北大光华各种经济学课件-corporate finance ma class

Event-TimeCumulativeMarket-Adjusted

10192837465564738291100109118127136145154163172181190199208217226235244253262271Return(BuyReturnlessSell101025140- Dollar101025140$NT$NT---- MeanDailyNetofTransactionCosts(140tradingEconomicTheaggregateportfolioofindividualinvestorssufferanannualperformancepenaltyof3.8percentagepoints.Thereturnshortfallisequivalentto2.2percent ’sGDPor2.8percentof Thetotaltradinglosses($NT934billion)representroughly33,85,and170percentoftotalprivateexpendituresonclothing/footwear,andfuel/powerTheaverageinvestorexperiencednettradingandtiminglossesof$NT240,000($US8,100)duringourfiveyearsampleperiod.Duringoursampleperiod,averageannual eperhouseholdwas$NT852,000.Thus,tradingandtiminglossesperinvestorrepresent5.6percentofaverage Incontrast,institutionsenjoyanannualperformanceboostof1.5percentagepoints(aftercommissionsandtaxes,butbeforeothercosts).Combinedtradingandmarket-timinglossesconstituteawealthtransferfromindividualinvestorstoinstitutionalinvestors.Themostprofitablegroupofinstitutionalinvestorsisforeigninvestorswhogarner46.2percentofthetradingandmarket-timinggrossprofitsofinstitutionalinvestors.Thus,nearlyhalfofthewealthtransferfromdomesticindividualstoinstitutionalinvestorsgoestoforeigninstitutions.Cantheprevalenceofdaytradingexplaintheinstitutionalgainsandindividual Daytradingin representsmorethan20percentoftotaltradingvolume.Inaggregate,daytradersearngrossprofits(thoughtheseprofitsarenotsufficienttocovertransactioncosts).Thus,thegrosslossesthatwe forallindividualscannotbetracedtotheactivityofindividualdaytraders.Canthehighturnoverratesin theinstitutionalgainsandindividuallosses? eseindividualinvestorstradeactively—whetherforentertainmentorbecauseofoverconfidence—institutionalinvestorscouldbeearningtheirprofitssimplybysupplyingliquidity.Ifso,wewouldexpectinstitutionalprofitstobegeneratedprimarilybypassivetradesandrealizedatshorthorizons.Whilewedo thatinstitutionalinvestorsearnshorttermprofitsbysupplyingliquiditytoindividualinvestors,approxima yhalfoftheirprofitsarefromaggressivetradesandaccrueathorizonsofuptosixmonths.Thisimpliesthatinstitutionalinvestorsareprofitingfrominformation,notsimplyfromtheirInstitutionswin,Individuals$NT178millionTradingDonoteliminateInstitutionalSeverelyExacerbateIndividualWhydoinstitutionsProvideliquiditytouninformedtraders(short-termprofit)Tradeaggressively(long-termWhydoindividualsWhydoIndividualsRationalLiquidityNeeds,Rebalancingneed,HedgingdemandsSpeculativetrading:EntertainmentandIndividuallossesaretracedtoaggressiveAggressivetradesaremorefun(Entertainment),orInvestorstrademoreaggressivelywhenoverconfident(Overconfidence)贰BehavioralBFtakesintoconsiderationsomeofthepsychologicalbiasesanddecision-makingprocessesofpeople.DainelKahnemanhasusedinsightsfromcognitivepsychologyregardingthementalprocessesofansweringquestions,formingjudgments,andmakingchoices,tohelpusbetterunderstandhowpeoplemakeeconomicTradingwithcrowdIllusionofProspectApplicationsofbehavioralTheAmericanSubmarineAt3:15p.m.onMay27,1968,thesubmarineUSSScorpionwasofficiallydeclaredmissingwithall99menabroad.Shewassomewherewithina20- circleintheAtlantic,farbelowimplosiondepth.Fivemonthslater,afterextensivesearchefforts,herlocationwithinthatcirclewasstillundetermined.JohnCracen,theNavy’stopdeep-waterscientist,hadallbutgivenup.SontagandDrewAtalastgasp.Heaskedagroupofsubmarineandsalvageexpertstobetontheprobabilitiesofdifferentscenariosthatcouldhaveoccurred.Averagingtheirresponses,hepinpointedtheexactlocation(with220yards)wherethemissingsubwasThesecuritiesmarkettodayprobablydoesagoodjobofaggregatingthewisdomofthosethattradeinit.BoundedHaveyouseethemovie—ABeautifulMindWhatdothe l即使专家也会跌破眼 MutualFund的两名有名的 经经济学如何变有钱》。 时柯耶犯了寻常无比的错误：他 停，1月、日 行疯地时过。丹尼尔．卡尼曼表示，个人发现决策难以预料时，未 维耶甚 经营150亿避险基金公司「SAC资本顾问」的柯恩， 年全盛时期一度管理亿基金的「管理」，或者放 一個交易員的不归路1stround少量进场，静待走势是否如自己预期。果真如预期，riskavert下获利了结。Success带来confidence及2ndround有了成功经验及赚取的back-upfund后，「主观」更主宰了决策过程。对信息的处理变得较草率，3rdround:Secondsuccess之后，变成「意见」。没有意见下，几乎凭自己的判断交易。享受被肯定的下，开始takeriskALoss1stround之前的成功带来的成就感和在众人前了不伤他的感觉--「偏误」2ndround:价格继续下跌，扳回一成的期待落 利：anxietyfear，夸示好消息，刻意规避坏消息TheLoss3rdroundtrader“降低成本的跌的是且不智的。本的股价最终还是一路走跌。Fear->panic-> 2.Illusionof据英 脑损伤与财务决这项研究设定一场二十回合决胜负的游戏，一开始参赛者都获得二十的筹码，在每一回合都会被问是否愿意用一来赌硬币的正。如果输了，就输掉那枚硬币，赢了可拿走二块五。元，几乎比「正常」组多三。爱荷华大学神经学贝恰拉说，成功的投资人或形容是「能正常工作的患」。这些人若非控制情绪，就是很少让情Informationisoflittleuseinamood ernedbygreedorpanic.Everyonerunstheriskofnolongerbeingcapableofmakingrationaldecisionunderpressure.PeopledifferintheirEQ,sodotheextentofirrationalIsitpossible:toyze“hopesandfears”,“greedandambition”,topredictinvestors’financialstressandstrain’?Prospect为什 经济奖给了心理学家ProspectValue展望理论(ProspectTverskyandKahnemanQ&如果有人提供一个游戏-猜钱币的正反100元，赢的时候，给你?元，你才会赌？Q& ，成本为每股40 每股50元。假设上周台积电股价为60会比较难Q&假设阿民一个月50元买进某股票，目前该市价为40元，如果未来价格不是10元，就是10元，有该PerformanceofDayTheaveragedayMakesgrossLosesmoneyafterHeavydaytraderslosemoneyafter8of10daytradersloseSomedaytradersconsistentlyAccountssortedbyPastDayTradingMeanDailyProfitsper0(0,(0.3m,(15m,(0,(0.3m,(15m,(90m,(600m,

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(.1, (.2,Q&AHHHTTTHotHandPattern-seekingdevice：有偏见采取一种Q& 如何签乐Q&A－III请问您愿意付哪或高发生机率之可能结=>过低的权重这就是为什么人较喜好有机会中「大奖」的 Don’tjust yzethemarket, yzetheStockpatternsemergefromcommonhumanbehavior.Boundedrationalityindecision参MutualFundalReduceBiasesin明 -行为财务II基金产品设计与避险基Fuller&ThalerAssetManagement,Inc.isapioneerbehavio