"多元无知"：一种基于社会情境的认知偏差对投资者行为影响的理论与实证研究

We aim to examine the effects of “pluralistic ignorance” on investors’ behavior and its implications on market bubbles in a systematic manner. We define pluralistic ignorance as describing the following situation in financial markets: the typical market participants tend to think that market prices are too high but also tend to think—erroneously—that other market participants believe that prices are reasonable. This overestimate of others’ optimism can be responsible for market participants’ tendency to “dance”—that is, to speculate in what they know to be overvalued assets, and thereby fuel market bubbles. We plan to investigate pluralistic ignorance in three steps: first, by synthesizing the existing literature on market evaluation, we argue that pluralistic ignorance could arise when the vehicles for market participants to express their privately pessimistic valuations are lacking; second, we present precise and systematic evidence for pluralistic ignorance by surveying the participants in Beijing real estate market; third, we examine how pluralistic ignorance influences investors’ behavior and how a contextual factor—the sex composition of investors—moderates its effects through lab experiments. Our research suggests that institutional constraints could escalate the behavioral failure of market participants. Moreover，consistent with Levin et al. (2014), this research points out that cognitive biases may stem not only from the cognitive limits of individuals, but also from the social context of decision-making.

本课题旨在对“多元无知”对投资者行为的影响及对市场泡沫的作用进行系统研究。我们用多元无知指代资本市场中的下述情形：市场参与者认为价格已经过高，但错误地认为其他参与者相信价格是合理的。这种对于其他参与者乐观程度的过高估计可能导致参与者对明知已经过高标价的资产进行投机，并因此助长市场泡沫。我们的研究计划分为三步：第一，对现有的市场估值理论进行综合分析，指出如果市场缺乏激励表达个人估值的机制，多元无知可能发生；第二，通过对北京市房地产市场参与者的问卷调查，为多元无知的存在提供精确与系统的证据；第三，通过实验考察多元无知对投资者行为的影响，并且探讨环境因素对其效用的调节作用。本研究指出，市场制度的限制可能加深市场参与者的行为失误。并且，与Levin et al.(2014)一致，该研究指出认知偏差不仅可能根源于个人的认知限制，也可能根源于决策的社会情景。

本课题旨在对“多元无知”的内涵、对资本市场稳定性的影响，及对个体行为的影响机制进行开创性的研究。 我们的研究分为三个主要部分：第一，我们厘清了“多元无知”作为一种群体性认知偏差的内涵, 并重点以资本市场为例，对“多元无知”对于资本市场参与者投资决策的影响，及其对于市场（不）稳定可能产生的作用，进行了系统的理论讨论。 第二，利用在北京市收集的房地产市场参与者调查问卷数据，对卖空受限市场中的参与者心理及行为进行了研究，为“多元无知”提供直接、系统的证据。 第三，我们对“多元无知”的相关概念及应用领域进行了拓展，检查了其对个体行为在不同应用场景的影响作用。利用包括现场实验及档案数据分析在内的多种研究方法，我们对影响作用的机制、外部因素的调节作用进行了深入讨论。