M行为金融学试卷A答案

本文格式为Word版，下载可任意编辑——M行为金融学试卷A答案北京师范大学珠海分校

2023—2023学年度其次学期期末考试（A卷答案）

开课单位：国际商学部课程名称：行为金融学任课教师：郑勇考试类型：闭卷考试时间：90分钟

一．Differentiatethefollowingterms/concepts:(40)

1.Miscalibrationandexcessiveoptimism

Apersonwhosuffersfrommiscalibrationoverestimatestheprecisionofhisknowledge,whereasonewhosuffersfromexcessiveoptimismthinksgoodthings(e.g.,succeedinginabusinessventure)aremorelikelytohappenthanobjectivelyshouldbethought.2.IQandEQ

Theintelligencequotient(IQ)measuresaperson’sintelligence,whereastheemotionalquotient(EQ)measuresaperson’sabilitytoidentifyandmanageemotionalresponses.

3.Goodcompanyandgoodstock

Agoodcompanyhaspositiveattributessuchasastrongmanagementteam.Agoodstockisoneyouexpecttooutperforminthefuture.Ifmarketsareefficienttherearenogoodorbadstocks.

4.Sensationseekingandoverconfidence

Overconfidenceinitsvariousmanifestationshasbeenextensivelydiscussedinthechapter.Sensation-seekingontheotherhandisapersonalitytraitwhosefourdimensionsarethrillandadventureseeking(i.e.,adesiretoengageinthrillingandevendangerousactivities);experienceseeking(i.e.,thedesiretohavenewandexcitingexperiences,evenifillegal);disinhibition(i.e.,behaviorsassociatedwithalossofsocialinhibitions);andboredomsusceptibility(i.e.,dislikeofrepetitionofexperience).5.Housemoneyandbreak-eveneffects

Thehousemoneyeffectisthewillingnesstotakegreaterriskwithmoneythatwasrecentlywon,whereasthebreak-eveneffectreferstoanincreaseinrisktakingafterapriorlossinordertotrytobreakeven.

二.Answerthefollowingquestions:

1.Whyaretwopeoplewhowitnessedthesameeventlastmonthlikelytodescribeit

differentlytoday?

Memoryisveryimprecise.Thecommonviewthatpastexperienceshavesomehowbeenwrittentothebrain’shard-driveandarethenretrieved,evenifatconsiderableeffort,isnotthewayourbrainworks.Infact,memoryisreconstructive.

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Thereforepeopleinrememberingsomeeventwillreconstructitindifferentways.2.Overconfidencedoesnotquicklydissipatevialearningbecauseoftheexistenceofcontributingbiases.Explain.

Self-attributionbias,thetendencyforpeopletoattributesuccessesorgoodoutcomestotheirownabilities,whileblamingfailuresoncircumstancesbeyondtheircontrol,canleadtoanincreaseinoverconfidence.Supposeanoverconfidentindividualobservespersonalperformanceoutcomesthatarelogicallyacombinationofexternalandinternal(totheindividual)forces.Ifthingsgowell,thethinkingwillbethatthisisbecauseofgreatability,skillorknowledge(muchmoresothananobjectiveconsiderationofcircumstanceswouldwarrant),andtheresultwillbeanincreaseinoverconfidence.Ontheotherhand,adverseevents,beingonlymoderatelyascribedtopersonalforces,willnotleadtosymmetric(butofoppositesign)revisionsinoverconfidence.Asitwere,people“learn〞tobeoverconfident.Anothercontributingbiasishindsightbias,whichpushespeopleintothinkingthat“theyknewitallalong.〞Goinghandinhandwithhindsightbiasisconfirmationbias,thetendencytosearchoutevidenceconsistentwithone’spriorbeliefsandtoignoreconflictingdata.

3.Imagineyoujustwonalotterywitha$10millionprize.Whatprimaryemotionsmightyoufeel?(Notethatthesevenprimaryemotionsgenerallyincludeanger,contempt,disgust,fear,happiness,sadness,andsurprise.)Describetheirfeatures,includingthesixusedtodefineanemotion.Besuretoincludeobservables.AccordingtoElster,J.(1998),thesevenprimaryemotionsincludeanger,contempt,disgust,fear,happiness,sadness,andsurprise.Againstudents’answersmayvarybuttheyprobablywillidentifyhappinessand,perhaps,surprise.Theyshouldthendescribetheobservablefeaturesoftheemotiontheyidentifyincludingcognitiveantecedents,intentionalobjects,physiologicalarousal,physiologicalexpressions,valence,andactiontendencies.

4.Inaregressionofperceivedlong-terminvestmentvalue(LTIV)onsize(S),booktomarket(B/M),andmanagementquality(MQ),thefollowingcoefficients(allsignificant)wereestimated:

LTIV=-.86+0.15log(S)+-.11log(B/M)+.85MQ

Discusswhatcanbelearnedfromthisregression(whichappearsinShefrin,H.,andM.Statman,1995,\JournalofPortfolioManagement21(no.2),26-34).Answer:

Inthisregression,valueasalong-terminvestmentisregressedonsize,book-to-market,

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andmanagementquality.Managementqualitystronglyimpactsperceivedinvestmentvalue.Thisdoesnotmakesensebecauseallpositiveattributesshouldalreadybeembeddedinstockprice.Additionally,sizeandbook-to-market,evenafteraccountingfortheirimpactonmanagementquality,independentlyinfluenceinvestmentvalue.Bigfirmsareviewedasgoodinvestments,andgrowthcompaniesareviewedasgoodinvestments.Inotherwords,bighigh-growthfirmsareviewedasrepresentativeofgoodinvestments.Interestingly,theempiricalevidencepointsintheexactoppositedirection.Itissmall-capvaluefirmsthathavehistoricallyoutperformed.Indeed,thetendencyforindividualstouserepresentativenessinthiscontextmayhavecontributedtothesmall-firmandvalueanomalies.

5.Discusswhattheevidence(usingnaturally-occurringdata,surveydata,and

experimentaldata)suggestsabouttherelationshipamongoverconfidence,tradingactivity,andportfolioperformance.Answer:

Mostoftheevidenceindicatesthatoverconfidenceleadstogreatertradingactivity.Itisappropriatetousetheword“excessive〞becausethistradingleadstopoorerportfolioperformance.Theevidenceismixedonwhatmanifestationofoverconfidence(miscalibrationvs.thebetter-than-averageeffect)contributesthemost.

三．Calculatingandexplain(20)

1.P(studied|A)=P(A|studied)*[P(studied)/P(A)]=.95*(.5/.8)=.59375

The“sample〞isthathegotanA.Withoutknowingthisyouwouldhavesaidtheprobabilitythathestudiedwas.5.Yourightfullyshiftedtheprobabilityupwardsbasedonthesample,butyoumovedittoomuch.Youshouldhavestayedclosertothebaserate,soyouhavecommittedbaseweightunderweighting.

A