The herd instinct
Every now and then, the markets are gripped by a strange madness. The recent sudden sharp slump in share prices has many commentators recalling October 1987, when the Dow fell by more than a fifth in a day. What is odd about that “Black Monday” is that the collapse was so swift and yet so brief - in retrospect, just a blip in a 20-year bull market.
Small wonder that at such times we can only conclude that animal spirits are at play. What else could explain buying frenzies and desperate crashes? The FT’s own Tony Jackson recently put this received wisdom very clearly: “What we have here is the Greater Fool Theory. This says that even though you are perfectly aware a thing is overvalued... you keep buying it anyway. Why? Because the thing is still going up. When the time comes, you will find a Greater Fool to take it off your hands. Until, of course, the music stops, and the Greater Fool turns out to be you.”
Such sentiments pose a problem. Economics is the study of rational behaviour and does not easily accommodate Greater Fools. Some economists have responded by broadening their subject to develop a school called “behavioural economics” in which people do make mistakes. The best known practitioners are Richard Thaler, Andrei Schleifer and Robert Shiller, who is now the most famous of those who argued that the valuations of the dotcom years simply could not make sense.
But conventional economics is not wrong - or at least, stock-market crashes are no evidence against it. Rational investors in an efficient market should produce frenzies and crashes from time to time. In fact, the more intelligent the investor the more likely this is to happen.
The fundamental insight is that there is nothing irrational about trying to learn from what other people in the market are doing. Remember that shares have a true value based on the future stream of company profits. But nobody knows what that value is. Smart investors should realise that other smart investors will know things that they do not. If they don’t take into account their private information, they will make bad decisions, and they can learn only by watching what other people do.
Imagine our rational investor is thinking of buying some shares in RatCo. If she sees RatCo stock rising, that is a signal that other investors agree it’s a good stock. She should follow the herd and would be perfectly rational to do so. Herds usually run together for a good reason.
If many other investors are in a similar situation, there will be a rational buying frenzy for RatCo stock. On the other hand, if nobody follows those early buyers, everyone in the market learns something new and alarming: the early buyers were outliers and few people are even close to agreeing with their optimistic assessment. The stock will crash, and the crash will be rational.
The economists Jeremy Bulow and Paul Klemperer set out this view in 1994 in a paper titled “Rational Frenzies and Crashes”. My account is rather literary but they were able to formalise it in a straightforward mathematical model. Yet the idea has not caught on in the wider world. Most people prefer the simpler explanation that investors are just dumb. Bulow and Klemperer did not prove that investors are rational, but they did show that since rational investors will still look at what other investors are doing, the result will sometimes be price drops and spikes that seem whimsical. So if the market falls 20 per cent on Monday, there may be a perfectly logical explanation.
股市之谜：羊群效应与博傻理论
市场中总是充满着古怪的疯狂行为。最近这次股价骤跌，令很多评论员回想起1987年10月――当时，道琼斯指数1天内跌幅超过20%。那个“黑色星期一”(Black Monday)的古怪之处在于，股市的下跌是如此迅速，却又如此短暂――现在回过头来看一看，它只是20年牛市漫长征程中的短暂一瞬。
这就难怪，我们每到这种时候只能认为这是 “动物精神(animal spirits)”在作怪。否则，我们还能怎么解释这种疯狂的购买与绝望的崩盘呢？英国《金融时报》的托尼?杰克逊(Tony Jackson)最近非常清晰地阐释了这种公认的道理：“这里奉行的是博傻理论(Greater Fool Theory)。这一理论的论断是，即使你完全清楚某物已经估价过高……你还是会继续购买它。为什么？因为这个物品的价格仍在上升。等时机合适时，你会找到一个更大的傻瓜(Greater Fool)来接手。当然，一旦曲终人散，你自己就成了那个最大的傻瓜。”
这种市场情绪引出一个问题。经济学是对理性行为的研究，无法轻易解释“博傻理论”。据此，一些经济学家拓宽了他们的研究科目，开始发展一门名叫“行为经济学”的学科。在这个理论中，允许人们犯错误。这一理论领域最有名的研究者包括理查德?泰勒(Richard Thaler)、安德烈?施莱费尔(Andrei Schleifer)和罗伯特?席勒(Robert Shiller)――后者是当今最有名的行为经济学家，他认为，互联网时代的股价毫无意义。
不过，传统经济学理论并没错――至少，股市崩盘现象并不违背传统经济学理论。在一个有效市场中，理性投资者们应该会不时制造一些疯狂动荡的局面。事实上，投资者越聪明，这种情况就越有可能发生。
其中的基本原理是，仿效市场中的其他人士，这种做法并无任何不合理之处。请记住，股票的真实价值取决于公司未来的利润。然而，无人知道其真实价值何在。聪明的投资者应意识到，其他聪明的投资者可能了解一些自己不了解的东西。如果他们不考虑其他人拥有的非公开信息，他们就会作出糟糕的决定，而他们只能通过观察其他人的行为才能明白其中的信息。
假设一位理性投资者正考虑购买RatCo的一些股票。如果她看到该公司的股票正在上涨，那么，这意味着其他投资者认为这是一只优质股。她应该随大流（即羊群效应），这样做是非常理性的。羊群通常会因为一个好的理由跑到一起。
如果许多其他投资者也处于类似的情况，那么就会出现一波抢购RatCo股票的理性狂潮。反之，如果没有人追随那些早期的购买者，那么市场中所有人就得出一些完全不同且非常惊人的信息：早期购买者是外行，几乎没有人认同他们的乐观评价。接下来，这支股票就会遭遇暴跌，一种理性的暴跌。
经济学家杰里米?布洛(Jeremy Bulow)和保罗?克伦佩雷尔(Paul Klemperer)在1994年一篇名为《理性的疯狂和崩盘》(Rational Frenzies and Crashes)的论文中提出了这一观点。我的解释有些流于表面，但这两位经济学家能够以数学模型的直观方式阐述这一理论。然而，这种理论没有在更广泛的世界里流行开来。多数人更乐意接受更为简单的解释：投资者就是傻瓜。布洛和克伦佩雷尔没有证明投资者是理性的，但他们确实证明，由于理性的投资者会观察其他投资者的行为，结果就是匪夷所思的价格下跌和冲高会不时出现。因此，如果市场在某天下挫20%，这可能将是个非常合理的解释。
