视频经济学金融市场 14 客座演讲 Guest Lecture by Andrew Redleaf.docx

视频经济学金融市场 14 客座演讲 Guest Lecture by Andrew Redleaf.docx

《视频经济学金融市场 14 客座演讲 Guest Lecture by Andrew Redleaf.docx》由会员分享，可在线阅读，更多相关《视频经济学金融市场 14 客座演讲 Guest Lecture by Andrew Redleaf.docx（11页珍藏版）》请在冰豆网上搜索。

视频经济学金融市场14客座演讲GuestLecturebyAndrewRedleaf

Lecture14-  GuestLecturebyAndrewRedleaf  

Overview:

AndrewRedleaf,aYalegraduateandmanagerofWhiteboxAdvisors,ahedgefund,discusseshisexperiencewithfinancialmarkets.Headdressesoneofthefundamentalquestionsinfinance--whetherornotmarketsareefficient--andconcludesthatalthoughtheydon'tseemtobeefficient,beatingthemarketisverydifficult.Mr.Redleafdiscusseshisthoughtsaboutpsychologicalbarriersthatmakemarketsinefficient.Healsocommentsonhisbeliefsregardingriskmanagementandhowpeoplearecompensatedformitigatingrisks,ratherthanfortakingonriskasisoftenperceived.Heendsbyansweringseveralquestionsfromstudents.

Readingassignment:

Nocera,Joseph."CuriosityHasItsMeritsandItsProfits."NewYorkTimes,September9,2007.

FinancialMarkets:

Lecture14Transcript

ProfessorRobertShiller:

[Wehavetodayourguestlecturer,AndrewRedleaf.Iwon'tspendmoretimeintroducing--he'sheadofWhiteboxAdvisors,ahedgefund,we'vetalkedabouthiminclassandI'llturnitnowovertoAndrew,]managerofahedgefund,WhiteboxAdvisors,andaYalegraduate.Iwon'tspendanymoretimeonintroduction,butIwanttosaythatwe'llallowsometimeattheendforquestions.Unfortunately,wehadtocancelourlunchtoday,butwe'llhavetimeattheendofthistalkto--forquestions.

Mr.AndrewRedleaf:

Okay,isthisanhouroranhourandfifteen?

Ihatedhourandfifteen-minuteclassesIalwaystriedtodothethree-dayaweek,fifty-minuteonesbecausethatwas--eventhatstrainedmyattentionspan.Ithink--the,sortof,firstthingthatIthinkmostpeoplethinkaboutorthefirstquestionwhenyou'rethinkingaboutfinancialmarketsiswhetherthey'reefficientornot--whethertheyincorporateallknowninformation--ifit'spossibletodo,sortof,significantlybetterthanthemarketasawhole.I'mnotsure--usedtobeabsolutelyreceivedeconomicwisdomthatfinancialmarketswereefficient.Nowit's--Ithinkit'sstillthedominantacademicview,butthere'sabigdebateandtherearepartisansonbothsides.It'sactually--tome,it'sactuallyafairlysimplequestion.

Theefficient--thenotionthatmarketsareefficientderivesfromanaprioritheory,whichisthesamesortoftheoryaboutallmarkets.Therearelotsofincentives,peopleactingintheirowninterests--theyhavetodothat.It'saveryappealingkindofaprioritheory,butthethingabouttheoriesisthey'resupposedtomakepredictions.Ifsomeofthethingstheypredictdon'tcometrue,thetheoryhastobedisregardedandtherearemany,many,manycounterexamplestofinancialmarketefficiencies.Ononelevel,therearethingslikecompaniesthathavetwodifferentclassesofstockthatareeconomicallyidentical.RoyalShellusedtohaveDutchsharesthattradedinHollandandU.K.sharestradedinLondon.Economicallyidentical,buttheirpriceswouldfluctuateandfairlydramatically.In'98,Iforgetwhichway,butoneoftheshareclasseswasata20%discounttotheotherandthatpersistedforseveralyears,soyouhaveeconomicallyidenticalthingstradingatdifferentprices.

Youhaveclosedendfunds,whicharevehiclesthatownasetofothersecurities--tradeasasecuritylistedonthestockexchange,butwhattheydoisownothersecurities.Andwhethertheytradetoadiscount--whetherthesecurityintheclosedendfundtradesatadiscountorapremiumtothestufftheyown--fluctuatesmeaningfullyinawaythat'ssortofdifficulttorecognizewiththeideathatthesecuritiesshouldbereflectingeconomicvalue.Youhavewhatarecalledstubs,whereonepubliccompanyownsasignificantstakeinanotherpubliccompany.Ininstanceswheretheone--3ComownedPalm,andthevalueofitsPalmstakegreatlyexceededthetotalvalueofthemarketcapitalizationof3Com;thatpersistedforanumberofyears.Ingeneral,lessvolatilestockshavedonebetterovertimethanmorevolatilestocks,whichissomewhatinconsistentwiththenotionofefficientmarkets.

Lastly,thereisameaningfulnumberofindividualsandinstitutionswhose,sortof,performancelook--whoseperformanceinportfoliosisreallyinconsistentwiththemarketsbeingefficient.Itcan'treallybeexplainedawayby--someofthemcanbut--byluckorbyinsideinformationorbysomething,whilethere'ssortofabigacademicdebate.

Thenlastly,therearethingsliketheInternetbubble,ormorerecentlythehousingbubble,or--they'renotusuallycalledthis,but--thelendingbubblewhere--orthesubprimemess.Lotsandlotsofloans,thesecuritiesthatpeopleboughtatparthatwereworthaboutsomewherebetweenzeroand$.15or$.20andnowtradethere.Idon'tbelievethatmarketsareefficientanditdoesn'treallyseemlikeitshouldbeanopenquestion.Thepeoplethatbelieveithavetodieandthennobodywillbelieveitanymore.Notverymanyofthemchangetheirmindthoughtheycomeupwithmoreconvolutedexplanations--clever,convolutedexplanationsforthecounterfactual--forthethingsthathappeninrealitythatthetheorydoesn'tpredict.So,marketsaren'tthatefficient.

Ontheotherhand,sortofdoingbetterthanthemarketsisanon-trivialexerciseandit'snotaseasyasitmightappearoras--Imean,somepeoplethinkit'simpossible;otherpeoplethinkit'sreallyeasy.It'sactuallynotimpossible,buthard,andthereareanumberofchallenges.First,forindividuals,Ithinktheprimarychallengeisifanindividualsticksto,sortof,areaswheretheymighthaveaninformationaladvantageoratleastdon'thaveaninformationaldisadvantage,theywon'townadiversifiedportfolioofsecuritiesbecausetheirinformationaladvantagewillbenarrow.Theyalsohavesortoflimitedaccesstothegamutofproductsandsoforth--restrictedaccessandrestrictedofferings.So,that'sachallengeforindividuals.

Institutionsaresortofprofessionalinvestors;allspendalotofmoneyoninformation,whichrequiresinfrastructureandresourcesandsoforth.Butthevery,sortof,natureofbeinganinstitutionconstrainsalmosteverybodywhetherit's,inourcase,allourinvestorshavethirty-dayliquidity.Theycan--inmutualfunds,it'sdailyliquidity,buttheirinvestorstendnottobeaswide-awake.Butthat'saconstraintonus--that,exceptfortheprinciples,maybetheirfamiliesmaybenot,allourmoneycandisappearinthirtydays,sowehavetobecognizantofthat.Wehaveclientsthathave,sortof,asetofexpectations,whichyoualsohaveto,ifnotbecognizantabout,sortofdealwith.Thenthereare,kindof,universalpsychologicalchallenges--biasesinpeople'sthinking--andanumberofthingsthatarejust,sortof,difficultforhumanbeingstoprocessandmakeintelligentdecisions.Ithinkthat'skindofintheareaofmineandoneofthethingsthatdrewmetoProfessorShillerandsomeofhisothercolleaguesandthat'sreallyuniversaltonotjustfinancialmarketsbuttoalldecisionmaking.

Ithink,particularlyinthekindsofthethingsthathaveaseriousmixofrandomnessandskill--that'ssortofthehardestthingforhumanbeingstoprocess--somethingthat'skindofanunknownmixofrandomnessandskill.Wecanunderstandsomethingthat'sfullyrandomandworkoutthestatisticsandbecomfortablewiththattosomedegree.Thingsthataresortofcompletelycutanddry,fullydeterminative,welikethosetoo,butstuffthat'smixedisvery,veryhard.Imean,quantummechanicsmakessensetonohumanbeing,inmyview.Inthoseareas,peopleareinclinedtodosortofstrangethings.Imean,onething--Iplayafairamountof--IplayalittlebitofpokerandI'mveryinterestedinthegame.It'ssortof--it'salittlelikethemarketsandotherthingsinthatthere'sanelementofrandomnessandanelementofskill.OnethingthatIfindinteresting--typically,ifyouplaypokerinacardroomoracasino,Iwouldsayninetimesoutoftensomebodysittingatthetablewilltellyouthatthey'renottrying;italmostalwayshappens.They'llsay,Iusuallyplayformoremoneyandit'shardtoconcentrateorI'mjustscrewingaround.

Whydotheydothat?

What's--whydotheynot--theycouldjustbescrewingaround,butwhydotheytellyou?

It'skindofmypettheorythattheywouldrather--they'resettingupinadvancetolose.Theywouldratherlosebecausethey'resortofscrewingaroundthan--that'seasierforthemto,sortof,dealwiththanto--theycouldputouttheirbestgameandtheywoulddobetter,buttheymightloseanyonegivenits,sortof,randomness.Itis--that'sthethingaboutreallygoodpokerplayersversuslessgoodpokerplayers.Reallygoodpokerplayersplayclosetotheirbestallthetimeandthey'renotreallybotheredwhentheylose;Ithinkthat'strueinmarketstoo.

Inallsortsofdecisions,whatpeopleareinclinedtodoorareveryinterestedindoingissettingupposturingforcreditandblameinadvanceandsortofhavingapre-madeexcuseifthingsdon'tgoright.They'remoreinterested,tosomedegreeatleast,inhavinganexcuseifthingsdon'tgoright,thaninsortofmaximizingthechancethatthingsgorightbecauseevenmaximizingthechancethatthingsgoright,youcan'tgetittobe100%;there'sanelementofrandomness.Badthingscanhappen,soit'sreally,reallyhardtojustfocusongettingthingsrightandnotwinningtheargument.Settingyourselfupbeforethefactsothatyoucanwinanargumentafterthefact,sothatyoudidn't--youjustgotunlucky.Peopleareveryinclinedtoseethingsasdeterminativetoattribute--andnotjustinmarkets,butinthepsychologyliterature--tobelieveif--you'rewiredtobelieveifsomething--ifAhappenedbeforeB,Aca