心理学、风险和投资(1).pptx

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”,