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Click to edit Master title style,Click to edit Master text styles,Second level,Third level,Fourth level,Fifth level,*,Psychology,Risk and Investment,Daniel Kahneman,PhDPrinceton University,Thestandardtheory,Therationalagentofeconomictheory:,hasconsistentopinionsandbeliefs,usesallavailableinformation,unbiasedbyemotion,herd,effects,hascoherentpreferences,tangiblemotives(wealth,security),unaffectedby,framing,ofproblems,BehavioralFinance,Inputsfrompsychology,Cognitiveerrors,Emotionalfactors,Ouragendatoday,Boldforecasts-errorsinjudgingtheodds,Narrowframingofdecisions,Lossaversion-errorsinvaluingrisks,Focusonindividualinvestors,.Butexpertsarenotimmune,BoldForecasts,OptimismBias,Rosyviewoflikelyoutcomes,Becomingrichandfamous,Becominganalcoholic,Havingcancer,Exaggerationofskills,80-90%areabovemedian,Drivingskill,Senseofhumor,BoldForecasts,OptimismBias,(continued),Illusionofcontrol,Exaggerateelementofskill,Denytheroleofchance,Optimismaboutspecificchoices,Why do people open arestaurant where many restaurantshavefailed?,Overconfidence,Makea HIGH estimateof the exchange rate on1/1/04,You shouldbe,99%sure,thatyourestimate is toohigh,Makea LOWestimateof the exchangerateon 1/1/04,You shouldbe,99%sure,thatyourestimate is toolow,Overconfidence,(continued),You shouldbe 98%sure that the true value will fall insideyourconfidenceinterval,You shouldhavea probabilityof 2%thattheoutcome will beasurprise at the2%level,Overconfidence,(continued),FACT:massive overconfidence,Often20%surprisesat the 2%level,10-15%surprises when“absolutely sure”,CAUSE:Limitedimagination,Surprisesoccurin many unlikely ways,RESULT:underestimation of uncertainty,OptimisticOverconfidencein the Market,Why do youthink YOUcanbeatthe market?,The cost of having ideas,(Terry Odeansresearch),Whenan investor sells astockandimmediatelybuysanother:,the stockthatis sold does betterby 3.5%in the following year,Framing:different ways to think about adecision,Differentwaysto think aboutcoldcuts:,10%fator,90%fat-free,People frame theirown decisions,:somewaysto thinkabouta decision problemare more natural than others,Frames vary inbreadth:peopletendto,adoptframes that are overly narrow,Framing afinancialdecision:Gains/lossesvs.wealth,wouldyouaccept this gamble?,50%chanceto win$15,000,50%chanceto lose$10,000,Now make acrude estimateof your wealth,wouldyouaccept this gamble?,50%chance:your wealth+15K,50%chance:your wealth-10K,gain/lossframevswealth frame,Comparingthe frames,Whichframe ismorenatural?,we normally think interms ofgain/loss,Whichframe ismorereasonable?,the broader view,Effects oftheframes,gain/lossframe-extreme risk aversion,wealth frame-closer to risk neutrality,The aversion tolosses,Consider this gamble,50%to lose$100 50%towin$X,WhatX makes the gamble acceptable?,A common answer:$200-$250,Coefficient oflossaversionis about 2.5,Another pair ofchoices,Wouldyouaccept this gamble?,50%to lose$100050%to win$1500,mostpeople refuse,Wouldyouaccept 10suchgambles?,mostpeople accept,Is this your last risky decision?,Whichframe isbroader?more reasonable?,Lossaversion&narrow framing:the,disposition effect,Selling stocks:People tend tohangon tolosers,stocksthatarenow worthlessthantheirpurchaseprice.They tend to sell winners,Buttaxes,And winners dobetter inthe shortrun,The moral:Having different attitudes towinnersandlosers costs money,“,Near-proportional”risk attitudes,Whatis your cash equivalent for(100,.5)?,Whatis your cash equivalent for(1,000,.5)?,How about(10,000,.50)?,The CE rises almostas fast asthestakes,Coefficient oflossaversion also stable,Why does this not make sense?,life offers more small gambles,andthe law of large numbers reduces relativerisk,Applications to understanding of market phenomena,Two major puzzles:,The equity-premium has beenabout 7%,High volume oftrade-little information,The answers:,“Myopicloss aversion,”,”,(Benartzi andThaler),Overconfidenceof traders(Odean),Exceptions torisk aversion:Long shots,Peoplebuy lottery tickets,Choosebetween,50%towin 5Kand 50%to win15K,95%towin 9Kand 5%to win 29K,Exceptions torisk aversion:Risk seekingin losses,Choosebetween,90%tolose$2,000,lose$1,800 for sure,This isa choice between a sure loss and ahigh probability ofan evenlargerloss,with asmall chance to stayeven,Peoplechooseto gamble,The certaintyof a loss makes it more aversive,Risk-seeking decisions,Accepting defeat,orfighting on,Settling a badcase,or litigatinga bad case?,Escalating commitment,The difficultyof“cutting losses”,Very common inbad investments,The“agency problem”in commitment,Perseverance in the face ofadversity,Decisions of executives withnothing to lose,Behavioral Theory:The RealInvestor,Narrowframingexacerbates two biases,Optimistic bias,bold forecasts,Risk aversion,timid decisions,(Kahneman andLovallo,1993),Most ofwhat has been saidappliesto experts,Highlyinaccurate andoverconfident,Loss averse under supervision,Risk-seeking to avoidsure losses,Individuals vs.Organizations,Organizationsare liable tooverconfidence,Not immune torisk errors,But,Or
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