心理学风险和投资

Psychology,Risk

andInvestment

DanielKahneman,PhD

PrincetonUniversity

Thestandardtheory

Therationalagentofeconomictheory:hasconsistentopinionsandbeliefs

usesallavailableinformationunbiasedbyemotion,‘herd’effectshascoherentpreferences

tangiblemotives(wealth,security)unaffectedby‘framing’ofproblems

BehavioralFinanceInputsfrompsychologyCognitiveerrorsEmotionalfactorsOuragendatodayBoldforecasts--errorsinjudgingtheoddsNarrowframingofdecisionsLossaversion--errorsinvaluingrisksFocusonindividualinvestors….ButexpertsarenotimmuneBoldForecasts—OptimismBiasRosyviewoflikelyoutcomes Becomingrichandfamous Becominganalcoholic HavingcancerExaggerationofskills 80-90%areabovemedian

Drivingskill SenseofhumorBoldForecasts—OptimismBias(continued)IllusionofcontrolExaggerateelementofskillDenytheroleofchanceOptimismaboutspecificchoicesWhydopeopleopenarestaurantwheremanyrestaurantshavefailed?OverconfidenceMakeaHIGHestimateoftheexchangerateon1/1/04 Youshouldbe99%sure

thatyourestimateistoohighMakeaLOWestimateoftheexchangerateon1/1/04 Youshouldbe99%sure

thatyourestimateistoolowOverconfidence(continued)Youshouldbe98%surethatthetruevaluewillfallinsideyourconfidenceintervalYoushouldhaveaprobabilityof2%thattheoutcomewillbeasurpriseatthe2%level

Overconfidence(continued)

FACT:massiveoverconfidence

Often20%surprisesatthe2%level 10-15%surpriseswhen“absolutelysure”

CAUSE:Limitedimagination Surprisesoccurinmanyunlikelyways

RESULT:underestimationofuncertaintyOptimisticOverconfidenceintheMarket

WhydoyouthinkYOUcanbeatthemarket?Thecostofhavingideas

(TerryOdean’sresearch) Whenaninvestorsellsastockand immediatelybuysanother:

thestockthatissolddoesbetterby3.5% inthefollowingyearFraming:differentwaystothinkaboutadecisionDifferentwaystothinkaboutcoldcuts:‘10%fat’or‘90%fat-free’Peopleframetheirowndecisions:somewaystothinkaboutadecisionproblemaremorenaturalthanothers

Framesvaryinbreadth:peopletendtoadoptframesthatareoverlynarrowFramingafinancialdecision:

Gains/lossesvs.wealthwouldyouacceptthisgamble?50%chancetowin$15,00050%chancetolose$10,000Nowmakeacrudeestimateofyourwealth

wouldyouacceptthisgamble?50%chance:yourwealth+15K50%chance:yourwealth-10Kgain/lossframevswealthframeComparingtheframesWhichframeismorenatural?

wenormallythinkintermsofgain/lossWhichframeismorereasonable?

thebroaderviewEffectsoftheframesgain/lossframe---extremeriskaversionwealthframe---closertoriskneutralityTheaversiontolossesConsiderthisgamble50%tolose$10050%towin$XWhatXmakesthegambleacceptable?Acommonanswer:$200--$250Coefficientoflossaversionisabout2.5AnotherpairofchoicesWouldyouacceptthisgamble?50%tolose$100050%towin$1500

mostpeoplerefuseWouldyouaccept10suchgambles?

mostpeopleacceptIsthisyourlastriskydecision?Whichframeisbroader?morereasonable?Lossaversion&narrowframing:

the‘dispositioneffect’Sellingstocks:Peopletendtohangontolosers,stocksthatarenowworthlessthantheirpurchaseprice.Theytendtosellwinners

But…taxesAndwinnersdobetterintheshortrunThemoral: Havingdifferentattitudesto winnersandloserscostsmoney“Near-proportional”riskattitudesWhatisyourcashequivalentfor(100,.5)?Whatisyourcashequivalentfor(1,000,.5)?Howabout(10,000,.50)?TheCErisesalmostasfastasthestakesCoefficientoflossaversionalsostableWhydoesthisnotmakesense?lifeoffersmoresmallgambles,andthelawoflargenumbersreducesrelativeriskApplicationstounderstandingofmarketphenomenaTwomajorpuzzles:Theequity-premiumhasbeenabout7%Highvolumeoftrade--littleinformationTheanswers:“Myopiclossaversion”(BenartziandThaler)Overconfidenceoftraders(Odean)Exceptionstoriskaversion:

LongshotsPeoplebuylotterytickets

Choosebetween50%towin5Kand50%towin15K95%towin9Kand5%towin29KExceptionstoriskaversion:

RiskseekinginlossesChoosebetween90%tolose$2,000lose$1,800forsureThisisachoicebetweenasurelossandahighprobabilityofanevenlargerloss,withasmallchancetostayevenPeoplechoosetogambleThecertaintyofalossmakesitmoreaversiveRisk-seekingdecisionsAcceptingdefeat,orfightingonSettlingabadcase,orlitigatingabadcase?EscalatingcommitmentThedifficultyof“cuttinglosses”VerycommoninbadinvestmentsThe“agencyproblem”incommitmentPerseveranceinthefaceofadversityDecisionsofexecutiveswithnothingtoloseBeha披vior榨alT慰heor组y:压The糊Real粗Inv虽esto丹rNar浊row玻fr冰ami钓ng艇exa宜cer单bat键es谦two颗bi怎ase挨sOpt帜imi湾sti没cb川ias–bold令for恐ecas努tsRis旧ka毒ver就sio境n–tim锯id晓dec会isi掀ons(Ka猎hne输man撞an姓dL饺ova厘llo邀,1老993汪)Most序of题what肉has酬be扣ens吐aid究appl交ies翅toe索xper嘉tsHig本hly往in纤acc耕ura绢te轰and夸ov销erc协onf葵ide脱ntLos伙sa叔ver侧se救und携er帝sup铁erv怪isi牙onRisk馒-see衫king需to现avoi排dsu盾rel恋osse房诚sInd摸ivi凭dua饶ls证vs.液Or粱gan事iza季tio内nsOrg炕ani衬zat毙ion规sa歇re作lia隔ble防to例ov出erc泛onf庆ide欣nceNot姥immu直net派ori闲ske启rror沸sButOrg惕ani愁zat疗ion非sh彩ave法br雾oad授er专fra缩慧mesOrg当ani刊zat口ion累sh哀ave笛br棚oad奖er对att统ent莲ion茂sp旁anNot就afa信irc满onte于st…Reg撒ret佛:T殖he集nex共tr茶ese惕arc缺hf伙ron映tie喇r?Dete涉rmin词ants迅of尘regr值etHin帜dsi猪ghtComi映ngc还loseComm淹issi顿on>室omi嘱ssio叼nEffe谜cts豆ofr尺egre度tAnti趟cipa朴ted弱regr授et情-刃-c隆onse属rvat寒ismUnan拌tici我pate隔dre掘gret市--庆not舱sta冬ying嘉the与cou厉rseHin识dsi吊ghtThe柿inev屯itab疏ilit偏yof将the叉pas摩tMon虾day浊mo直rni调ng匠qua商rte利rba悄cksEven联ing-肿afte术rDo弱w-Jo抹nes蒸geni顺usesDis垫tor妻tin递gp壶ast睡od畜ds"It舅wa拘sa炭lwa伤ys采obv之iou鼠s"Dis良tor劫tin据gy悄our始ow小np索ast扒be料lie跨fs"I挖alw喘ays岭kn世ew存it"蚊is竞no郑be蚂tte胳rDen累yin赤gt荐he漂unc鸣ert屯ain高ty夏of壳the瞧pa醋stImp倚lic围ati肌ons搞fo歼ru为nce嘉rta桥int篮yo旗ff叠utu托reThe英Pa愤ins嘴of安a与Clo朗se望Mis暴sMiss粘ing智afl妹ightMr.呆Te徐es堆and甘Mr狐.C震ran当ew蛙ere恰sc宽hed讽ule种dt迁ol窑eav裤ethe妥ai壶rpo牌rt赶on幸dif穴fer羡ent史fl病igh管ts,疼at窜th驱es饮ame吓ti债me.The羡yt昼rav布ele餐dt殖oge押the融rf暗rom旋to庄wn韵in舒the凶sa赌melim晶ous瓦ine谋,w箩ere岭ca解ugh宏ti拼na间tr僵aff搏ic闯jam欧,a滥ndarr烫ive妖da城tt盐he奖air嗽por股t3柿0m跪inu朱tes醋af突ter雨th孟esch抓edu汤led沸de棉par驴tur修et碎ime袋of拖th夜eir培fl耀igh狮ts.The叮Pain甲sof破aC拒lose魔Mis文s(con惹tinu依ed)Mr.杠Cr面ane颠is袭to量ld疲tha绑th污is斗fli攀ght笋le捕ft乔on甘tim处eMr.叼Tees瞧is芝told孙tha俊thi踏sfl送ight徒was趁del堤ayed成,and氏just欢lef胳tfi糕vem世inut逮esa娇goWho蝴of她th协em企is查mor窑eu摇pse炎t?---殿---罪---旁---颤---割---盐---枪---赛---礼---枕---涌---博---乘---双---抗---仇-Doll镇ar-c钱ost羡aver纠agin河gReg补ret犯so冈fO求mis盖sio抗na济nd渡Com派mis域sio挑nMr.屯Pa书ul苗own脆ed丧sha迟res通in评co欣mpa堵ny伴A.伏Dur标ing凤th欣ep泪ast讽ye佩ar远he显con斩sid蹈ere笼ds慈wit多chi蜡ng顿to滥sto死cks剖in避co搬mpa茎ny区B,伤but颂he劝de茅cid查ed遣aga栗ins恐ti筝t.兼He悄now调fi掏nds清th徒at甩he刊wou深ld晃hav帖eb夏een损be关tte断ro凤ff闻by消$20也,00舱