博迪第八版投资学第十二章课后习题答案.docx
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博迪第八版投资学第十二章课后习题答案.docx
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博迪第八版投资学第十二章课后习题答案
博迪第八版投资学第十二章课后习题答案
CHAPTER12:
BEHAVIORALFINANCE
ANDTECHNICALANALYSIS
PROBLEMSETS
1.Technicalanalysiscangenerallybeviewedasasearchfortrendsorpatternsinmarketprices.Technicalanalyststendtoviewthesetrendsasmomentum,orgradualadjustmentsto‘correct’prices,or,alternatively,reversalsoftrends.Anumberofthebehavioralbiasesdiscussedinthechaptermightcontributetosuchtrendsandpatterns.Forexample,aconservatismbiasmightcontributetoatrendinpricesasinvestorsgraduallytakenewinformationintoaccount,resultingingradualadjustmentofpricestowardstheirfundamentalvalues.Anotherexamplederivesfromtheconceptofrepresentativeness,whichleadsinvestorstoinappropriatelyconclude,onthebasisofasmallsampleofdata,thatapatternhasbeenestablishedthatwillcontinuewellintothefuture.Wheninvestorssubsequentlybecomeawareofthefactthatpriceshaveoverreacted,correctionsreversetheinitialerroneoustrend.
2.Evenifmanyinvestorsexhibitbehavioralbiases,securitypricesmightstillbesetefficientlyiftheactionsofarbitrageursmovepricestotheirintrinsicvalues.Arbitrageurswhoobservemispricinginthesecuritiesmarketswouldbuyunderpricedsecurities(orpossiblysellshortoverpricedsecurities)inordertoprofitfromtheanticipatedsubsequentchangesaspricesmovetotheirintrinsicvalues.Consequently,securitiespriceswouldstillexhibitthecharacteristicsofanefficientmarket.
3.Oneofthemajorfactorslimitingtheabilityofrationalinvestorstotakeadvantageofany‘pricingerrors’thatresultfromtheactionsofbehavioralinvestorsisthefactthatamispricingcangetworseovertime.AnexampleofthisfundamentalriskistheapparentongoingoverpricingoftheNASDAQindexinthelate1990s.Arelatedfactoristheinherentcostsandlimitsrelatedtoshortselling,whichrestricttheextenttowhicharbitragecanforceoverpricedsecurities(orindexes)tomovetowardstheirfairvalues.Rationalinvestorsmustalsobeawareoftheriskthatanapparentmispricingis,infact,aconsequenceofmodelrisk;thatis,theperceivedmispricingmaynotberealbecausetheinvestorhasusedafaultymodeltovaluethesecurity.
4.TworeasonswhybehavioralbiasesmightnotaffectequilibriumassetpricesarediscussedinQuizProblems
(1)and
(2)above:
first,behavioralbiasesmightcontributetothesuccessoftechnicaltradingrulesaspricesgraduallyadjusttowardstheirintrinsicvalues,and;second,theactionsofarbitrageursmightmovesecuritypricestowardstheirintrinsicvalues.Itmightbeimportantforinvestorstobeawareofthesebiasesbecauseeitherofthesescenariosmightcreatethepotentialforexcessprofitsevenifbehavioralbiasesdonotaffectequilibriumprices.
5.Efficientmarketadvocatesbelievethatpubliclyavailableinformation(and,foradvocatesofstrong-formefficiency,eveninsiderinformation)is,atanypointintime,reflectedinsecuritiesprices,andthatpriceadjustmentstonewinformationoccurveryquickly.Consequently,pricesareatfairlevelssothatactivemanagementisveryunlikelytoimproveperformanceabovethatofabroadlydiversifiedindexportfolio.Incontrast,advocatesofbehavioralfinanceidentifyanumberofinvestorerrorsininformationprocessinganddecisionmakingthatcouldresultinmispricingofsecurities.However,thebehavioralfinanceliteraturegenerallydoesnotprovideguidanceastohowtheseinvestorerrorscanbeexploitedtogenerateexcessprofits.Therefore,intheabsenceofanyprofitablealternatives,evenifsecuritiesmarketsarenotefficient,theoptimalstrategymightstillbeapassiveindexingstrategy.
6.Trin=
Thistrinratio,whichisbelow1.0,wouldbetakenasabullishsignal.
7.Breadth:
Advances
Declines
NetAdvances
1,233
2,068
-835
Breadthisnegative.Thisisabearishsignal(althoughnoonewouldactuallyuseaone-daymeasureasinthisexample).
8.Thisexerciseislefttothestudent;answerswillvary.
9.Theconfidenceindexincreasesfrom(7%/8%)=0.875to(8%/9%)=0.889
Thisindicatesslightlyhigherconfidence.Buttherealreasonfortheincreaseintheindexistheexpectationofhigherinflation,nothigherconfidenceabouttheeconomy.
10.Atthebeginningoftheperiod,thepriceofComputers,Inc.dividedbytheindustryindexwas0.39;bytheendoftheperiod,theratiohadincreasedto0.50.Astheratioincreasedovertheperiod,itappearsthatComputers,Inc.outperformedotherfirmsinitsindustry.Theoveralltrend,therefore,indicatesrelativestrength,althoughsomefluctuationexistedduringtheperiod,withtheratiofallingtoalowpointof0.33onday19.
11.Fivedaymovingaverages:
Days1–5:
(19.63+20+20.5+22+21.13)/5=20.65
Days2–6=21.13
Days3–7=21.50
Days4–8=21.90
Days5–9=22.13
Days6–10=22.68
Days7–11=23.18
Days8–12=23.45←Sellsignal(day12price Days9–13=23.38 Days10–14=23.15 Days11–15=22.50 Days12–16=21.65 Days13–17=20.95 Days14–18=20.28 Days15–19=19.38 Days16–20=19.05 Days17–21=18.93←Buysignal(day21price>movingaverage) Days18–22=19.28 Days19–23=19.93 Days20–24=21.05 Days21–25=22.05 Days22–26=23.18 Days23–27=24.13 Days24–28=25.13 Days25–29=26.00 Days26–30=26.80 Days27–31=27.45 Days28–32=27.80 Days29–33=27.90←Sellsignal(day33price Days30–34=28.20 Days31–35=28.45 Days32–36=28.65 Days33–37=29.05 Days34–38=29.25 Days35–39=29.00 Days36–40=28.75 12.Thispatternshowsalackofbreadth.Eventhoughtheindexisup,morestocksdeclinedthanadvanced,whichindicatesa“lackofbroad-basedsupport”fortheriseintheindex. 13. Day Advances Declines NetAdvances CumulativeBreadth 1 906 704 202 202 2 653 986 -333 -131 3 721 789 -68 -199 4 503 968 -465 -664 5 497 1,095 -598 -1,262 6 970 702 268 -994 7 1,002 609 393 -601 8 903 722 181 -420 9 850 748 102 -318 10 766 766 0 -318 Thesignalisbearishascumulativebreadthisnegative;however,thenegativenumberisdeclininginmagnitude,indicativeofimprovement.Perhapstheworstofthebearmarkethaspassed. 14.Trin= Thisisaslightlybullishindicator,withaveragevolumeinadvancingissuesabitgreaterthanaveragevolumeindecliningissues. 15.ConfidenceIndex= Thisyear: ConfidenceIndex=(8%/10.5%)=0.762 Lastyear: ConfidenceIndex=(8.5%/10%)=0.850 Thus,theconfidenceindexisdecreasing. 16.[Note: Inordertocreatethe26-weekmovingaveragefortheS&P500,wefirstconvertedtheweeklyreturnstoweeklyindexvalues,usingabaseof100fortheweekpriortothefirstweekofthedataset.ThegraphonthenextpageshowstheresultingS&P500valuesandthe26-weekmovingaverage,beginningwiththe26thweekofthedataset.] a.Thegraphonthenextpagesummarizesthedataforthe26-weekmovingaverage.ThegraphalsoshowsthevaluesoftheS&P500index. b.TheS&P500crossesthroughitsmovingaveragefrombelowfourteentimes,asindicatedinthetablebelow.Theindexincreasesseventimesinweeksfollowingacross-throughanddecreasesseventimes. Dateof cross-through DirectionofS&P500insubsequentweek 05/18/01 Decrease 06/08/01 Decrease 12/07/01 Decrease 12/21/01 Increase 03/01/02 Increase 11/22/02 Increase 01/03/03 Increase 03/21/03 Decrease 04/17/03 Increase 06/10/04 Decrease 09/03/04 Increase 10/01/04 Decrease 10/29/04 Increase 04/08/05 Decrease c.TheS&P500crossesthroughitsmovingaveragefromabovefourteentimes,asindicatedinthetablebelow.Theindexincreasesninetimesinweeksfollowingacross-throughanddecreasesfivetimes. Dateof cross-through DirectionofS&P500insubsequentweek 06/01/01 Increase 06/15/01 Increase 12/14/01 Increase 02/08/02 Increase 04/05/02 Decrease 12/13/02 Increase 01/24/03 Decrease 03/28/03 Increase 04/30/04 Decrease 07/02/04 Decrease 09/24/04 Increase 10/15/04 Decrease 03/24/05 Increase 04/15/05 Increase d.Whentheindexcrossesthroughitsmovingaveragefrombelow,asinpart(b)above,thisisregardedasabullishsignal.However,inoursample,theindexisaslikelytoincreaseasitistodecreasefollowingsuchasignal.Whentheindexcrossesthroughitsmovingaveragefromabove,asinpart(c),thisisregardedasabearishsignal.Inoursample,contrarytothebearishsignal,theindexisactuallymorelikelytoincreasethanitistodecreasefollowingsuchasignal. 17.[Note: Inordertocreatetherelativestrengthmeasure,wefirstconvertedtheweeklyreturnsfortheFidelityBankingFundandfortheS&P500toweeklyindexvalues,usingabaseof100fortheweekpriortothefirstweekofthedataset.ThegraphonthenextpageshowstheresultingFidelityBankingFundvaluesandtheS&P500values,alongwiththeRelativeStrengthmeasure(multipliedby100).ThegraphonthefollowingpageshowsthepercentagechangeintheRelativeStrengthmeasureover5-weekintervals.] a.ThegraphsonthenexttwopagessummarizetherelativestrengthdatafortheFidelityBankingFund. b.Overfive-weekintervals,relativestrengthincreasedbymorethan5%twenty-ninetimes,asindicatedinthetablebelow.TheFidelityBankingFundunderperformedtheS&P500indexeighteentimesandoutperformedtheS&P500indexeleventimesinweeksfollowinganincreaseofmorethan5%. DateofIncrease PerformanceofBankingFundinsubsequentweek 07/21/0
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