jié)論：該研究檢驗了最近美國資本市場史的一個6年個體投資者對于資產(chǎn)組合的分散化選擇。在美國一家大型折扣經(jīng)紀公司的數(shù)據(jù)中，我們發(fā)現(xiàn)樣本中的投資者都未充分進行風(fēng)險分散， 這種未充分分散風(fēng)險的程度在退休賬戶中更為顯著。隨著時間的推移，平均的風(fēng)險分散化程度有所改善，但是風(fēng)險分散化程度的改善并不是因為投資者的投資技能的提升。在很大程度上，投資者分散化程度的提高是由美國投資市場結(jié)構(gòu)性變化

10、而形成的。There is considerable heterogeneity in the diversificalion choices of individual investors. In the crossolder, wealthier, more experienced, »nd financially sophisticated investors firxl those who diversify with assets other than domestic stocks also hold relatively better diversified domes

11、tic stock portfolios. For instance.不冋個體投資者的分散化選擇存在相當(dāng)大的異質(zhì)性。從截面數(shù)據(jù)看，更加年長、富有、有經(jīng)驗、專業(yè)的投資者，和那些將財產(chǎn)而不是國有股票分散化的投資者，同樣持有相對較好的分散化的國內(nèi)股票投資組合。The unexpectedly high idiosyncratic risk in investor portfolios results in a welfare loss. Examining the relation between diversif ication and performance, wc find that some

12、 investors undcr-diversify because they might have superior private in* lonnaiion. However, most investors could have improved the pertorniance of their portfolios by simply investing in one of the many available passive index funds*投資組合中沒有被預(yù)期到的乖僻風(fēng)險會給投資者造成收益損失。通過檢驗風(fēng)險分散化和投資者行為之間的關(guān)系，我們發(fā)現(xiàn)一些投資者因為有信息優(yōu)勢而未

13、進行風(fēng)險分散化。然而，大多數(shù)投資者其實可以通過簡單地從眾多的費用型指數(shù)基金中挑一個來投資，其從而來提高他們的投資行為。第一段：公司規(guī)模和賬面市值比這兩個突出的變量已經(jīng)被證明和股票收益率有顯著的相關(guān)性。Fama和French發(fā)現(xiàn)，股票收益率和公司規(guī)模呈負相關(guān)，和賬面市值比呈正相關(guān)。他們同樣 發(fā)現(xiàn)了股票收益率和3系數(shù)之間在統(tǒng)計上不相關(guān)。size and book-to-market ratios have emerged as the two prominent variables that are significantly related to stock returns.通常人們認為公司規(guī)模

14、和賬面市值比兩個指標是衡量股票收益率的重要指標。Fama and French find that stock retur ns are n egatively related to size and positively relatedto book-to-market ratios.Fama和French發(fā)現(xiàn)股票收益率與公司規(guī)模成負相關(guān)，與賬面市值比呈正相關(guān)They also find that the relati on ship betwee n stock retur ns and beta is not statistically sig ni fica nt.他們還發(fā)現(xiàn)股票收益率

15、與貝塔系數(shù)之間呈不顯著相關(guān)第二段略第三段：Fama和French將這些理論集合分為兩種情境，在這些情境中，經(jīng)驗的結(jié)果可以被看到，兩種情境，一個是合理估值，另一個是過度反應(yīng)。（好多詞。明天再翻譯）Fama and French divide the set of theories into two contexts within which the empirical results can be viewed,one related to rational valuation and the other related to overreaction.Fama和French將上述理論劃分為兩部

16、分，一部分與理性價值有關(guān)，另一部分與過度反 應(yīng)有關(guān)The essence of the rational valuation is that size and book-to-market are indicators of risk through their relationship with the econmic prospects of companies.理性價值評估的本質(zhì)是通過公司規(guī)模和賬面市值比兩個風(fēng)險指標的關(guān)系確定公司的經(jīng)、”、If濟前景The essence of overreaction,as described by De Bondt and Thaler,is tha

17、t investors overreact to recent stock returns,thereby causing the stocks of "losers" to become undervalued and the stocks of "winners" to become undervalued.過度反應(yīng)的本質(zhì)是投資者對近期股票收益率的過度反應(yīng)， 如 De Bondt 何 Thaler 描述的， 造成（贏者輸者效應(yīng)）失敗者的股票被低估，贏者的股票被高估第四段：Fama和French的分析挑戰(zhàn)了很多的領(lǐng)域，Chan和Lakonishok強調(diào)

18、了收益率和 B之間的關(guān)系必須謹慎地理解，因為實現(xiàn)的收益率是充滿噪音（干擾因素）的。Black 和 Roll、Ross認為如果基準投資組合的均值方差不符合正態(tài)分布的話，收益率和3的關(guān)系可能很弱。Black研究得更深入、 更謹慎， 他認為股票收益率、 公司規(guī)模和賬面市值比可能會因為數(shù)據(jù)挖掘不 夠而呈現(xiàn)出強有力關(guān)系。Famaand French's analysis has been challenged on several grounds.Fama and French 的分析對很多領(lǐng)域發(fā)起挑戰(zhàn)Chan and Lakonishok emphasize that the relationship between returns and beta must be interpreted with caution because realized returns are noisy.Chan 和 Lakonishok 強調(diào)實際股票收益率和貝塔系數(shù)之間的關(guān)系必須謹慎的理解，因為 實際收益率是充滿噪音的。Black and Rpll and Ross say that the relationship between returns and beta might be weak if the benchmark p