Chap012INVESTMENTSBODIE KAANE MARCUSNINTH EDITION.docx
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Chap012INVESTMENTSBODIE KAANE MARCUSNINTH EDITION.docx
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Chap012INVESTMENTSBODIEKAANEMARCUSNINTHEDITION
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.Therearetworeasonswhybehavioralbiasesmightnotaffectequilibriumassetprices:
first,behavioralbiasesmightcontributetothesuccessoftechnicaltradingrulesaspricesgraduallyadjusttowardstheirintrinsicvalues,andsecond,theactionsofarbitrageursmightmovesecuritypricestowardstheirintrinsicvalues.Itmightbeimportantforinvestorstobeawareofthesebiasesbecauseeitherofthesescenariosmightcreatethepotentialforexcessprofitsevenifbehavioralbiasesdonotaffectequilibriumprices.
Inaddition,aninvestorshouldbeawareofhispersonalbehavioralbiases,evenifthosebiasesdonotaffectequilibriumprices,tohelpavoidsomeoftheseinformationprocessingerrors(e.g.overconfidenceorrepresentativeness).
5.Efficientmarketadvocatesbelievethatpubliclyavailableinformation(and,foradvocatesofstrong-formefficiency,eveninsiderinformation)is,atanypointintime,reflectedinsecuritiesprices,andthatpriceadjustmentstonewinformationoccurveryquickly.Consequently,pricesareatfairlevelssothatactivemanagementisveryunlikelytoimproveperformanceabovethatofabroadlydiversifiedindexportfolio.Incontrast,advocatesofbehavioralfinanceidentifyanumberofinvestorerrorsininformationprocessinganddecisionmakingthatcouldresultinmispricingofsecurities.However,thebehavioralfinanceliteraturegenerallydoesnotprovideguidanceastohowtheseinvestorerrorscanbeexploitedtogenerateexcessprofits.Therefore,intheabsenceofanyprofitablealternatives,evenifsecuritiesmarketsarenotefficient,theoptimalstrategymightstillbeapassiveindexingstrategy.
6.a.Davisuseslossaversionasthebasisforherdecisionmaking.Sheholdsontostocksthataredownfromthepurchasepriceinthehopesthattheywillrecover.Sheisreluctanttoacceptaloss.
7.a.Shrumrefusestofollowastockaftershesellsitbecauseshedoesnotwanttoexperiencetheregretofseeingitrise.Thebehavioralcharacteristicusedforthebasisforherdecisionmakingisthefearofregret.
8.a.Investorsattempttoavoidregretbyholdingontolosershopingthestockswillrebound.Ifthestockreboundstoitsoriginalpurchaseprice,thestockcanbesoldwithnoregret.Investorsalsomaytrytoavoidregretbydistancingthemselvesfromtheirdecisionsbyhiringafull-servicebroker.
9.a.–iv
b.–iii
c.–v
d.–i
e.–ii
10.Underlyingrisksstillexistevenduringamispricingevent.Themarketmispricingcouldgetworsebeforeitgetsbetter.Otheradverseeffectscouldoccurbeforethepricecorrectsitself(e.g.lossofclientswithnounderstandingorappetiteformispricingopportunities).
11.Dataminingistheprocessbywhichpatternsarepulledfromdata.Technicalanalystsmustbecarefulnottoengageindataminingasgreatisthehumancapacitytodiscernpatternswherenopatternsexist.Technicalanalystsmustavoidminingdatatosupportatheory,ratherthanusingdatatotestatheory.
12.Evenifpricesfollowarandomwalk,theexistenceofirrationalinvestorscombinedwiththelimitstoarbitragebyarbitrageursmayallowpersistentmispricingstobepresent.Thisimpliesthatcapitalwillnotbeallocatedefficiently—capitaldoesnotimmediatelyflowfromrelativelyunproductivefirmstorelativelyproductivefirms.
13.Trin=
Thistrinratio,whichisbelow1.0,wouldbetakenasabullishsignal.
14.Breadth:
Advances
Declines
NetAdvances
1,604
1,434
170
Breadthispositive—bullishsignal(noonewouldactuallyuseaone-daymeasure).
15.Thisexerciseislefttothestudent;answerswillvary.
16.Theconfidenceindexincreasesfrom(5%/6%)=0.833to(6%/7%)=0.857.
Thisindicatesslightlyhigherconfidencewhichwouldbeinterpretedbytechniciansasabullishsignal.Buttherealreasonfortheincreaseintheindexistheexpectationofhigherinflation,nothigherconfidenceabouttheeconomy.
17.Atthebeginningoftheperiod,thepriceofComputers,Inc.dividedbytheindustryindexwas0.39;bytheendoftheperiod,theratiohadincreasedto0.50.Astheratioincreasedovertheperiod,itappearsthatComputers,Inc.outperformedotherfirmsinitsindustry.Theoveralltrend,therefore,indicatesrelativestrength,althoughsomefluctuationexistedduringtheperiod,withtheratiofallingtoalowpointof0.33onday19.
18.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=23.45Sellsignal(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=18.93Buysignal(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=27.90Sellsignal(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 19.Thispatternshowsalackofbreadth.Eventhoughtheindexisup,morestocksdeclinedthanadvanced,whichindicatesa“lackofbroad-basedsupport”fortheriseintheindex. 20. 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. 21.Trin= Thisisaslightlybullishindicator,withaveragevolumeinadvancingissuesabitgreaterthanaveragevolumeindecliningissues. 22.ConfidenceIndex= Thisyear: ConfidenceIndex=(8%/10.5%)=0.762 Lastyear: ConfidenceIndex=(8.5%/10%)=0.850 Thus,theconfidenceindexisdecreasing. 23.Note: Inordertocreatethe26-weekmovingaveragefortheS&P500,weconvertedtheweeklyreturnstoweeklyindexvalues,withabaseof100fortheweekpriortothefirstweekofthedataset.ThefollowinggraphshowstheS&P500valuesandthe26-weekmovingaverage,beginningwiththe26thweekofthedataset. a.Thegraphsummarizesthedataforthe26-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.Theindex
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