心理学、风险和投资(1).ppt

Psychology,RiskandInvestmentDanielKahneman,PhDPrincetonUniversity,Thestandardtheory,Therationalagentofeconomictheory:hasconsistentopinionsandbeliefsusesallavailableinformationunbiasedbyemotion,herdeffectshascoherentpreferencestangiblemotives(wealth,security)unaffectedbyframingofproblems,BehavioralFinance,InputsfrompsychologyCognitiveerrorsEmotionalfactorsOuragendatodayBoldforecasts-errorsinjudgingtheoddsNarrowframingofdecisionsLossaversion-errorsinvaluingrisksFocusonindividualinvestors.Butexpertsarenotimmune,BoldForecastsOptimismBias,RosyviewoflikelyoutcomesBecomingrichandfamousBecominganalcoholicHavingcancerExaggerationofskills80-90%areabovemedianDrivingskillSenseofhumor,BoldForecastsOptimismBias(continued),IllusionofcontrolExaggerateelementofskillDenytheroleofchanceOptimismaboutspecificchoicesWhydopeopleopenarestaurantwheremanyrestaurantshavefailed?,Overconfidence,MakeaHIGHestimateoftheexchangerateon1/1/04Youshouldbe99%surethatyourestimateistoohighMakeaLOWestimateoftheexchangerateon1/1/04Youshouldbe99%surethatyourestimateistoolow,Overconfidence(continued),Youshouldbe98%surethatthetruevaluewillfallinsideyourconfidenceintervalYoushouldhaveaprobabilityof2%thattheoutcomewillbeasurpriseatthe2%level,Overconfidence(continued),FACT:massiveoverconfidenceOften20%surprisesatthe2%level10-15%surpriseswhen“absolutelysure”CAUSE:LimitedimaginationSurprisesoccurinmanyunlikelywaysRESULT:underestimationofuncertainty,OptimisticOverconfidenceintheMarket,WhydoyouthinkYOUcanbeatthemarket?Thecostofhavingideas(TerryOdeansresearch)Whenaninvestorsellsastockandimmediatelybuysanother:thestockthatissolddoesbetterby3.5%inthefollowingyear,Framing:differentwaystothinkaboutadecision,Differentwaystothinkaboutcoldcuts:10%fator90%fat-freePeopleframetheirowndecisions:somewaystothinkaboutadecisionproblemaremorenaturalthanothers,Framesvaryinbreadth:peopletendtoadoptframesthatareoverlynarrow,Framingafinancialdecision:Gains/lossesvs.wealth,wouldyouacceptthisgamble?50%chancetowin$15,00050%chancetolose$10,000Nowmakeacrudeestimateofyourwealthwouldyouacceptthisgamble?50%chance:yourwealth+15K50%chance:yourwealth-10Kgain/lossframevswealthframe,Comparingtheframes,Whichframeismorenatural?wenormallythinkintermsofgain/lossWhichframeismorereasonable?thebroaderviewEffectsoftheframesgain/lossframe-extremeriskaversionwealthframe-closertoriskneutrality,Theaversiontolosses,Considerthisgamble50%tolose$10050%towin$XWhatXmakesthegambleacceptable?Acommonanswer:$200-$250Coefficientoflossaversionisabout2.5,Anotherpairofchoices,Wouldyouacceptthisgamble?50%tolose$100050%towin$1500mostpeoplerefuseWouldyouaccept10suchgambles?mostpeopleacceptIsthisyourlastriskydecision?Whichframeisbroader?morereasonable?,Lossaversion&narrowframing:thedispositioneffect,Sellingstocks:Peopletendtohangontolosers,stocksthatarenowworthlessthantheirpurchaseprice.TheytendtosellwinnersButtaxesAndwinnersdobetterintheshortrunThemoral:Havingdifferentattitudestowinnersandloserscostsmoney,“Near-proportional”riskattitudes,Whatisyourcashequivalentfor(100,.5)?Whatisyourcashequivalentfor(1,000,.5)?Howabout(10,000,.50)?TheCErisesalmostasfastasthestakesCoefficientoflossaversionalsostableWhydoesthisnotmakesense?lifeoffersmoresmallgambles,andthelawoflargenumbersreducesrelativerisk,Applicationstounderstandingofmarketphenomena,Twomajorpuzzles:Theequity-premiumhasbeenabout7%Highvolumeoftrade-littleinformationTheanswers:“Myopiclossaversion”(BenartziandThaler)Overconfidenceoftraders(Odean),Exceptionstoriskaversion:Longshots,PeoplebuylotteryticketsChoosebetween50%towin5Kand50%towin15K95%towin9Kand5%towin29K,Exceptionstoriskaversion:Riskseekinginlosses,Choosebetween90%tolose$2,000lose$1,800forsureThisisachoicebetweenasurelossandahighprobabilityofanevenlargerloss,withasmallchancetostayevenPeoplechoosetogambleThecertaintyofalossmakesitmoreaversive,Risk-seekingdecisions,Acceptingdefeat,orfightingonSettlingabadcase,orlitigatingabadcase?EscalatingcommitmentThedifficultyof“cuttinglosses”VerycommoninbadinvestmentsThe“agencyproblem”incommitmentPerseveranceinthefaceofadversityDecisionsofexecutiveswithnothingtolose,BehavioralTheory:TheRealInvestor,NarrowframingexacerbatestwobiasesOptimisticbiasboldforecastsRiskaversiontimiddecisions(KahnemanandLovallo,1993)MostofwhathasbeensaidappliestoexpertsHighlyinaccurateandoverconfidentLossaverseundersupervisionRisk-seekingtoavoidsurelosses,Individualsvs.Organizations,OrganizationsareliabletooverconfidenceNotimmunetoriskerrorsButOrganizationshavebroaderframesOrganizationshavebroaderattentionspanNotafaircontest,Regret:Thenextresearchfrontier?,DeterminantsofregretHindsightComingcloseCommissionomissionEffectsofregretAnticipatedregret-conservatismUnanticipatedregret-notstayingthecourse,Hindsight,TheinevitabilityofthepastMondaymorningquarterbacksEvening-afterDow-JonesgeniusesDistortingpastoddsItwasalwaysobviousDistortingyourownpastbeliefsIalwaysknewitisnobetterDenyingtheuncertaintyofthepastImplicationsforuncertaintyoffuture,ThePainsofaCloseMiss,MissingaflightMr.TeesandMr.Cranewerescheduledtoleavetheairportondifferentflights,atthesametime.Theytraveledtogetherfromtowninthesamelimousine,werecaughtinatrafficjam,andarrivedattheairport30minutesafterthescheduleddeparturetimeoftheirflights.,ThePainsofaCloseMiss(continued),Mr.CraneistoldthathisflightleftontimeMr.Teesistoldthathisflightwasdelayed,andjustleftfiveminutesagoWhoofthemismoreupset?-Dollar-costaveraging,RegretsofOmissionandCommission,Mr.PaulownedsharesincompanyA.DuringthepastyearheconsideredswitchingtostocksincompanyB,buthedecidedagainstit.Henowfindsthathewouldhavebeenbetteroffby$20,000ifhehadswitchedtocompanyB.Mr.GeorgeownedsharesincompanyB.DuringthepastyearheswitchedtostocksincompanyA.Henowfindsthathewouldhavebeenbetter