心理学、风险和投资(1).pptx
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心理学、风险和投资(1).pptx
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Psychology,RiskandInvestmentDanielKahneman,PhDPrincetonUniversity,Thestandardtheory,Therationalagentofeconomictheory:
hasconsistentopinionsandbeliefsusesallavailableinformationunbiasedbyemotion,herdeffectshascoherentpreferencestangiblemotives(wealth,security)unaffectedbyframingofproblems,BehavioralFinance,InputsfrompsychologyCognitiveerrorsEmotionalfactorsOuragendatodayBoldforecasts-errorsinjudgingtheoddsNarrowframingofdecisionsLossaversion-errorsinvaluingrisksFocusonindividualinvestors.Butexpertsarenotimmune,BoldForecastsOptimismBias,RosyviewoflikelyoutcomesBecomingrichandfamousBecominganalcoholicHavingcancerExaggerationofskills80-90%areabovemedianDrivingskillSenseofhumor,BoldForecastsOptimismBias(continued),IllusionofcontrolExaggerateelementofskillDenytheroleofchanceOptimismaboutspecificchoicesWhydopeopleopenarestaurantwheremanyrestaurantshavefailed?
Overconfidence,MakeaHIGHestimateoftheexchangerateon1/1/04Youshouldbe99%surethatyourestimateistoohighMakeaLOWestimateoftheexchangerateon1/1/04Youshouldbe99%surethatyourestimateistoolow,Overconfidence(continued),Youshouldbe98%surethatthetruevaluewillfallinsideyourconfidenceintervalYoushouldhaveaprobabilityof2%thattheoutcomewillbeasurpriseatthe2%level,Overconfidence(continued),FACT:
massiveoverconfidenceOften20%surprisesatthe2%level10-15%surpriseswhen“absolutelysure”CAUSE:
LimitedimaginationSurprisesoccurinmanyunlikelywaysRESULT:
underestimationofuncertainty,OptimisticOverconfidenceintheMarket,WhydoyouthinkYOUcanbeatthemarket?
Thecostofhavingideas(TerryOdeansresearch)Whenaninvestorsellsastockandimmediatelybuysanother:
thestockthatissolddoesbetterby3.5%inthefollowingyear,Framing:
differentwaystothinkaboutadecision,Differentwaystothinkaboutcoldcuts:
10%fator90%fat-freePeopleframetheirowndecisions:
somewaystothinkaboutadecisionproblemaremorenaturalthanothers,Framesvaryinbreadth:
peopletendtoadoptframesthatareoverlynarrow,Framingafinancialdecision:
Gains/lossesvs.wealth,wouldyouacceptthisgamble?
50%chancetowin$15,00050%chancetolose$10,000Nowmakeacrudeestimateofyourwealthwouldyouacceptthisgamble?
50%chance:
yourwealth+15K50%chance:
yourwealth-10Kgain/lossframevswealthframe,Comparingtheframes,Whichframeismorenatural?
wenormallythinkintermsofgain/lossWhichframeismorereasonable?
thebroaderviewEffectsoftheframesgain/lossframe-extremeriskaversionwealthframe-closertoriskneutrality,Theaversiontolosses,Considerthisgamble50%tolose$10050%towin$XWhatXmakesthegambleacceptable?
Acommonanswer:
$200-$250Coefficientoflossaversionisabout2.5,Anotherpairofchoices,Wouldyouacceptthisgamble?
50%tolose$100050%towin$1500mostpeoplerefuseWouldyouaccept10suchgambles?
mostpeopleacceptIsthisyourlastriskydecision?
Whichframeisbroader?
morereasonable?
Lossaversion&narrowframing:
thedispositioneffect,Sellingstocks:
Peopletendtohangontolosers,stocksthatarenowworthlessthantheirpurchaseprice.TheytendtosellwinnersButtaxesAndwinnersdobetterintheshortrunThemoral:
Havingdifferentattitudestowinnersandloserscostsmoney,“Near-proportional”riskattitudes,Whatisyourcashequivalentfor(100,.5)?
Whatisyourcashequivalentfor(1,000,.5)?
Howabout(10,000,.50)?
TheCErisesalmostasfastasthestakesCoefficientoflossaversionalsostableWhydoesthisnotmakesense?
lifeoffersmoresmallgambles,andthelawoflargenumbersreducesrelativerisk,Applicationstounderstandingofmarketphenomena,Twomajorpuzzles:
Theequity-premiumhasbeenabout7%Highvolumeoftrade-littleinformationTheanswers:
“Myopiclossaversion”(BenartziandThaler)Overconfidenceoftraders(Odean),Exceptionstoriskaversion:
Longshots,PeoplebuylotteryticketsChoosebetween50%towin5Kand50%towin15K95%towin9Kand5%towin29K,Exceptionstoriskaversion:
Riskseekinginlosses,Choosebetween90%tolose$2,000lose$1,800forsureThisisachoicebetweenasurelossandahighprobabilityofanevenlargerloss,withasmallchancetostayevenPeoplechoosetogambleThecertaintyofalossmakesitmoreaversive,Risk-seekingdecisions,Acceptingdefeat,orfightingonSettlingabadcase,orlitigatingabadcase?
EscalatingcommitmentThedifficultyof“cuttinglosses”VerycommoninbadinvestmentsThe“agencyproblem”incommitmentPerseveranceinthefaceofadversityDecisionsofexecutiveswithnothingtolose,BehavioralTheory:
TheRealInvestor,NarrowframingexacerbatestwobiasesOptimisticbiasboldforecastsRiskaversiontimiddecisions(KahnemanandLovallo,1993)MostofwhathasbeensaidappliestoexpertsHighlyinaccurateandoverconfidentLossaverseundersupervisionRisk-seekingtoavoidsurelosses,Individualsvs.Organizations,OrganizationsareliabletooverconfidenceNotimmunetoriskerrorsButOrganizationshavebroaderframesOrganizationshavebroaderattentionspanNotafaircontest,Regret:
Thenextresearchfrontier?
DeterminantsofregretHindsightComingcloseCommissionomissionEffectsofregretAnticipatedregret-conservatismUnanticipatedregret-notstayingthecourse,Hindsight,TheinevitabilityofthepastMondaymorningquarterbacksEvening-afterDow-JonesgeniusesDistortingpastoddsItwasalwaysobviousDistortingyourownpastbeliefsIalwaysknewitisnobetterDenyingtheuncertaintyofthepastImplicationsforuncertaintyoffuture,ThePainsofaCloseMiss,MissingaflightMr.TeesandMr.Cranewerescheduledtoleavetheairportondifferentflights,atthesametime.Theytraveledtogetherfromtowninthesamelimousine,werecaughtinatrafficjam,andarrivedattheairport30minutesafterthescheduleddeparturetimeoftheirflights.,ThePainsofaCloseMiss(continued),Mr.CraneistoldthathisflightleftontimeMr.Teesistoldthathisflightwasdelayed,andjustleftfiveminutesagoWhoofthemismoreupset?
-Dollar-costaveraging,RegretsofOmissionandCommission,Mr.PaulownedsharesincompanyA.DuringthepastyearheconsideredswitchingtostocksincompanyB,buthedecidedagainstit.Henowfindsthathewouldhavebeenbetteroffby$20,000ifhehadswitchedtocompanyB.Mr.GeorgeownedsharesincompanyB.DuringthepastyearheswitchedtostocksincompanyA.Henowfindsthathewouldhavebeenbetteroffby$20,000ifhehadkeptthestockofcompanyB.Whoismoreupset?
Mr.PaulMr.George,MoralsAboutRegret:
LessregretfromfollowingroutineAlittlethinkingcanbebadforyou!
ThinkenoughtoinoculateagainstregretRegretisarealpainItiscostly,butnotirrational,toavoiditThebestprotectionagainstregret:
thebroadview-“youwinafew”,
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- 关 键 词:
- 心理学 风险 投资
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