Chap012行为金融与技术分析

CHAPTER 12Behavioral Finance and Technical Analysis 行为金融与技术分析INVESTMENTS | BODIE, KANE, MARCUSMcGraw-Hill/Irwin Copyright © 2011 by The McGraw-Hill Companies, Inc. All rights reserved.

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Behavioral Finance 行为金融Conventional Finance传统金融 Prices are correct; equal to intrinsic value. 资产价 格正确时等于其内在价值 Resources are allocated efficiently.资源被正确的分 配 Consistent with EMH与有 效市场假说一致

Behavioral Finance 行为金融 What if investors don’t behave rationally? 行为金融研究：如果 投资者不够理性怎么 办？

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The Behavioral Critique 来自行为学派的批评Two categories of irrationalities:两类不理性 1. Investors do not always process information correctly. 投资者没有总是正确的处理信息 Result: Incorrect probability distributions of future returns.不能正确推断未来收益的分布情况，以至于 投资决策失误 2. Even when given a probability distribution of returns, investors may make inconsistent or suboptimal decisions.即使收益的概率分布是正常的给定的，投资 者依然会有次优决策或者前后矛盾的地方 Result: They have behavioral biases.理性行为偏差

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Errors in Information Processing: Misestimating True Probabilities1. Forecasting Errors: Too much weight is placed on recent experiences. 预测错误，太注重最近 的经验 2. Overconfidence: Investors overestimate their abilities and the precision of their forecasts.过度自信，高 估自己的能力和预测的 精度3. Conservatism: Investors are slow to update their beliefs and under react to new information. 太保守，不能够及时更新观念， 不能及时对新的信息作出反应

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Sample Size Neglect and Representativeness: Investors are too quick to infer a pattern or trend from a small sample. 忽视样本规模，因此样本的代 表性不够；投资者往往很快从 一些小概率事件中总结规律， 这导致过度反应或者反应不足 的情况INVESTMENTS | BODIE, KANE, MARCUS

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Behavioral Biases 行为偏差 Biases result in less than rational decisions, even with perfect information.即使信息处理过程 完美，人们也不一定就能够做出完全的理性决策 Examples: 1. Framing: 框定偏差 – How the risk is described, “risky losses” vs. “risky gains”, can affect investor decisions.怎 么设定风险，是风险损失还是风险获得，也能 影响决策：比如一小气鬼落水，朋友援手，说 把你的手给我~结果他不理朋友；朋友换种说 法，抓住我的手，他马上做出来正确决策INVESTMENTS | BODIE, KANE, MARCUS

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Behavioral Biases 行为偏差2. Mental Accounting:心理账户 Investors may segregate accounts or monies and take risks with their gains that they would not take with t

heir principal.投资者在心里划分 了不同的财富分类，有些钱用于娱乐或消费十 分大方，有些钱用于还账或子女教育就十分保 守 3. Regret Avoidance:后悔规避 Investors blame themselves more when an unconventional or risky bet turns out badly.投 资者在做了不寻常的投资决定后会更加责备自 己INVESTMENTS | BODIE, KANE, MARCUS

Behavioral Biases 行为偏差4. Prospect Theory:前景理论 – Conventional view: Utility depends on level of wealth. 传统观点中效用取决于 财富水平 – Behavioral view: Utility depends on changes in current wealth.行为学派认 为效用取决于现在财富变动的水平。

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Figure 12.1 Prospect Theory 前景理论

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Limits to Arbitrage套利限制 Behavioral biases would not matter if rational arbitrageurs could fully exploit the mistakes of behavioral investors.如果理性套利者能够充分利用行 为投资者的失误，那么行为偏差并不会对定价产生影 响，但是在实际中，这些套利活动会受到如下影响： Fundamental Risk: 基本面风险 – “Markets can remain irrational longer than you can remain solvent.”市场能够在一直都不理性直至 你失去偿付能力，套利失败 – Intrinsic value and market value may take too long to converge.市场价值可能需要很久才会回归 内在价值

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Limits to Arbitrage套利限制 Implementation Costs:执行成本– Transactions costs and restrictions on short selling can limit arbitrage activity.交易成本和 卖空限制会抑制本应该发生的套利

Model Risk:模型风险– What if you have a bad model and the market value is actually correct?人们还会担心：如果 情况不是像我想象的那样市场定价错误需要回 归内在价值，而是我的模型错误市场正确呢？INVESTMENTS | BODIE, KANE, MARCUS

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Limits to Arbitrage and the Law of One Price套利限制与一价定律

Siamese Twin Companies连体双 胞公司 – Royal Dutch should sell for 1.5 times Shell皇家石油应该是壳牌 公司股份的1.5倍 – Have deviated from parity ratio for extended periods偏离了很久 INVESTMENTSrisk | – Example of fundamental

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Figure 12.2 Pricing of Royal Dutch Relative to Shell (Deviation from Parity)皇家荷兰与壳牌运输的价格比值(偏离一价定律)

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Limits to Arbitrage and the Law of One Price套利限制与一价定律 Equity Carve-outs股权分拆上市 – 3Com and Palm第一家分拆第二家子公司单独上市，并将 第二家公司股份按照1.5股每股配发给第一家的股东，这意 味着每张3Com股票价值1.5张Palm股票另加3Com剩余股权 的价值，应是市场上流通的Palm股票的至少1.5倍 – Arbitrage limited by availab

ility of shares for shorting实际 上3Com每股售价比这个低，那为什么不卖空Palm股票并用 此资金买入3Com,市场上流通的5%已经被卖空卖完了，这 就是套利限制 Closed-End Funds封闭式基金 – May sell at premium or discount to NAV常比净现值溢价或 折价出售，这也反映了投资者对未来波动性的预期。INVESTMENTS | BODIE, KANE, MARCUS

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Bubbles and Behavioral Economics 泡沫与行为经济学 Bubbles are easier to spot after they end.对于泡沫大家都是事后 诸葛亮– Dot-com bubble2000年的互联网泡沫 – Housing bubble2008年的住房泡沫

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Bubbles and Behavioral Economics 泡沫与行为经济学 Rational explanation for stock market bubble using the pidend discount model:使用股 利折现模型对股市泡沫 的理性解释：预期 …… 此处隐藏：3706字，全部文档内容请下载后查看。喜欢就下载吧 ……