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

1、视频经济学金融市场 14 客座演讲 Guest Lecture by Andrew RedleafLecture 14 -Guest Lecture by Andrew RedleafOverview:Andrew Redleaf, a Yale graduate and manager of Whitebox Advisors, a hedge fund, discusses his experience with financial markets. He addresses one of the fundamental questions in finance-whether or no

2、t markets are efficient-and concludes that although they dont seem to be efficient, beating the market is very difficult. Mr. Redleaf discusses his thoughts about psychological barriers that make markets inefficient. He also comments on his beliefs regarding risk management and how people are compen

3、sated for mitigating risks, rather than for taking on risk as is often perceived. He ends by answering several questions from students.Reading assignment:Nocera, Joseph. Curiosity Has Its Merits and Its Profits. New York Times, September 9, 2007.Financial Markets: Lecture 14 TranscriptProfessor Robe

4、rt Shiller: We have today our guest lecturer, Andrew Redleaf. I wont spend more time introducing-hes head of Whitebox Advisors, a hedge fund, weve talked about him in class and Ill turn it now over to Andrew, manager of a hedge fund, Whitebox Advisors, and a Yale graduate. I wont spend any more time

5、 on introduction, but I want to say that well allow some time at the end for questions. Unfortunately, we had to cancel our lunch today, but well have time at the end of this talk to-for questions.Mr. Andrew Redleaf: Okay, is this an hour or an hour and fifteen? I hated hour and fifteen-minute class

6、es I always tried to do the three-day a week, fifty-minute ones because that was-even that strained my attention span. I think-the, sort of, first thing that I think most people think about or the first question when youre thinking about financial markets is whether theyre efficient or not-whether t

7、hey incorporate all known information-if its possible to do, sort of, significantly better than the market as a whole. Im not sure-used to be absolutely received economic wisdom that financial markets were efficient. Now its-I think its still the dominant academic view, but theres a big debate and t

8、here are partisans on both sides. Its actually-to me, its actually a fairly simple question.The efficient-the notion that markets are efficient derives from an a priori theory, which is the same sort of theory about all markets. There are lots of incentives, people acting in their own interests-they

9、 have to do that. Its a very appealing kind of a priori theory, but the thing about theories is theyre supposed to make predictions. If some of the things they predict dont come true, the theory has to be disregarded and there are many, many, many counter examples to financial market efficiencies. O

10、n one level, there are things like companies that have two different classes of stock that are economically identical. Royal Shell used to have Dutch shares that traded in Holland and U.K. shares traded in London. Economically identical, but their prices would fluctuate and fairly dramatically. In 9

11、8, I forget which way, but one of the share classes was at a 20% discount to the other and that persisted for several years, so you have economically identical things trading at different prices.You have closed end funds, which are vehicles that own a set of other securities-trade as a security list

12、ed on the stock exchange, but what they do is own other securities. And whether they trade to a discount-whether the security in the closed end fund trades at a discount or a premium to the stuff they own-fluctuates meaningfully in a way thats sort of difficult to recognize with the idea that the se

13、curities should be reflecting economic value. You have what are called stubs, where one public company owns a significant stake in another public company. In instances where the one-3Com owned Palm, and the value of its Palm stake greatly exceeded the total value of the market capitalization of 3Com

14、; that persisted for a number of years. In general, less volatile stocks have done better over time than more volatile stocks, which is somewhat inconsistent with the notion of efficient markets.Lastly, there is a meaningful number of individuals and institutions whose, sort of, performance look-who

15、se performance in portfolios is really inconsistent with the markets being efficient. It cant really be explained away by-some of them can but-by luck or by inside information or by something, while theres sort of a big academic debate.Then lastly, there are things like the Internet bubble, or more

16、recently the housing bubble, or-theyre not usually called this, but-the lending bubble where-or the subprime mess. Lots and lots of loans, the securities that people bought at par that were worth about somewhere between zero and $.15 or $.20 and now trade there. I dont believe that markets are effic

17、ient and it doesnt really seem like it should be an open question. The people that believe it have to die and then nobody will believe it anymore. Not very many of them change their mind though they come up with more convoluted explanations-clever, convoluted explanations for the counter factual-for

18、 the things that happen in reality that the theory doesnt predict. So, markets arent that efficient.On the other hand, sort of doing better than the markets is a non-trivial exercise and its not as easy as it might appear or as-I mean, some people think its impossible; other people think its really

19、easy. Its actually not impossible, but hard, and there are a number of challenges. First, for individuals, I think the primary challenge is if an individual sticks to, sort of, areas where they might have an informational advantage or at least dont have an informational disadvantage, they wont own a

20、 diversified portfolio of securities because their informational advantage will be narrow. They also have sort of limited access to the gamut of products and so forth-restricted access and restricted offerings. So, thats a challenge for individuals.Institutions are sort of professional investors; al

21、l spend a lot of money on information, which requires infrastructure and resources and so forth. But the very, sort of, nature of being an institution constrains almost everybody whether its, in our case, all our investors have thirty-day liquidity. They can-in mutual funds, its daily liquidity, but

22、 their investors tend not to be as wide-awake. But thats a constraint on us-that, except for the principles, maybe their families maybe not, all our money can disappear in thirty days, so we have to be cognizant of that. We have clients that have, sort of, a set of expectations, which you also have

23、to, if not be cognizant about, sort of deal with. Then there are, kind of, universal psychological challenges-biases in peoples thinking-and a number of things that are just, sort of, difficult for human beings to process and make intelligent decisions. I think thats kind of in the area of mine and

24、one of the things that drew me to Professor Shiller and some of his other colleagues and thats really universal to not just financial markets but to all decision making.I think, particularly in the kinds of the things that have a serious mix of randomness and skill-thats sort of the hardest thing fo

25、r human beings to process-something thats kind of an unknown mix of randomness and skill. We can understand something thats fully random and work out the statistics and be comfortable with that to some degree. Things that are sort of completely cut and dry, fully determinative, we like those too, bu

26、t stuff thats mixed is very, very hard. I mean, quantum mechanics makes sense to no human being, in my view. In those areas, people are inclined to do sort of strange things. I mean, one thing-I play a fair amount of-I play a little bit of poker and Im very interested in the game. Its sort of-its a

27、little like the markets and other things in that theres an element of randomness and an element of skill. One thing that I find interesting-typically, if you play poker in a card room or a casino, I would say nine times out of ten somebody sitting at the table will tell you that theyre not trying; i

28、t almost always happens. Theyll say, I usually play for more money and its hard to concentrate or Im just screwing around.Why do they do that? Whats-why do they not-they could just be screwing around, but why do they tell you? Its kind of my pet theory that they would rather-theyre setting up in adv

29、ance to lose. They would rather lose because theyre sort of screwing around than-thats easier for them to, sort of, deal with than to-they could put out their best game and they would do better, but they might lose anyone given its, sort of, randomness. It is-thats the thing about really good poker

30、players versus less good poker players. Really good poker players play close to their best all the time and theyre not really bothered when they lose; I think thats true in markets too.In all sorts of decisions, what people are inclined to do or are very interested in doing is setting up posturing f

31、or credit and blame in advance and sort of having a pre-made excuse if things dont go right. Theyre more interested, to some degree at least, in having an excuse if things dont go right, than in sort of maximizing the chance that things go right because even maximizing the chance that things go righ

32、t, you cant get it to be 100%; theres an element of randomness. Bad things can happen, so its really, really hard to just focus on getting things right and not winning the argument. Setting yourself up before the fact so that you can win an argument after the fact, so that you didnt-you just got unlucky. People are very inclined to see things as determinative to attribute-and not just in markets, but in the psychology literature-to believe if-youre wired to believe if something-if A happened before B, A ca