心理学、风险和投资(ppt 28).pptx

1、Psychology,Risk and InvestmentDaniel Kahneman,PhDPrinceton University,The standard theory,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 Finance,Inputs from psychologyCognitive errorsEmotional factorsOur agenda todayBold forecasts-errors in judging the odds Narrow framing of decisionsLoss aversion-errors in valuing risksFocus on individual investors.But experts are not immune,Bold ForecastsOptimism Bias

3、,Rosy view of likely outcomesBecoming rich and famousBecoming an alcoholicHaving cancer Exaggeration of skills80-90%are above median Driving skillSense of humor,Bold ForecastsOptimism Bias(continued),Illusion of controlExaggerate element of skillDeny the role of chanceOptimism about specific choices

4、Why do people open a restaurant where many restaurants have failed?,Overconfidence,Make a HIGH estimate of the exchange rate on 1/1/04You should be 99%sure that your estimate is too highMake a LOW estimate of the exchange rate on 1/1/04You should be 99%sure that your estimate is too low,Overconfiden

5、ce(continued),You should be 98%sure that the true value will fall inside your confidence intervalYou should have a probability of 2%that the outcome will be a surprise at the 2%level,Overconfidence(continued),FACT:massive overconfidence Often 20%surprises at the 2%level10-15%surprises when“absolutel

6、y sure”CAUSE:Limited imagination Surprises occur in many unlikely waysRESULT:underestimation of uncertainty,Optimistic 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 buys another:the

7、stock that is sold does better by 3.5%in the following year,Framing:different ways to think about a decision,Different ways to think about cold cuts:10%fat or 90%fat-freePeople frame their own decisions:some ways to think about a decision problem are more natural than others,Frames vary in breadth:p

8、eople tend to adopt frames that are overly narrow,Framing a financial decision:Gains/losses vs.wealth,would you accept this gamble?50%chance to win$15,00050%chance to lose$10,000Now make a crude estimate of your wealth would you accept this gamble?50%chance:your wealth+15K50%chance:your wealth-10K g

9、ain/loss frame vs wealth frame,Comparing the frames,Which frame is more natural?we normally think in terms of gain/lossWhich frame is more reasonable?the broader viewEffects of the framesgain/loss frame-extreme risk aversionwealth frame-closer to risk neutrality,The aversion to losses,Consider this

10、gamble50%to lose$100 50%to win$XWhat X makes the gamble acceptable?A common answer:$200-$250Coefficient of loss aversion is about 2.5,Another pair of choices,Would you accept this gamble?50%to lose$1000 50%to win$1500 most people refuseWould you accept 10 such gambles?most people acceptIs this your

11、last risky decision?Which frame is broader?more reasonable?,Loss aversion&narrow framing:the disposition effect,Selling stocks:People tend to hang on to losers,stocks that are now worth less than their purchase price.They tend to sell winners But taxes And winners do better in the short runThe moral

12、:Having different attitudes towinners and losers costs money,“Near-proportional”risk attitudes,What is your cash equivalent for(100,.5)?What is your cash equivalent for(1,000,.5)?How about(10,000,.50)?The CE rises almost as fast as the stakesCoefficient of loss aversion also stableWhy does this not

13、make sense?life offers more small gambles,and the law of large numbers reduces relative risk,Applications to understanding of market phenomena,Two major puzzles:The equity-premium has been about 7%High volume of trade-little informationThe answers:“Myopic loss aversion”(Benartzi and Thaler)Overconfi

14、dence of traders(Odean),Exceptions to risk aversion:Long shots,People buy lottery tickets Choose between50%to win 5K and 50%to win 15K95%to win 9K and 5%to win 29K,Exceptions to risk aversion:Risk seeking in losses,Choose between90%to lose$2,000lose$1,800 for sureThis is a choice between a sure loss

15、 and a high probability of an even larger loss,with a small chance to stay evenPeople choose to gambleThe certainty of a loss makes it more aversive,Risk-seeking decisions,Accepting defeat,or fighting onSettling a bad case,or litigating a bad case?Escalating commitmentThe difficulty of“cutting losse

16、s”Very common in bad investmentsThe“agency problem”in commitmentPerseverance in the face of adversityDecisions of executives with nothing to lose,Behavioral Theory:The Real Investor,Narrow framing exacerbates two biases Optimistic bias bold forecasts Risk aversion timid decisions(Kahneman and Lovall

17、o,1993)Most of what has been said applies to expertsHighly inaccurate and overconfidentLoss averse under supervisionRisk-seeking to avoid sure losses,Individuals vs.Organizations,Organizations are liable to overconfidenceNot immune to risk errorsButOrganizations have broader framesOrganizations have

18、 broader attention spanNot a fair contest,Regret:The next research frontier?,Determinants of regretHindsightComing closeCommission omission Effects of regretAnticipated regret-conservatismUnanticipated regret-not staying the course,Hindsight,The inevitability of the pastMonday morning quarterbacksEv

19、ening-after Dow-Jones geniusesDistorting past oddsIt was always obviousDistorting your own past beliefsI always knew it is no betterDenying the uncertainty of the pastImplications for uncertainty of future,The Pains of a Close Miss,Missing a flightMr.Tees and Mr.Crane were scheduled to leave the air

20、port 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 Miss(continued),Mr.Crane is told that his flight left on timeM

21、r.Tees is told that his flight was delayed,and just left five minutes agoWho of them is more upset?-Dollar-cost averaging,Regrets of Omission and Commission,Mr.Paul owned shares in company A.During the past year he considered switching to stocks in company B,but he decided against it.He now finds th

22、at 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 the stock of company B.Who is more upset?Mr.Paul Mr.George,Morals About Regret:,Less regret from following routineA little thinking can be bad for you!Think enough to inoculate against regretRegret is a real painIt is costly,but not irrational,to avoid itThe best protection against regret:the broad view-“you win a few”,