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1、14.THERATIONALHERDBlackMondayreignitedinterestinKeynes’sviewoffinance,whichhadbeenlargelyforgotten,atleastintheUnitedStates.InJune1990,twoyoungeconomistsfromMITandHarvard,DavidScharfsteinandJeremyStein,publishedanarticleinTheAmericanEconomicReviewentitled“HerdBehaviorandInvestment,”whi
2、chbeganbycitingKeynes’squip“Worldlywisdomteachesthatitisbetterforreputationtofailconventionallythantosucceedunconventionally.”ScharfsteinandSteinwentontoconstructamathematicalmodel,demonstratingthatinsomecircumstancesitwasanoptimalstrategyforinvestmentmanagerstomimictheactionsofothersr
3、atherthantrusttheirownjudgments.ThesetupoftheScharfstein-SteinmodelwassomewhatdifferentfromtheBeautyContest,butthereasoningthatmotivateditwasthesame:ifaninvestmentmanagergoeswiththecrowdandthingsturnoutbadly,hegetstosharetheblamewitheverybodyelse;ifhefollowsacontrarianstrategy,hebearss
4、oleresponsibilityforhismistakes.“Theunderlyingideaisthatifyoudosomethingdumb,buteverybodyelseisdoingthesamedumbthingatthesametime,peoplewon’tthinkofyouasstupid,anditwon’tbeharmfultoyourreputation,”Steinexplainedtomeinaninterviewsomeyearsago.“Wefirstgotmotivatedbythe1987crash.Theconvent
5、ionalwisdomleadinguptoitwaseverybodythoughtthemarketwasovervalued,butallthefundmanagerssaid,‘Gee,alltheotherguysareinequities,soIoughttobeinequities,too.Ifitgoesdown,we’llallgodowntogether.IfIbailout,Imaybetheoneguywhobailedouttoosoon.’Ifyoubelievethisstoryistrue,itmeansthemarketismore
6、fragileandunstable.Ifeverybodyactsontheirownopinion,you’dhaveadiversityofopinioninthemarketplace,whereasthiswayeverybodyisfollowingthegroup.Ifthegroupshifts,theneverybodyshifts.”FollowingthepublicationoftheScharfsteinandSteinpaper,otherresearchersprovidedempiricalevidencethatsupportedi
7、t.AfteranalyzingthehiringandfiringoffundmanagersatmutualfundfirmssuchasFidelity,FranklinTempleton,andT.RowePrice,JudithChevalier,whoisnowattheYaleSchoolofManagement,andGlennEllison,ofMIT,concludedthatyoungfundmanagerswhofollowedinvestmentstrategiesthatdeviatedsignificantlyfromtheirpe
