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

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

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视频经济学金融市场07行为金融学BehavioralFinance

Lecture7-BehavioralFinance:

TheRoleofPsychology  

Overview:

BehavioralFinanceisarelativelyrecentrevolutioninfinancethatappliesinsightsfromallofthesocialsciencestofinance.Newdecision-makingmodelsincorporatepsychologyandsociology,amongotherdisciplines,toexplaineconomicandfinancialphenomenon,suchaserraticstockpricevariations.Psychologicalpatternssuchasoverconfidenceandperceivedkinksinthevaluefunctionseemtoimpactfinancialdecision-making,butarenotincludedinclassicaltheoriessuchastheExpectedUtilityTheory.KahnemanandTversky'sProspectTheoryaddressessuchissuesandshedslightonirrationaldeviationsfromtraditionaldecision-makingmodels.

Readingassignment:

RobertShiller,IrrationalExuberance,chapters3,4,8,and9

JeremySiegel,StocksfortheLongRun,chapter19

Fisher,Irving."TheStockMarketPanicin1929."JournaloftheAmericanStatisticalAssociation,Proceedings,25（169）,pp.93-6,1930.

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'tit?

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?

That'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'tit?

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,