2010金融专题课件及相关材料ms9behavioral asset manage

MSClassBehavioralAssetManagementYu-JaneLiu,2010AnExampleofBehavioralFullerFuller&ThalerAssetFuller&ThalerAssetIndependent,RegisteredInvestment100%employeeSharedequityownershipamongkeyExperiencedStrengthsinbothmoneymanagementandacademic$2.04BillionUnder$1.74billioninlong-onlyinstitutional$300millioninlong/shortIntroducestrategiesthatexploitbehavioralF&TInvestmentBenAnnualizedExcessNetofFeesJan-$730$640Small/Mid-$300Micro-Jan-Jul-$20-MarketNeutralSalomonBrothers3-MonthT-BillJan-$210ExpectationsDetermineStockStockpricesarebasedonexpectations-futureChangesinexpectationscausepricestoPeoplemaymakesystematicmentalmistakes--duetobehavioralbiases.BiasedExpectationsCauseStockInvestorscanmis-processnewinformationbyeitherover-reactingorunder-reactingtonewIftheconsensusexpectationregarding’sfutureisbiased,thestockwillbeWhatMakesOurStrategyOurSmall/Mid-CapGrowthstrategycapitalizesonbehavioralbiasesthatcauseunder-reaction.Overconfidence:Investors cetoomuchconfidenceintheirexistinginformationand/orknowledge.Anchoring:InvestorsaretiedtotheirpreviousvieworDispositionEffect:Investorstendtoholdtheirloserstoolongandselltheirwinnerstooearly.AnExampleofGiganticdepartmentManufacturer’ssuggestedprice Ournormaldiscount Today’ssale Startingwithahighpriceand“workingdown”capitalizesonanchoringbias.Thiscommonmarketingtechniquehasbeenusedforcenturies!F&TSmall/Mid-CapGrowthJanuary1,1992August31,IllustrationofaPermanentEarningsIllustrationofaTemporaryEarningstativeScreens(ThisisrelativelyIdentifygoodnews:alargeincreasein ysis(ThisisDeterminewhethertheearningsincreaseispermanentortemporaryinnature ysis(ThisisourcompetitiveDetermineifthemarketisunder-reactingtothesustainableincreaseinthefirm'sprofitability.Step tativeBeginwithaninitialuniverseof3,000-4,000IdentifycompaniesthathaverecentlyannouncedlargeandunexpectedincreasesinearningsIdentifystocksforwhichearningschangesarelikelytoSignificantbefore-andafter-taxearningstativescreensreducethenumberofcompanies y150perStep2: yzethesustainabilityoftheearningsImprovedgrossandoperatingFavorableproductmixandintroductionofnewSubstantialcostyzesignals Post-announcementcommentsonearningsnewproductAnnouncementofdividendincrease,stocksplitorstockInsidertrading ysisfurtherreducesthepoolto40-investmentcandidatesperStep3: Identifycompanieswithasustainableincreaseinearningsthatunrecognizedbysell- IdentifysourcesofdifferentialbetweenestimatesandactualReviewrecenthistoryofearningsestimate ysisfocusesonsigns ystsareunder-reactingthepermanentlyhigherListenfordisbelief Listen ysts'commentsfocusingon 'spastandnot ysisreducesthepoolto15-20companiesPortfolioPortfolioholdings:35-60Typicalholdingperiod:1Typicallynomorethan6%positioninanyonePortfoliosectorweightscontrolledrelativeto Cashposition:Lessthan5%;fullyinvestedmarketPortfolioMarketCapReturnonEquity

$1.6

Russell2500$1.3SectorRussell2500HealthSellSellanyholdingsforwhichtheearningsincreasewasonlytemporarySellafterconsensusStreetestimatesapproximateactualearningsSmall-CapValueStrategyCapitalizesonOverreactionresultsfromtwobiasesinhumanRepresentativeness--peopletendtoinferthatasingleobservationisrepresentativeoftheentireSaliency--Peopletendtoover-estimatetheprobabilityofalowfrequencyeventsuchasanearthquake(orearningsmiss)iftheyhaverecentlyheardthatsuchaneventhasoccurred.F&TSmall-CapValueJanuary1,1996–August31,GeneratesLargeFutureEarningsInvestmentLookforstocksDecliningpricepatternovermanyDiscountvaluationsrelativetoindustrySignalsfromInsiderCorporatestock PortfolioPortfolioholdings:80–90Annualturnover:40–TradingMarketimpact:ECNs,crossingnetworks,andblockTypicallynomorethan4%positioninanyoneSectorweightscontrolledrelativeto Cashposition:TypicallylessthanSector2000ConsumerConsumerHealthInformationmunication----WatchingoutforsystematicTheManyErrorsInvestorsRepeatedlyMakeinofInvestmentandProfitsWithoutPanic:InvestmentPsychology alWealth©JonathanMyersFoolsandPooledTheytradetooTheysell‘winners’tobuyTheychasetheBehavioralTradingValueExtremeEShortSalesWhyshouldtheopportunityexist?(temorWhatmarketfrictionsdoyouexplore?(margin,HowwelldoesthemodelforecastDoesthemodelforecastreturnseconomicallyHowdoesthemodelperformindifferentmarketsituations?(bull,bear)CanweexploititunderrealisticModelModelerrors(sampleestimations,factormodels,time-seriesmodels)Transactioncosts(marketAlpha-GooddataModelerrors-(sampleestimations,factormodels,time-seriesmodels):dynamaticadjustment,classificationsondetailedindustries,non-riskfactorsTransactioncosts(marketmicrostructure)-highfrequencydata,realtime ysis,abilitytoaccessmarketliquidityA.ValueInathreetofive-yearperiod,thereisatendency-forpreviouspoorperformerstobegintodowellandpreviousgoodperformerstobegintoperformlessInotherwords,valuestocksturnintoglamourandglamourstocksturnintovalue過度反

DebondtandThaler(1985,過去的Losers在之後的3-5年，其績效會比長期的winners Equating‘winners’withglamourstocksand‘losers’withThethirty-five‘loser’stocksintheportfoliosubsequentlyoutperformedthe‘winner’stocks,duringthenextthree-yearperiod,bytwenty-fivepercent.Investorswhospecializeinbuying‘loser’stocksmayEssentially,becausethesearegoodqualitystocksbuttheirpriceisdependentonmisperception,theymoveupanddowninacyclicalmanner.tativeTimingtheGoodnewsforValueBadnewsforGrowthPiotroskiValuestock+-+-Changeincapital↓↑+-EquityDidn’tOperating+-+-動能動能策

Jegadeeshand股價很差构建投资组合方 构建投资组合方构造出投资组合后，每月都进行相应 操作在每个月t的开位置K个月。这个策略停止在第t－k个月建立的投资组合对于持有策略和每月重新调节策略，分别计算成功者，失败者的益以及其收益差收益的计算方法是计算月份t中平均权重的从月份t－6到t－1生成的个分别的胜利者（失败者）的平 收益六策，投组的成和有之免 差价压。return或earningssurprise的策略。對於pricemomentum和earningsmomentum的投資策 市場上不論是好的或是不好的earningssurprise均會有#MomentumIfXYZIndustrieshasrecentlybeenapoorperformer,investorsbelieveitwillremainapoorperformeruntilthereisaweightofevidencetoconvincethemotherwise.Similarly,ifXYZIndustrieshasperformedexceedinglywellrecentmonths,investorsoftenbelieveitwillcontinuetodoTotheForexamplethePEratiomaybewayabovethesectoraverageandtheprojectedearningsmaynotjustifythehighpriceinvestorsarepaying.動能的因Earningmomentum的持續性比pricemomentum來的DOINDUSTRIES TobiasJ.Moskowitz,MarkGrinblatt,Momentuminvestmentstrategiesaresignificantlylessprofitableoncewecontrolforindustrymomentum.FindingIndustrymomentuminvestmentstrategies,whichbuystocksfrompastwinningindustriesandsellstocksfrompastlosingindustries,appearhighlyprofitable,evenaftercontrollingfor:book-to-marketindividualstockcross-sectionaldispersioninmeanpotentialmicrostructuresPredictingmomentumreturnsandcontrarianeffectsJegadeeshandTitman3-12mths,pastwinnersoutperformpastDebondtand3-5yrs,L-TwinnersunderperformL-T RelatedS-TmomentumandL-TBarberis,Shleifer,Vishnyinitialunder-reactionthenover-ContextualFundamental ThroughthePredictionofExtremeReturnsM.C.RobinL.,Extremeperformersareyounger,lowerpriced,andsmallerfirmswithmorevolatilereturns,highertradingvolume,andmorepositivepricemomentum.Extremelosersappeartobeover-extendedgrowthfirms,withslowingsalesgrowth,shrinkingmargins,butsignificantlevelsofnewcapitalinvestments.InvestorMalcolmBakerandJeffreyJournalofFinance,Sentiment封闭型基金 周转IPO第一天的权益增资股股利溢Howtomeasuresentiment封闭型基金折Delong,Shleifer,Summers,andWaldmann(DSSW;NYSE周转Log（量/在NYSEFactBakerandStein(2004):在一个有放空限制、同时存在IPO的个IPO第一天的平权益增资股grossannualequityissuance/(grossannualequity+debt股利溢-通常为大型、有获利、低成长机会的公司-每一個情緒 變數都包含情緒成分，同時也含有非關情緒的獨成分→使用主成份分析接下來就建構第二個指數--在進行主成份分析前先將企業循環變動各 變數中移除Sentiment 股MethodologyIssues:DissectingEUGENEF.FAMAandKENNETHR.FRENCH,JFPreviousworkfindsthatnetstockissues,accruals,momentum,profitability,andassetgrowthareassociatedwithanomalousaveragereturns.Weexplorethepervasivenessofthesereturnanomaliesviasortsandcross-sectionregressionsestimated yonmicro-caps,smallstocks,andbigstocks.Likethepatternsinaveragereturnsassociatedwithnetstockissues,accruals,profitability,andassetgrowth,returnmomentumisleftunex inedbythethree-factormodelofFamaandFrench(1993)aswellasbytheCAPM.Werevisitthesize,value,profitability,growth,accruals,netstockissues,andmomentumStudythemtogethertoseewhichhaveinformationaboutaveragereturnsthatismissedbytheothers.Approachesusedtoidentify(i)sortsofreturnsonanomalyvariables(ii)regressionsthatuseanomalyvariables inthecross-sectionofaverageThemainadvantageofasimplepictureofhowaveragereturnsvaryacrossthespectrumofananomalyvariable.potentialpitfalls:acommonapproachistoformequal-weight(EW)decileportfoliosbysortingstocksonthevariableofinterest.Thoughthedetailedresultsfordecilesaretypicallyshown,itiscommontofocusonthehedgeportfolioreturnobtainedfromlong-shortpositionsintheextremedeciles.ApotentialThereturnsonEWhedgeportfoliosthatuseallstockscanbedominatedbystocksthataretiny(micro-caps,withmarketcapbelowthe20thNYSEpercentile).Micro-capscanbeinfluentialinEWhedgeportfolioreturnsfortworeasons.First,thoughmicro-capsareonaverageonlyabout3%ofthemarketcapoftheNYSE-Amex-NASDAQuniverse,theyaccountforabout60%ofthetotalnumberofstocks.Tocircumventthisvalue-weight(VW)hedgeportfolioreturnsareoftenshownalongwithEWreturns.ButVWhedgereturnscanbedominatedbyafewbigstocks,resultingagaininanunrepresentativepictureoftheimportanceoftheToattacktheseweexaminetheaveragereturnsfromseparatesortsofmicrocaps,smallstocks,andbigstocksoneachanomalyvariablewherethebreakpointsseparatingmicrofromsmallandsmallfrombigarethe20thand50thpercentilesofmarketcapforNYSEstocks.Sortshave Sortsareawkwardfordrawinginferencesaboutwhichanomalyvariableshaveuniqueinformationaboutaveragereturns.Multipleregressionslopesprovidedirectestimatesofmarginaleffects.Moreover,withourlargesamples,margin