视频经济学金融市场 07 行为金融学 Behavioral FinanceWord格式.docx

视频经济学金融市场 07 行为金融学 Behavioral FinanceWord格式.docx

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Jenter,Dirk,andFadiKanaan."

CEOTurnoverandRelativePerformanceEvaluation."

NBERWorkingPaperNo.12068,February2006.

FinancialMarkets:

Lecture7Transcript

February4,2008

ProfessorRobertShiller:

Today'

slectureisaboutbehavioralfinanceandthisisatermthatemergedintopublicconsciousnessaroundthemid-1990s;

beforethatitwasunknown.Theterm"

efficientmarkets"

ismucholder;

Imentionedtheideagoesbacktothenineteenthcenturyandthetermgoesbacktothe1960s.Butbehavioralfinanceisanewerrevolutioninfinanceandit'

ssomethingthatIhavebeenveryinvolvedwith.Ihavebeenorganizingworkshopsinbehavioralfinanceeversince1991,workingwithProfessorRichardThaleratUniversityofChicago.We'

vebeendoingthatforeighteenyears;

amazing,that'

salongtimeforyou,right?

Whenwestartedweweretotaloutcasts,wethought;

nobodyappreciatedus.IhadtenuresoIcoulddoitbuttheproblemis,youdon'

twanttodothingsthataretoooutoffashion.Fortunately,wehaveasystemthatallowsittohappenandI'

mveryhappytohavethat.

Whatbehavioralfinanceisareactionagainstextreme--someextremes--thatweseeinefficientmarketstheoryoralsoinmathematicalfinance.MathematicalfinanceisabeautifulstructureandIadmirewhatthepeoplehavedoneandI'

veworkedinitmyself,butithasitslimits.Eventually--youknowthewayaparadigmdevelops--itgoesthroughacertainphase.Whenmathematicalfinancewasnew,sayinthe1960s,itwastheexcitingthingandnobodywantedtoworkonanythingelse;

youwantedtobedoingtheexcitingthing.Asthe'

70sand'

80sworeon,itgottobealittlebitoverdone;

peoplerunwithittoofar,theythinkthat'

sallwewanttodo,andwedon'

twanttothinkaboutanythingelse.Thentheystarttogetsometimesalittlecrazy.Thanwehadtoreflectthat,well,thingsaren'

tperfect.Theworldisn'

tperfectandwehaverealpeopleintheworld,sothatledtothebehavioralfinance.

Behavioralfinancereallymeans--whatdoesitmean?

It'

snotlikebehavioralpsychology.Itdoesn'

tmeanbehavioralpsychologyappliedtofinance.Itreallymeanssomethingmuchmorebroadthanthat.Itmeansalloftheothersocialsciencesappliedtofinance.Theeconomicsdepartmentisjustoneofmanydepartmentsintheuniversitythatteachesussomethingabouthowpeoplebehave,soifwewanttounderstandhowpeoplebehavewecan'

trelyonlyontheeconomicsdepartment.Ithinkthatit'

scomingaroundtoaunifyingofourunderstanding.Sincethen--sincethebeginningsinthe'

90s,ourbehavioralfinanceworkshopshavegrownandgrownand,ofcourse,somanypeopleareinvolvedinitnow;

it'

snowverywell-established.

BeforeIgetintothat,Iwanttogivesomeadditionalreflectionsonthelastlecture.Ihavethischart,whichyousawlasttime--actuallyit'

sanExcelspreadsheetthat--IalsoputitupalreadyontheclassesV2websitesoyoucanplaywithit.Ijustwanttoreflectagain--IknowI'

mrepeatingmyselfalittlebit,butit'

sveryimportant.Whatwehaveinthischartistheblueline,whichistheStandard&

PoorCompositeStockPriceIndexgoingbackto1871--from1871to2008,rightnow--sothat'

slike130yearsofdata.That'

stheblueline.Youcanseethe--doyouknowwhatthatisthere?

That'

s1929andthatistheCrashof1929.Well,actuallyitextendedto1932andyoucanseeotherhistoricmovements.There'

sthebullmarketofthe1990s--averybigupswing--andthenthere'

sthecrashfrom2000to2003.Idon'

tknowifyourememberthesethings,theywerebignews,notasbigasthe1929crash,buttheupswingwasjustasbigasthe1920supswing,wasn'

tit?

Here'

sthe1920supswingandhere'

sthe1990supswing--hugeupswinginstockprices.Thisisinlogs,bytheway,sothatmeansthateverything--thesameverticaldistancereferstothesamepercentagechangeintheprice.

ThenIhad,asIsaidlastperiod,Ihavearandomwalkshown--that'

sthepinkline.Therandomwalkisgeneratedbytherandomnumbergenerator.Ifixedtherandomnumbergenerator,soImadeittrulynormalthistime.Itslowsitdownalittlebit,butifyoupressF9wegetanotherrandomwalk,butit'

salwaysthesamestockprice.Thisisarandomwalkwithatrendthatmatchestheuptrendofthestockprice.Icanpress--itkindoflookssimilar,doesn'

Itkindofshowsthatinsomebasicsensethestockmarketandtherandomwalkarethesame.Herewehavethecrashof--herewehavethemarketpeakof1929exceptitturnedoutinthissimulationtohaveoccurredin1910orthereabout.Thenwehavethe--that'

sTheDepressionofthe'

30sexceptit'

snotthe'

30s.Icanjustpushabuttonandwegetsomethingelse.Ifindthisamusing.Idon'

tknow.

Unfortunately,welivethroughonlyoneoftheseinourlifetime.There'

saTVshowaboutparalleluniverses,right?

What'

sthenameofthatshow?

Ican'

trememberit.Don'

tyouknowthisshow?

Wheretheygoinsomekindoftimemachineandtheyemergeinanotherparalleluniversewherehistorytookanothercourse.Wellanyway,theseareparalleluniversesthatwesee.Insomeoftheseuniverses,JeremySiegelwouldwritehisbook,StocksfortheLongRun,andinsomeofthemhewouldnotbecause–well,thisonehemightnotbecauseinthiscasethestockmarketwasjustdecliningforthebetterpartofacentury.

ThethingIdon'

tseeinthesechartsandIthinkwehaven'

tcaptureditperfectlywithjustthestandardrandomwalkisIdon'

tseeanycrashasbigasthe1929crash.It'

shardtogetthem.IkeeppushingF9--thisjustseemstodominate,right?

There'

snothingasbighere--pressF9again--youcankeeppushingandpushing,maybeyou'

llgetonebutyouhave--yougettheideathatthere'

ssomethinganomalousaboutthatcrashfromthestandpointofthisrandomwalktheory.I'

mnotgettingone,right?

ssomethingthatwe'

lltalkabout.Iwould--I'

mnot--IcanpushforalongtimeandIdon'

tsee--wellthere'

saprettybigone.Isn'

tthatjustaboutas--notquiteassharpasthe1929crash,butit'

shardtogetthem.

Ithinkthatonething–thereareacoupleofthingsthatwe'

llcomebackto.Oneis--IthinkI'

vealreadymentionedit--fattales.Stockpricemovementshaveatendencytoshowsomeextremeoutliersthatarenotrepresentedbythenormaldistribution.Butalso,therearevariationsinthevariance.So,inthisperiodhere--inthe'

20sand'

30s--thestockmarketwasextremelyvariableonaday-to-daybasis;

itwaswaybeyondanythingwe'

veobservedsince.So,that'

swhyitseemstobemorevolatileinthatperiodbecausetheaccumulationofbiggerrandomshocks.

Anyway,wecanplaythisgameforawhilebutnowIwanttogoandtalkabout--rememberthattherandomwalkthatweseeinstockpricesisnotthebehaviorofadrunk,eventhoughyoucandescribearandomwalkasdrunkenbehavior.Theideainthetheoryisthatthesemovementsonlyappearrandombecausethey'

renewsandnewsisalwaysunpredictable.Ifthemarketisdoingthebestjob--thisisefficientmarkets--inpredictingthefuture,thatmeansthenthatanytimethestockmarketmovesit'

sbecausesomethingsurprisinghappened.Liketheremightbeanewbreakthroughinscienceortherecouldbewarorsomethingoutside--thisisthestory--outsideoftheeconomicsystemthatdisruptsthings.

Thenextquestionthen–now,I'

veaddedsomething--it'

sonthislittletabhere--I'

veaddedsomething,whichisaplotofpresentvalues.ThisissomethingthatIpublishedin1981.That'

salongtimeago,isn'

Itwasmyfirstbigsuccess.Noteveryonelikedthisarticle,butwhatIhad--Igotintoalotoftroubleforit.Ilearnedsomepeoplereactwithhostilitywhenyouoffendtheircherishedbeliefs,soIwasontheoutsforawhilewiththisarticle.Isaid,it'

skindofinterestingtothinkthatalltheseapparentlyrandommovementsarereallyresultinginnewsaboutsomethingthatisfundamental--that'

stheefficientmarkets.Everytimethestockmarketmovesit'

sbecausetherewassomenewsaboutwhat?

Well,it'

saboutpresentvalue.

Theefficientmarketstheory,initssimplestincarnation,saysthatthepriceistheexpectedpresentvalueoffuturedividends.WhatIdid,inapaperthatIpublishedin1981,isIsaid,welllet'

sjustplotthepresentvalueofdividendsthroughtime.That'

showIconstructedthislongtimeseriesbackto1871;

nobodyelsewaslookingatit.Typically,researcherswantthebestdata,thehighqualitydata,andsotheywouldlookatrecentdata,whichwasthebestdata,andtheywouldthinkgoingbackto1871iscrazybecausethat'

ssolongago.Wehavedailyorminute-by-minutedatabynow,butwecan'

tgetitforthatremoteperiod.Ontheonehand,asIargued,