心理学、风险和投资(1)ppt课件

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) unaffe

2、cted by framing of problems .Behavioral FinanceInputs 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 Forecasts

3、Optimism BiasRosy 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 spe

4、cific choicesWhy do people open a restaurant where many restaurants have failed?.OverconfidenceMake 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 lo

5、w.Overconfidence (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% sur

6、prises when “absolutely sure CAUSE: Limited imagination Surprises occur in many unlikely waysRESULT: underestimation of uncertainty.Optimistic Overconfidence in the MarketWhy do you think YOU can beat the market?The cost of having ideas (Terry Odeans research) When an investor sells a stock and imme

7、diately buys another:the stock that is sold does better by 3.5% in the following year.Framing: different ways to think about a decisionDifferent 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 ot

8、hers Frames vary in breadth: people tend to adopt frames that are overly narrow.Framing a financial decision: Gains/losses vs. wealthwould 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

9、wealth + 15K50% chance: your wealth - 10K gain/loss frame vs wealth frame.Comparing the framesWhich 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

10、neutrality.The aversion to lossesConsider this 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 choicesWould you accept this gamble?50% to lose $1000 50% to win $1500 most people refuseWould y

11、ou accept 10 such gambles? most people acceptIs this your last risky decision?Which frame is broader? more reasonable?.Loss aversion & narrow framing:the disposition effectSelling stocks: People tend to hang on to losers, stocks that are now worth less than their purchase price. They tend to sell wi

12、nners But taxes And winners do better in the short runThe moral:Having different attitudes towinners and losers costs money.“Near-proportional risk attitudesWhat 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

13、the stakesCoefficient of loss aversion also stableWhy does this not make sense?life offers more small gambles, and the law of large numbers reduces relative risk .Applications to understanding of market phenomenaTwo major puzzles:The equity-premium has been about 7% High volume of trade - little inf

14、ormationThe answers:“Myopic loss aversion (Benartzi and Thaler)Overconfidence of traders (Odean).Exceptions to risk aversion:Long shotsPeople 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 lossesChoose be

15、tween90% to lose $2,000lose $1,800 for sureThis is a choice between a sure loss 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 decisionsAccepting defeat, or fighting onSettling a bad ca

16、se, or litigating a bad case?Escalating commitmentThe difficulty of “cutting lossesVery common in bad investmentsThe “agency problem in commitmentPerseverance in the face of adversityDecisions of executives with nothing to lose.Behavioral Theory: The Real InvestorNarrow framing exacerbates two biase

17、s Optimistic bias bold forecasts Risk aversion timid decisions (Kahneman and Lovallo, 1993)Most of what has been said applies to expertsHighly inaccurate and overconfidentLoss averse under supervisionRisk-seeking to avoid sure losses.Individuals vs. OrganizationsOrganizations are liable to overconfi

18、denceNot immune to risk errorsButOrganizations have broader framesOrganizations have broader attention spanNot a fair contest.Regret: The next research frontier?Determinants of regretHindsightComing closeCommission omission Effects of regretAnticipated regret - conservatismUnanticipated regret - not

19、 staying the course.HindsightThe inevitability of the pastMonday morning quarterbacksEvening-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 Pai

20、ns of a Close MissMissing a flightMr. Tees and Mr. Crane were scheduled to leave the airport 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 timeMr. 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 CommissionMr. Paul owned shares