心理学、风险和投资(ppt 28)czih.pptx

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1、Psychology,Risk and InvestmentDaniel Kahneman,PhDPrinceton University The standard theoryg The rational agent of economic theory:has consistent opinions and beliefs uses all available information unbiased by emotion,herd effects has coherent preferences tangible motives(wealth,security)unaffected by

2、 framing of problems Behavioral FinancegInputs from psychology Cognitive errors Emotional factorsgOur agenda today Bold forecasts -errors in judging the odds Narrow framing of decisions Loss aversion-errors in valuing risksgFocus on individual investors.But experts are not immuneBold ForecastsOptimi

3、sm BiasgRosy view of likely outcomes Becoming rich and famous Becoming an alcoholic Having cancerg Exaggeration of skills 80-90%are above median Driving skillSense of humorBold ForecastsOptimism Bias(continued)gIllusion of control Exaggerate element of skill Deny the role of chancegOptimism about sp

4、ecific choices Why do people open a restaurant where many restaurants have failed?OverconfidencegMake a HIGH estimate of the exchange rate on 1/1/04 You should be 99%sure that your estimate is too highgMake a LOW estimate of the exchange rate on 1/1/04 You should be 99%sure that your estimate is too

5、 lowOverconfidence(continued)gYou should be 98%sure that the true value will fall inside your confidence intervalgYou should have a probability of 2%that the outcome will be a surprise at the 2%levelOverconfidence(continued)FACT:massive overconfidence Often 20%surprises at the 2%level 10-15%surprise

6、s when“absolutely sure”CAUSE:Limited imagination Surprises occur in many unlikely waysRESULT:underestimation of uncertaintyOptimistic Overconfidence in the Market Why do you think YOU can beat the market?The cost of having ideas(Terry Odeans research)When an investor sells a stock and immediately bu

7、ys another:the stock that is sold does better by 3.5%in the following yearFraming:different ways to think about a decisiongDifferent ways to think about cold cuts:10%fat or 90%fat-freegPeople frame their own decisions:some ways to think about a decision problem are more natural than others Frames va

8、ry in breadth:people tend to adopt frames that are overly narrowFraming a financial decision:Gains/losses vs.wealthgwould you accept this gamble?50%chance to win$15,000 50%chance to lose$10,000gNow make a crude estimate of your wealthg would you accept this gamble?50%chance:your wealth+15K 50%chance

9、:your wealth -10Kg gain/loss frame vs wealth frameComparing the framesgWhich frame is more natural?we normally think in terms of gain/lossgWhich frame is more reasonable?the broader viewgEffects of the frames gain/loss frame -extreme risk aversion wealth frame -closer to risk neutralityThe aversion

10、to lossesgConsider this gamble 50%to lose$100 50%to win$XgWhat X makes the gamble acceptable?A common answer:$200-$250gCoefficient of loss aversion is about 2.5Another pair of choicesgWould you accept this gamble?50%to lose$1000 50%to win$1500 most people refusegWould you accept 10 such gambles?most

11、 people acceptgIs this your last risky decision?gWhich frame is broader?more reasonable?Loss aversion&narrow framing:the disposition effectgSelling stocks:People tend to hang on to losers,stocks that are now worth less than their purchase price.They tend to sell winnersg But taxes g And winners do b

12、etter in the short rungThe moral:Having different attitudes towinners and losers costs money“Near-proportional”risk attitudesgWhat is your cash equivalent for(100,.5)?gWhat is your cash equivalent for(1,000,.5)?gHow about(10,000,.50)?gThe CE rises almost as fast as the stakes Coefficient of loss ave

13、rsion also stablegWhy does this not make sense?life offers more small gambles,and the law of large numbers reduces relative risk Applications to understanding of market phenomenagTwo major puzzles:The equity-premium has been about 7%High volume of trade-little informationgThe answers:“Myopic loss av

14、ersion”(Benartzi and Thaler)Overconfidence of traders(Odean)Exceptions to risk aversion:Long shotsgPeople buy lottery tickets g Choose between 50%to win 5K and 50%to win 15K 95%to win 9K and 5%to win 29K Exceptions to risk aversion:Risk seeking in lossesgChoose between 90%to lose$2,000 lose$1,800 fo

15、r suregThis is a choice between a sure loss and a high probability of an even larger loss,with a small chance to stay even People choose to gamblegThe certainty of a loss makes it more aversiveRisk-seeking decisionsgAccepting defeat,or fighting on Settling a bad case,or litigating a bad case?gEscala

16、ting commitment The difficulty of“cutting losses”Very common in bad investmentsgThe“agency problem”in commitment Perseverance in the face of adversity Decisions of executives with nothing to loseBehavioral Theory:The Real InvestorNarrow framing exacerbates two biases Optimistic bias bold forecasts R

17、isk aversion timid decisions (Kahneman and Lovallo,1993)Most of what has been said applies to expertsHighly inaccurate and overconfidentLoss averse under supervisionRisk-seeking to avoid sure lossesIndividuals vs.OrganizationsgOrganizations are liable to overconfidencegNot immune to risk errorsButgO

18、rganizations have broader framesgOrganizations have broader attention span Not a fair contestRegret:The next research frontier?gDeterminants of regret Hindsight Coming close Commission omissiong Effects of regret Anticipated regret -conservatism Unanticipated regret-not staying the courseHindsightgT

19、he inevitability of the past Monday morning quarterbacks Evening-after Dow-Jones geniusesgDistorting past odds It was always obviousgDistorting your own past beliefs I always knew it is no bettergDenying the uncertainty of the past Implications for uncertainty of futureThe Pains of a Close MissgMiss

20、ing a flightMr.Tees and Mr.Crane were scheduled to leave the airport on different flights,at the same time.They traveled together from town in the same limousine,were caught in a traffic jam,and arrived at the airport 30 minutes after thescheduled departure time of their flights.The Pains of a Close

21、 Miss(continued)Mr.Crane is told that his flight left on timeMr.Tees is told that his flight was delayed,and just left five minutes agoWho of them is more upset?-Dollar-cost averagingRegrets of Omission and CommissionMr.Paul owned shares in company A.During the past year he considered switching to s

22、tocks in company B,but he decided against it.He now finds that he would have been better off by$20,000 if he had switched to company B.Mr.George owned shares in company B.During the past year he switched to stocks in company A.He now finds that he would have been better off by$20,000 if he had kept

23、the stock of company B.Who is more upset?Mr.Paul Mr.GeorgeMorals About Regret:gLess regret from following routinegA little thinking can be bad for you!Think enough to inoculate against regretgRegret is a real pain It is costly,but not irrational,to avoid itgThe best protection against regret:the broad view-“you win a few”

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