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DAVRANIŞÇI FİNANS: FİLDİŞİ KULELER SARSILIYOR

Year 2008, , 33 - 42, 10.01.2008
https://doi.org/10.14783/maruoneri.680626

Abstract

Davranışçı finans, klasik ekonomi ve finans teorilerini sorgulayan bir alan olarak son otuz yılda, özellikle Profesör Kahneınan ’ın Nobel Ödiilii kazanan çalışmalarıyla popülerlik kazandı. Davranışçı finans, bireylerin finans kararlarında davranış ve psikoloji boyutunu inceler. Finans kararlan, hem kişisel, hem de kurumsal yatırını kararları veya kurumsal finans kararları olabilir.
Piyasada gözlenen anomaliler ve bireylerin irrasyonel kararları, son yıllarda çok sayıda araştırma yapılmasına neden oldu. Arbitraj imkanlarının sınırlı oluşu ve bilişsel psikoloji, davranışçı finansın temellerini oluşturur. Davranışçı finans, her ne kadar davranışçı ekonomi daha çok makroekonomik konulara eğilse bile onunla birçok ortak paydaya sahiptir. Bir literatür incelemesi otan bu çalışmanın temel amacı, konunun gündeme getirilmesi ve Türkçe’de davranış odaklı finans terminolojisinin geliştirilmesidir.

References

  • [1] Goldberg, J. & Von Nitzsch R. (2001). Behavioral Finance. West Sussex, England: John Wiley & Sons Ltd.
  • [2] Statman M. (1995). Behavioral Finance versus Standard Finance. Association for Investment Management and Research’s Seminar on Improving the Investment Decision-Making Process. Behavioral Finance and Decision Theory, California, April 4, 14-22.
  • [3] Mullainathan, S. & Thaler, R.H. (2000). Behavioral economics. NBER Working Paper No. 7948.
  • [4] Thaler, R.H. (2000). From homo economicus to homo sapiens. Journal of Economic Perspectives, 14(1), 133-141.
  • [5] Thaler, R.H. (1999). The end of behavioral finance. FinancialAnalysts Journal, 55(6), 18-27.
  • [6] Akerlof G.A. (2002). Behavioral macroeconomics and macroeconomic behavior, The American Economic Review, 92(3), 411-433.
  • [7] Ritter J. (2003). Behavioral Finance. Pacific - Basin Finance Journal, 11 (4), 429-437.
  • [8] Nicholas B. & Thaler, R.H. (2003). A Survey of Behavioral Finance. (Eds.: Constantinides, G.; Harris, M. & Schulz, R.). Handbook of Economics of Finance. Amsterdam: North-Holland.
  • [9] Camarer, C. (1995). Individual decision making. (Eds.: Kagel, J.H. & Roth, A.E.). The Handbook of Experimental Economics. Princeton, New Jersey: Princeton University Press.
  • [10] Bernoulli, D. (1954). Exposition of a new theory on the measurement of risk (Çev.L.Sommer) Econometrica, 22 (1), 23-36. (Orijinal eser 1738’te basıldı.)
  • [11] Simon, H. (1955). A behavioral model of rational choice. Quarterly Journal of Economics, 69(1), 99-118.
  • [12] Russell, T. & Thaler, R.H. (1985). The relevance of quasi rationality in competitive markets. The American Economic Review, 75(5), 1071-1082.
  • [13] Simoii, H.A. (1959). Theories of decision making in economics and behavioral Science. The American Economic Review, 19(3), 253-284.
  • [14] Hogarth, R.M. & Reder, M.W. (1986). Editors comments: perspectives from economics and psychology. Journal of Business, 59(4), 185-207.
  • [15] Barber, B. & Odean, T. (1999). The courage of misguided convictions. Association for Investment Management and Research, November/December, 55(6), 41-55.
  • [16] Dimson, E. & Mussavian, M. (1998). A brief history of market efficiency. European Financial Management, 4(1) 91-103.
  • [17] Cowles, A. (1933). Can stock market forecasters forecast? Econometrica, 1(1), 309-325.
  • [18] Cowles, A. (1944). Stock market forecasting. Econometrica, 12(3-4) 206-214.
  • [19] Roberts, H.V. (1959). Stock-market “patterns” and financial analysis: methodological suggestions. Journal of Finance, 14(1) 1-11.
  • [20] Osborne, M.F.M., (1959). Brownian motion in the stock market. Operations Research, 7(2), 145-173.
  • [21] Fama, E. (1965). The behavior of stock market prices. Journal of Business, 38(1), 34-105.
  • [22] Samuelsön, P.A. (1965). Proof that properly anticipated prices fluctuate randomly. Industrial Management Review, 6(2), 41-49.
  • [23] Fama, E.F. (1970) Efficient Capital markets: a review of theory and empirical work. Journal of Finance, 25(2), 383- 417.
  • [24] De Long, J.B.; Shleifer, A.; Summers, L.H. & Waldman, R.J. (1990). Noise trader risk in financial markets. Journal of Political Economy, 98(4), 703-738.
  • [25] Shleifer, A. & Vishny, R. (1997). The limits to arbitrage. Journal of Finance, 52(1), 35-55.
  • [26] Froot, K.A. & Dabora, E.M. (1999). How are stock prices affected by the location of trade? Journal of Financial Economics, 53(2), 189-216.
  • [27] Huberman, G. & Regev, T. (2001). Contagious speculation and a cure for cancer: a nonevent that made stock prices soar. Journal of Finance, 16(1), 387-396.
  • [28] Tversky, A. & Kahneman, D. (1986). Rational choice and the framing of decisions. Part 2: The Behavioral Foundations of Economic Theory. Journal of Business, 59(4), 251-278.
  • [29] Shiller, R.J. (1981). Do stock prices move too much to be justifîed by subsequent changes in dividends? American Economic Review, 71(3), 421-498.
  • [30] Modigliani, F. & Miller, M.H. (1958). The cost of Capital, Corporation finance, and the theory of investment. American Economic Review, 48(3), 655-669.
  • [31] Baker, M.; Ruback, R.S. & Wurgler, J. (2004). Behavioral corporate finance: A survey. NBER Working Papers, No: 10863.
  • [32] Mehra, R. & Prescott, E. (1985). The equity premium puzzle. Journal of Monetary Economics, 15(1), 145-161.
  • [33] Benartzi, S. & Thaler, R. (1995). Myopic loss aversion and the equity premium puzzle. Quarterly Journal of Economics, 110(1), 75-92.
  • [34] De Bondt, W.F.M. & Thaler, R.H. (1987). Further evidence on investor overreaction and stock market seasonality. Journal of Finance, 42(3), 557-581.
  • [35] Lakonishok, J.; Shleifer, A. & Vishny, R.W. (1994). Contrarian Investments Extrapolation Risk. Journal of Finance, 49(5), 1541-1578.
  • [36] Michaely, R.; Thaler, R.H. & Womack, K.L. (1995). Price reactions to dividend initiations and omissions. Journal of Finance, 50(2), 573-608.
  • [37] Basu, S. (1977). Investment performance of common stocks in relation to their price-earnings ratios: a test of the efficient market hypothesis. Journal of Finance, 32(3), 663-682.
  • [38] Fama, E.F. (1991). Efficient capital markets II. Journal of Finance, 46(5), 1575-1643.
  • [39] Kahneman, D. & Tversky, A. (1979). Prospect theory: An analysis of decision under risk. Econometrica, 47(2), 263- 291.
  • [40] Shiller, R.J. (1999). Human behavior and the efficiency of the financial system. (Eds.: Taylor, J. & Woodford, M.). Handbook of Macroeconomics. Amsterdam: Elsevier.
  • [41] Hirshleifer, D. (2001). investor psychology and asset pricing. Journal of Finance,56(4), 1533-1597.
  • [42] Montier, J. (2002). Part man part monkey. Global Equity Strategy. Londra: Dresdner Kleimvort Wasserstein.
  • [43] Tversky, A. & Kahneman, D. (1974). Judgment under uncertainty: heuristics and biases. Science, 185(4157), 1124-1131.
  • [44] Kahneman, D. & Riepe, M.W. (1998). Aspects of investor psychology. Journal of Portfolio Management, 24(4), 52- 65.
  • [45] Daniel, K.; Hirshleifer, D. & Subrahmanyam, A. (1998). Investor psychology and security market under- and overreactions. Journal of Finance, 53(6), 1839-1886.
  • [46] Barberis, N.; Shleifer, A. & Vishny, R. (1998). A model of investor sentiment. Journal of Financial Economics, 49(3), 307-343.
  • [47] Hammond, J.S.; Keeney, R.L. & Raiffa, H. (1998). Hidden Traps in Decision Making. Harvard Business Review, Sept- Oct. 76(5), 47-55.
  • [48] Hawkins, S.A. & Hastie, R. (1990). Hindsight: biased judgements of past events after the outcomes are known. Psyclıological Bıdletin, 107(1), 311-327.
  • [49] Benartzi, S. & Thaler, R. (2001). Nâive diversifıcation strategies in defined contribution savings plans. American Economic Review, 91(1), 79-98.
  • [50] Thaler, R.H. (1999). Mental accounting matters. Journal of. Behavioral Decision Making, 12(3), 183-206.
  • [51] Barberis, N. & Huang, M. (2001). Mental accounting, loss aversion and individual stock retums. Journal of Finance 56(4), 1247-1292.
  • [52] Barberis, N. & Huang, M. (2006). The loss aversion/narrovv framing approach to the equity premium puzzle. (Ed.: Mehra, R.). Handbook of Investments: Equity Premium. Oxford.
  • [53] Shiller, R.J. (1984). Stock prices and social dynamics. Brookings Papers on Economic Activity, (2), 457-498.
  • [54] Saunders, E.M. Jr., (1993). Stock prices and the Wall Street weather. The American Economic Review, 83(5), 1337- 1345.
  • [55] Sözer, J.O. (1998). Behavioral Implications Related to Climatic Effects: A Research in İstanbul Stock Exchange. Marmara University ISKAR Publications No: 98/4, İstanbul.
  • [56] Hirshleifer, D. & Shumvvay, T. (2001). “Good day sunshine: Stock retums and the weather. Journal of Finance, 58(3), 1009-1032.
  • [57] Ellsberg, D. (1961). Risk, ambiguity and the Savage axioms. Quarterly Journal of Economics, 75(1), 643-679.
  • [58] Shefrin, H. & Statman, M. (1985). The dfsposition to seli winners too early and ride losers too long: Theory and evidence. Journal of Finance, 40(3), 777-790.
  • [59] Shiller, R.J. (1995). Conversation, information and herd behavior. Covvles Foundation Discussion Paper, No: 1092.
  • [60] Hirschleifer, T. (2001). Herd behavior and cascading in Capital markets: A review and synthesis. Discussion Paper, no: 2100, Dec.19
  • [61] Bikhchandani, S.D. (1992). A theory of fads, fashion, custom, and cultural change as informational cascades. Journal ofPolitical Economy, 100(1), 992-1026.
  • [62] Benarjee, A. (1992). A sirnple model of herd behavior. Quarterly Journal of Economics, 107(3), 797-817.
Year 2008, , 33 - 42, 10.01.2008
https://doi.org/10.14783/maruoneri.680626

Abstract

References

  • [1] Goldberg, J. & Von Nitzsch R. (2001). Behavioral Finance. West Sussex, England: John Wiley & Sons Ltd.
  • [2] Statman M. (1995). Behavioral Finance versus Standard Finance. Association for Investment Management and Research’s Seminar on Improving the Investment Decision-Making Process. Behavioral Finance and Decision Theory, California, April 4, 14-22.
  • [3] Mullainathan, S. & Thaler, R.H. (2000). Behavioral economics. NBER Working Paper No. 7948.
  • [4] Thaler, R.H. (2000). From homo economicus to homo sapiens. Journal of Economic Perspectives, 14(1), 133-141.
  • [5] Thaler, R.H. (1999). The end of behavioral finance. FinancialAnalysts Journal, 55(6), 18-27.
  • [6] Akerlof G.A. (2002). Behavioral macroeconomics and macroeconomic behavior, The American Economic Review, 92(3), 411-433.
  • [7] Ritter J. (2003). Behavioral Finance. Pacific - Basin Finance Journal, 11 (4), 429-437.
  • [8] Nicholas B. & Thaler, R.H. (2003). A Survey of Behavioral Finance. (Eds.: Constantinides, G.; Harris, M. & Schulz, R.). Handbook of Economics of Finance. Amsterdam: North-Holland.
  • [9] Camarer, C. (1995). Individual decision making. (Eds.: Kagel, J.H. & Roth, A.E.). The Handbook of Experimental Economics. Princeton, New Jersey: Princeton University Press.
  • [10] Bernoulli, D. (1954). Exposition of a new theory on the measurement of risk (Çev.L.Sommer) Econometrica, 22 (1), 23-36. (Orijinal eser 1738’te basıldı.)
  • [11] Simon, H. (1955). A behavioral model of rational choice. Quarterly Journal of Economics, 69(1), 99-118.
  • [12] Russell, T. & Thaler, R.H. (1985). The relevance of quasi rationality in competitive markets. The American Economic Review, 75(5), 1071-1082.
  • [13] Simoii, H.A. (1959). Theories of decision making in economics and behavioral Science. The American Economic Review, 19(3), 253-284.
  • [14] Hogarth, R.M. & Reder, M.W. (1986). Editors comments: perspectives from economics and psychology. Journal of Business, 59(4), 185-207.
  • [15] Barber, B. & Odean, T. (1999). The courage of misguided convictions. Association for Investment Management and Research, November/December, 55(6), 41-55.
  • [16] Dimson, E. & Mussavian, M. (1998). A brief history of market efficiency. European Financial Management, 4(1) 91-103.
  • [17] Cowles, A. (1933). Can stock market forecasters forecast? Econometrica, 1(1), 309-325.
  • [18] Cowles, A. (1944). Stock market forecasting. Econometrica, 12(3-4) 206-214.
  • [19] Roberts, H.V. (1959). Stock-market “patterns” and financial analysis: methodological suggestions. Journal of Finance, 14(1) 1-11.
  • [20] Osborne, M.F.M., (1959). Brownian motion in the stock market. Operations Research, 7(2), 145-173.
  • [21] Fama, E. (1965). The behavior of stock market prices. Journal of Business, 38(1), 34-105.
  • [22] Samuelsön, P.A. (1965). Proof that properly anticipated prices fluctuate randomly. Industrial Management Review, 6(2), 41-49.
  • [23] Fama, E.F. (1970) Efficient Capital markets: a review of theory and empirical work. Journal of Finance, 25(2), 383- 417.
  • [24] De Long, J.B.; Shleifer, A.; Summers, L.H. & Waldman, R.J. (1990). Noise trader risk in financial markets. Journal of Political Economy, 98(4), 703-738.
  • [25] Shleifer, A. & Vishny, R. (1997). The limits to arbitrage. Journal of Finance, 52(1), 35-55.
  • [26] Froot, K.A. & Dabora, E.M. (1999). How are stock prices affected by the location of trade? Journal of Financial Economics, 53(2), 189-216.
  • [27] Huberman, G. & Regev, T. (2001). Contagious speculation and a cure for cancer: a nonevent that made stock prices soar. Journal of Finance, 16(1), 387-396.
  • [28] Tversky, A. & Kahneman, D. (1986). Rational choice and the framing of decisions. Part 2: The Behavioral Foundations of Economic Theory. Journal of Business, 59(4), 251-278.
  • [29] Shiller, R.J. (1981). Do stock prices move too much to be justifîed by subsequent changes in dividends? American Economic Review, 71(3), 421-498.
  • [30] Modigliani, F. & Miller, M.H. (1958). The cost of Capital, Corporation finance, and the theory of investment. American Economic Review, 48(3), 655-669.
  • [31] Baker, M.; Ruback, R.S. & Wurgler, J. (2004). Behavioral corporate finance: A survey. NBER Working Papers, No: 10863.
  • [32] Mehra, R. & Prescott, E. (1985). The equity premium puzzle. Journal of Monetary Economics, 15(1), 145-161.
  • [33] Benartzi, S. & Thaler, R. (1995). Myopic loss aversion and the equity premium puzzle. Quarterly Journal of Economics, 110(1), 75-92.
  • [34] De Bondt, W.F.M. & Thaler, R.H. (1987). Further evidence on investor overreaction and stock market seasonality. Journal of Finance, 42(3), 557-581.
  • [35] Lakonishok, J.; Shleifer, A. & Vishny, R.W. (1994). Contrarian Investments Extrapolation Risk. Journal of Finance, 49(5), 1541-1578.
  • [36] Michaely, R.; Thaler, R.H. & Womack, K.L. (1995). Price reactions to dividend initiations and omissions. Journal of Finance, 50(2), 573-608.
  • [37] Basu, S. (1977). Investment performance of common stocks in relation to their price-earnings ratios: a test of the efficient market hypothesis. Journal of Finance, 32(3), 663-682.
  • [38] Fama, E.F. (1991). Efficient capital markets II. Journal of Finance, 46(5), 1575-1643.
  • [39] Kahneman, D. & Tversky, A. (1979). Prospect theory: An analysis of decision under risk. Econometrica, 47(2), 263- 291.
  • [40] Shiller, R.J. (1999). Human behavior and the efficiency of the financial system. (Eds.: Taylor, J. & Woodford, M.). Handbook of Macroeconomics. Amsterdam: Elsevier.
  • [41] Hirshleifer, D. (2001). investor psychology and asset pricing. Journal of Finance,56(4), 1533-1597.
  • [42] Montier, J. (2002). Part man part monkey. Global Equity Strategy. Londra: Dresdner Kleimvort Wasserstein.
  • [43] Tversky, A. & Kahneman, D. (1974). Judgment under uncertainty: heuristics and biases. Science, 185(4157), 1124-1131.
  • [44] Kahneman, D. & Riepe, M.W. (1998). Aspects of investor psychology. Journal of Portfolio Management, 24(4), 52- 65.
  • [45] Daniel, K.; Hirshleifer, D. & Subrahmanyam, A. (1998). Investor psychology and security market under- and overreactions. Journal of Finance, 53(6), 1839-1886.
  • [46] Barberis, N.; Shleifer, A. & Vishny, R. (1998). A model of investor sentiment. Journal of Financial Economics, 49(3), 307-343.
  • [47] Hammond, J.S.; Keeney, R.L. & Raiffa, H. (1998). Hidden Traps in Decision Making. Harvard Business Review, Sept- Oct. 76(5), 47-55.
  • [48] Hawkins, S.A. & Hastie, R. (1990). Hindsight: biased judgements of past events after the outcomes are known. Psyclıological Bıdletin, 107(1), 311-327.
  • [49] Benartzi, S. & Thaler, R. (2001). Nâive diversifıcation strategies in defined contribution savings plans. American Economic Review, 91(1), 79-98.
  • [50] Thaler, R.H. (1999). Mental accounting matters. Journal of. Behavioral Decision Making, 12(3), 183-206.
  • [51] Barberis, N. & Huang, M. (2001). Mental accounting, loss aversion and individual stock retums. Journal of Finance 56(4), 1247-1292.
  • [52] Barberis, N. & Huang, M. (2006). The loss aversion/narrovv framing approach to the equity premium puzzle. (Ed.: Mehra, R.). Handbook of Investments: Equity Premium. Oxford.
  • [53] Shiller, R.J. (1984). Stock prices and social dynamics. Brookings Papers on Economic Activity, (2), 457-498.
  • [54] Saunders, E.M. Jr., (1993). Stock prices and the Wall Street weather. The American Economic Review, 83(5), 1337- 1345.
  • [55] Sözer, J.O. (1998). Behavioral Implications Related to Climatic Effects: A Research in İstanbul Stock Exchange. Marmara University ISKAR Publications No: 98/4, İstanbul.
  • [56] Hirshleifer, D. & Shumvvay, T. (2001). “Good day sunshine: Stock retums and the weather. Journal of Finance, 58(3), 1009-1032.
  • [57] Ellsberg, D. (1961). Risk, ambiguity and the Savage axioms. Quarterly Journal of Economics, 75(1), 643-679.
  • [58] Shefrin, H. & Statman, M. (1985). The dfsposition to seli winners too early and ride losers too long: Theory and evidence. Journal of Finance, 40(3), 777-790.
  • [59] Shiller, R.J. (1995). Conversation, information and herd behavior. Covvles Foundation Discussion Paper, No: 1092.
  • [60] Hirschleifer, T. (2001). Herd behavior and cascading in Capital markets: A review and synthesis. Discussion Paper, no: 2100, Dec.19
  • [61] Bikhchandani, S.D. (1992). A theory of fads, fashion, custom, and cultural change as informational cascades. Journal ofPolitical Economy, 100(1), 992-1026.
  • [62] Benarjee, A. (1992). A sirnple model of herd behavior. Quarterly Journal of Economics, 107(3), 797-817.
There are 62 citations in total.

Details

Primary Language Turkish
Journal Section Eski Sayılar
Authors

Jale Sözer Oran This is me

Publication Date January 10, 2008
Published in Issue Year 2008

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APA Sözer Oran, J. (2008). DAVRANIŞÇI FİNANS: FİLDİŞİ KULELER SARSILIYOR. Öneri Dergisi, 8(29), 33-42. https://doi.org/10.14783/maruoneri.680626

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