Chp52投资者心态模型.docx
- 文档编号:5731200
- 上传时间:2022-12-31
- 格式:DOCX
- 页数:21
- 大小:180.58KB
Chp52投资者心态模型.docx
《Chp52投资者心态模型.docx》由会员分享,可在线阅读,更多相关《Chp52投资者心态模型.docx(21页珍藏版)》请在冰豆网上搜索。
Chp52投资者心态模型
Rabin进一步认为,人存在自我控制问题,但何时意识到这一问题存在呢?
后者对决策更重要。
根据对自我控制问题的意识程度不同,人们可分为三类:
1)成熟型(sophisticated)。
这类人充分意识到自身存在自我控制问题,并且倾向于准确预测未来的行为。
2)幼稚型(naive)。
这类人根本没有意识到自身存在的自我控制问题,会错误地预测自己未来的行为。
3)偏幼稚型(partiallynaive)。
这类人能够意识到自身的自我控制问题,但低估这一问题造成的影响。
拉宾通过一个修正的贴现效用模型讨论了三种自我控制问题:
式中
表示自我控制问题,说明人们偏好的不稳定。
特别是,当
时,未来的效用的现值更小,说明即使经过贴现,人们仍然偏好现在的消费。
即人们不愿等待。
SomeSpecificApplications
Consumption-SavingDecisions
Laibson(1994,1996,1997,1998),Laibsonetal(1998),andAngeletosetal(2001,)considertheroleofself-controlproblemsforconsumption-savingdecisions.Themaineffectofhavingself-controlproblemsisover-consumption,orequivalentlyunder-saving.Sophisticatedself-controlproblemsarebetterabletoexplainthingssuchaspeople’sliquidassetholdings(relativetomonthlyincomeandrelativetoilliquidassetholdings),consumptionincomecomovement,dropsinconsumptionatretirement,andhighcredit-carddebt.Moreover,
theyclaimthattheirconclusionswouldbethesameiftheyweretoconsidernaiveself-controlproblemsinsteadofsophisticatedself-controlproblems.
Addiction
O’DonoghueandRabin(1999d,2000b),GruberandKoszegi(2001),andCarrillo(1999)considertheroleofself-controlproblemsforaddiction.Onekeyfeatureofharmfuladdictiveproductssuchascigarettesisthatcurrentconsumptioncreatesfuturecosts,andhencethedecisionwhethertoconsumeboilsdowntowhetherthecurrentdesiretoconsumeoutweighsthefuturecostofthisconsumption.Becauseself-controlproblemsmakeapersonmorepronetoconcludethatcurrentconsumptionisworthwhile,themaineffectofself-controlproblemsisatendencytoover-consumeaddictiveproducts.More,anaddictedpersonmightsuffersevereharmbecausesheprocrastinatesquitting—shewantstoquit,andalwaysplanstoquitinthenearfuture,butnevergetsaroundtoit.
投资者行为
授课文献:
MeirStatman,2002,“Acenturyofinvestors”,SantaClaraUniversityLeaveySchoolofBusiness,workingpaper,May2002.
WernerF.M.DeBondt,1998,“Aportraitoftheindividualinvestor”,EuropeanEconomicsReview42:
831-844.
RobertJ.Shiller,1999,“HumanBehaviorandtheEfficiencyoftheFinancialSystem”,HandbookofMacroeconomics,Vol.I,Chapter20,ed.byJ.B.TaylorandM.Woodford,ElsevierScienceB.V.
进一步阅读文献:
KentDaniel,DavidHirshleifer,andSiewHongTeoh,InvestorPsychologyinCapitalMarkets:
EvidenceandPolicyImplications.August3,2001
HershShefrinandMeirStatman,2000,“BehavioralPortfolioTheory”,JournalofFinancialandQuantitativeAnalysis,Vol.35,No.2,pp.127-151.
AndreiShleifer,2000,InefficientMarkents,OxfordUniversityPress,ch.5.(中文版见中国人民大学出版社,2003年,即出)
第一部分投资者的历史画面
Today’sinvestorsarerapidlyinformedbycellulartelephones,televisionstationsandInternetsites.TelephoneswereintheirinfancyacenturyagoandtelevisionandtheInternetwereunknown,butmagazinesexistedthenastoday.Wedrawapictureofinvestorsinthefirsttwodecadesofthe20thCentury,asreflectedintheirquestionstoTheWorld’sWorkmagazine,andcompareittothepictureoftoday’sinvestorsasreflectedintoday’smedia.
Wefindthattoday’sinvestorsareremarkablysimilartotheirpredecessors.Today’sinvestors,liketheirpredecessors,wanttobesecurewhiletheywanttoberich,wanttosavewhiletheyaretemptedtospend,wanttoavoidregretandescapetaxes.AsShaw(1908a)quotedfromTheWorld’sWork,“Humannatureishumannature.”
1、Stockmarkets
aspresentedinFigure1,thevolatilityoftheDJIAduringthefirsttwodecadesofthe20thCenturyexceededitsvolatilityduringthelasttwodecades.
2、Stocks
Infact,attitudestowardsstocksacenturyagowerenuanced,verymuchlikeattitudestoday.Miningenterprisesconstitutedalargeproportionof“poorly-backedandwildly-financed”enterprisesofacenturyago,andonesuchenterprisewastheseedofthepanicof1907.Investorslostmoneyinminingstocksintheearlydecadesofthe20thCenturyandtheylostmoneyinInternetstocksmorerecently.Butthebehaviorofinvestorshardlychanged.“Toomanyinvestorsbuystockincompaniestheyknowlittle.”
BrokerageService(Vanguard2001,p.3).“AgreatexampleistheInternetcompanycrazewhenpeoplewerebuyingstocksincompaniesjustbecausetheyhad‘dot-com’intheirnames.Thesecompanieshadnoearningsanddubiousfuture.Peopleboughtthemwithouttakingthetimetofindoutanythingaboutthecompaniesorabouthowriskytheirinvestmentwouldbe.”
3、Aspirations
Investorswantincomebuttheyaspireforgrowth,theywantsafetybuttheyaspireforriches.Thatwastrueacenturyagoasitistruetoday.
4、Technologystocks
Investorswereattractedtoinvestmentsintechnologicalinnovationacenturyagoastheywereattractedmorerecently.
TheWorld’sWorkisclearinwarninginvestorsagainsttheideathatinventionsaresuretobringrichestoinvestors.Shaw(1908b),theeditoroftheReviewofReviewsquotedfromTheWorld’sWork:
“Perhapstheworstmistakethataninvestorcanmakeistobecomepossessedoftheideathatheshouldbackanewinvention.Justatthemomentitisairships.Alittlewhileagoitwastalkingmachines.Thousandsofpeopleinallthecivilizedcountriesoftheworldlostmuchmoneytryingtoreapfortunesfromthemuch-heraldedfieldofwirelesstelegraphy.Itwouldbequiteimpossibletoestimatetheamountofmoneythathasbeenthrownawaybyusuallysaneandsensiblepeopleduringthepasttenyearsinanefforttomakeasubstituteforthecableandthetelegraphandthetelephone.(p.631)
Zweig(1999)echoedthewarningofTheWorld’sWorkinacolumnaboutInternetstocks.
I’vebeenaskedtoanswerthequestion‘CanyougetrichbybuyinganInternetstockfund?
’andtheanswerisno…ManypeopleinvestingintheInternetarebasingtheirdecisiononacompletemisunderstandingofhowindustriesgrowandinvestorsprosper.Thenotionthatalong-terminvestorcanbecomerichsimplyby“buyingearly”intoarevolutionarynewindustry–liketheInternet–isflat-outwrong.
Zweig’sdiscussionoftheautomobileindustrymightwellbearesponsetotheinvestorswhowrotetoTheWorld’sWorkalmostacenturybefore:
Imaginethat90yearsagoyouhadforeseenthattheautomobileindustry,theninitsinfancy,wouldchangetheworld.Youwouldhavebeenabsolutelyright–butyourinvestmentwouldhavebeenabsolutelywrong.Youcouldn’thaveboughtFord,eventhoughthecompanywasalready10yearsold:
Forddidn’tgopublicuntil1956.Chryslerdidnotyetexist.GeneralMotorswasonlyayearold.Instead,youwouldhaveboughttheindustry’sdominantcompanies:
hotstockslikeHupp,Packard,Pierce-Arrow,Road-RunnerAutoandStanleyMotor.Butothercompanies–likeHudson,Nash,REOandStudebaker,nottomentionGMandFord–quicklyzoomedpasttheearlyleaders.Overthenext20yearsyouwouldhavelostnearlyallyourmoney–evenastheautobusinesswasgoingthroughoneofthegreatboomsofalltime.
5、Bonds
TheWorld’sWorkwarnsinvestorsawayfromthinkingabouthighyieldsasfreelunches.Still,investorsreachforhighyieldstodayastheydidacenturyago,oftenwithdisastrousconsequences.ANewYorkbondssalesmanwrotetoTheWorld’sWork(1910)thathewasunabletosellthebondsofanupstateNewYorkcitybecausePhiladelphiabondssalesmenweresellingbondsthatofferedhigheryields.Threeyearslater,thebondofferedbytheNewYorkhouseweresellingabovepar.ThebondsfromPhiladelphiawereworthless.
Tobias(1998,p.67)echoedTheWorld’sWorkinthestoryofinvestorsinthePiperJaffrayInstitutionalGovernmentIncomePortfolio.Theinvestorslostnearly30%oftheirmoneywhenthefundreachedforhigheryieldsbyspeculatingoninterestrates.
6、Diversification
Theearlydecadesofthe20thCenturywereatimebeforemutualfunds.Investorswhowanteddiversifiedportfolioshadtobuildthemfromindividualsecurities.Diversificationproveddifficultforinvestorswithsmallsavings.AyoungmanwrotetoTheWorld’sWork(1914a,p.263-264)thatheknowsthatdiversificationrequiresthatheputhismoneymanysecurities.Buthowcanhebuildadiversifiedportfoliowhenallhehasis$1,300?
Knowingthatparvalueofmoststocksis$100,themanconsidereddiversifyinghisportfoliobybuyingstocksofdifferentrailroads,industrialandpublicservicecompanies.
Morerecently,Tobias(1998)offeredsimilardiversificationadvice.Hewrote“Diversifyoverseveralstocksindifferentindustries.Ifallyourmoneyisridingontwoorthreestocks,youareexposedtofarmoreriskthanifyou’vediversifiedover12or15(whichshouldbeenough!
).And,becausestocksofcompanieswithinthesameindustrytendtomovetogether,youwillonlybetrulydiversifiedifyouchoosefromamongdifferentsectorsoftheeconomy.”(p.140).
Isaportfolioof12to15stocksdiversifiedenough,asTobiasclaimed?
Theoldadage“Donotputallyoureggsinonebasket”hasbeenbattlingforacenturywithAndrewCarnegie’sversion,“Putallyoureggsinonebasketandthenwatchthatbasket.”TheWorld’sWorkfavoredtheformerbutnotedthatitmightnotsuitallinvestors:
“Thereisnofixedruleforinvesting.Thereareasmanyindividualpreferencesastherearedifferentkindsofinvestmentsavailable.”(1917a,p.484]
SomeinvestorsputalltheirportfolioeggsinWarrenBuffett’sBerkshireHathawaybasket,watcheditcarefullyandwon.OtherinvestorsputalltheirportfolioeggsinEnron’sbasket,watcheditcarefullyandlost.
7、Prideandregret
MorerecentlyinvestorsinInternetmutualfundsdisplayedsimilarprideandsimilardesire;theyrushedtobuymoreshares.“ThebestperformingInternetfundsin1999werethe
- 配套讲稿:
如PPT文件的首页显示word图标,表示该PPT已包含配套word讲稿。双击word图标可打开word文档。
- 特殊限制:
部分文档作品中含有的国旗、国徽等图片,仅作为作品整体效果示例展示,禁止商用。设计者仅对作品中独创性部分享有著作权。
- 关 键 词:
- Chp52 投资者 心态 模型