CFA三级知识点必备：行为金融学

Behavioral

Finance

CFAп㓝ᗻ༽⸛䇼⛯

䇨ᐾφJCY

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1.TraditionalFinance

vs.BehavioralFinance

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TraditionalFinancevs.BehavioralFinance

¾Withintraditionalfinance,individualsareassumedtoberisk-averse,self-

interestedutilitymaximizers.(rational).Traditionalfinancefurtherhypothesizes

that,atthemarketlevel,pricesincorporateandreflectallavailableandrelevant

information.

¾Behavioralfinanceincludesbehavioraleconomics,investorpsychology,

behavioralscience,experimentaleconomics,andcognitivepsychology.The

varietyofapproachestakentoexamineinvestorbehavioraddstotheconfusion

aboutwhatismeantbybehavioralfinance.(normal)

zbehavioralfinancemicro(BFMI)examinesbehaviorsorbiasesthatdistinguish

individualinvestorsfromtherationalactorsenvisionedinneoclassical

economictheory.

9BFMIquestionstheperfectrationalityanddecision-makingprocessof

individualinvestors.

zorbehavioralfinancemacro(BFMA)considersmarketanomaliesthat

distinguishmarketsfromtheefficientmarketsoftraditionalfinance.

9BFMAquestionstheefficiencyofmarkets.

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TraditionalFinancevsBehavioralFinance

TraditionalFinanceAssumes:

BehavioralFinanceAssumes:

Unlimitedperfectknowledge

Capacitylimitationsonknowledge

Utilitymaximization

Satisfice

Boundedrationality.Cognitivelimitson

decisionmaking

Fullyrationaldecisionmaking

Riskaversion

Lossaverse

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TraditionalFinancevsBehavioralFinance

¾UtilityTheory

zTomaximizeutility,arationalinvestorwillmakedecisionsconformingtothe

fouraxiomsofutility:completeness,transitivity,independence,and

continuity.

¾RiskAverse(Intraditionalfinance,individualsareassumedtoberisk-averse.)

zSomeonewhopreferstoinvesttoreceiveanexpectedvaluewithcertainty

ratherthaninvestintheuncertainalternativethatgeneratesthesame

expectedvalueiscalledrisk-averse.

zSomeonewhoisindifferentbetweenthetwoinvestmentsiscalledrisk-

neutral.

zSomeonewhopreferstoinvestintheuncertainalternativeiscalledrisk-

seeking.

¾Boundedrationality

zBoundedrationalityassumesthatindividuals’choicesarerationalbutare

subjecttolimitationsofknowledgeandcognitivecapacity,anddonotbehave

withperfectrationality(satisfice).

zSatisficing(“satisfy”&”suffice”)isfindinganacceptablesolutionasopposed

tooptimizing,whichisfindingthebest(optimal)solution.

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2.Behavioral

Biases

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BehavioralBiases

Conservatismbias

Confirmationbias

Representativenessbias

Illusionofcontrolbias

Hindsightbias

Beliefperseverance

Cognitiveerrors

Anchoring&adjustment

Mentalaccountingbias

Framingbias

Information-processing

biases

Availabilitybias

Behavioral

biases

Lossaversionbias

Overconfidencebias

Self-controlbias

Emotionalbiases

Statusquobias

Endowmentbias

Regret-aversionbias

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CognitiveErrorsandEmotionalBiases

¾Behavioralbiasesmaybecategorizedaseithercognitiveerrorsoremotional

biases.

¾Cognitiveerrorsaredueprimarilytofaultyreasoningandcouldarisefromalack

ofunderstandingproperstatisticalanalysistechniques,informationprocessing

mistakes,faultyreasoning,ormemoryerrors.

zCognitiveerrorsaremoreeasilycorrectedforbecausetheystemfromfaulty

reasoningratherthananemotionalpredisposition.

zCognitiveerrorscanbefurtherclassifiedintotwocategories:

9beliefperseverancebiases

9andinformation-processingbiases.

¾Emotionalbiasesstemfromimpulseorintuition;emotionalbiasestendtoresult

fromreasoninginfluencedbyfeelings.

zEmotionalbiasesarehardertocorrectforbecausetheyarebasedonfeelings,

whichcanbedifficulttochange.

¾Tomoderateabiasistorecognizethebiasandtoattempttoreduceoreven

eliminatethebiaswithintheindividual.

¾Toadapttoabiasistorecognizeandacceptthebiasandtoadjustforthebias

ratherthantoattempttomoderatethebias.

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CognitiveErrors:BeliefPerseverance

¾Beliefperseveranceisthetendencytoclingtoone'spreviouslyheldbeliefs

irrationallyorillogically.

zConservatismbias.peoplemaintaintheirpriorviewsorforecastsby

inadequatelyincorporatingnewinformation;

zConfirmationbias.Individualstendtonoticeonlyinformationthatagrees

withtheirperceptionsorbeliefs.Theylookforconfirmingevidencewhile

discountingorevenignoringevidencethatcontradictstheirbeliefsortheir

perceptions;

zRepresentativenessbias.peopletendtoclassifynewinformationbasedon

pastexperiencesandclassifications.Thisbiasoccursbecausepeople

attemptingtoderivemeaningfromtheirexperiencestendtoclassifyobjects

andthoughtsintopersonalizedcategories;Twoforms:baserateneglect,

sample-sizeneglect.

zIllusionofcontrol.peopletendtobelievethattheycancontrolorinfluence

outcomeswhen,infact,theycannot.expectancyofapersonalsuccess

probabilityinappropriatelyhigherthantheobjectiveprobabilitywould

warrant;

zHindsightbias.abiaswithselectiveperceptionandretentionaspects.People

mayseepasteventsashavingbeenpredictableandreasonabletoexpect.

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2008TemplateforQuestion2

Selectthebehavioralfinance

Explainhowthe

conceptbestexhibitedineachofbehavioralfinance

Donaldson’sthreestatements.conceptyouselected

Donaldson’sstatement

Note:Nobehavioralfinance

conceptcanbeusedmorethaninvestmentdecision

once.(circleone)making.

affectsDonaldson’s

z

“Ireadanewspaperarticle

reportingthatcommercial

propertyvaluesinthecity

haveincreased14percent

annuallysince2000.

Accordingtothearticle,the

averagecommercialproperty

inthecitysoldfor$1.5

millionlastyear.

z

Donaldsonmay

Naïvediversification

haveboughtlatein

thecycle,but

believesthat

Overconfidence

Representativeness

Regretavoidance

commercial

z

z

propertyvalueswill

continueto

increase.

z

Donaldson,by

relyingonthe

representativeness

heuristic,has

becomeoverly

optimisticabouta

pastwinner.

Thismakesmeveryhappy

becauseIjustpurchaseda

pieceofcommercialproperty

lastmonth.Thereisnodoubt

thatitwillbeagood

Self-control

investment.”

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CognitiveErrors:InformationProcessing

¾Describinghowinformationmaybeprocessedandusedillogicallyorirrationally

infinancialdecisionmaking.

zAnchoringandadjustment.theuseofapsychologicalheuristicinfluencesthe

waypeopleestimateprobabilities.Whenrequiredtoestimateavaluewith

unknownmagnitude,peoplegenerallybeginbyenvisioningsomeinitial

defaultnumberan"anchor“whichtheythenadjustupordowntoreflect

subsequentinformationandanalysis;

zMentalaccountingbias.peopletreatonesumofmoneydifferentlyfrom

anotherequal-sizedsumbasedonwhichmentalaccountthemoneyis

assignedto;

zFramingbias.apersonanswersaquestiondifferentlybasedonthewayin

whichitisasked(framed);

zAvailabilitybias.peopletakeaheuristic(sometimescalledaruleofthumbor

amentalshortcut)approachtoestimatingtheprobabilityofanoutcome

basedonhoweasilytheoutcomecomestomind.

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EmotionalBiases1

¾Emotionalbiasesarehardertocorrectforthancognitiveerrorsbecausethey

originatefromimpulseorintuitionratherthanconsciouscalculations.Inthecase

ofemotionalbiases,itmayonlybepossibletorecognizethebiasandadapttoit

ratherthancorrectforit.

zLossaversionbias.peopletendtostronglypreferavoidinglossesasopposed

toachievinggains.Anumberofstudiessuggestthat,psychologically,losses

aresignificantlymorepowerfulthangains;

z

Overconfidencebias.peopledemonstrateunwarrantedfaithintheirown

intuitivereasoning,judgments,and/orcognitiveabilities.Thisoverconfidence

maybetheresultofoverestimatingknowledgelevels,abilities,andaccessto

information.

9Predictionoverconfidenceleadstounderestimatingriskandsetting

confidenceintervalstoonarrow.Certaintyoverconfidencerelatesto

over-statedprobabilitiesofsuccess;

9Self-attributionbias,thecombinationofself-enhancingbiasandself-

protectingbias,contributestooverconfidence.Byself-enhancing,

individualstakeallthecreditfortheirsuccesses.Byself-protecting,they

placetheblameforfailureonsomeoneorsomethingelse.

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EmotionalBiases2

zSelf-controlbias.peoplefailtoactinpursuitoftheirlong-term,overarching

goalsbecauseofalackofself-discipline.Thereisaninherentconflictbetween

short-termsatisfactionandachievementofsomelong-termgoals.

zStatusquobias.anemotionalbiasinwhichpeopledonothing(i.e.,maintain

the"statusquo")insteadofmakingachange.Peopleartgenerallymore

comfortablekeepingthingsthesamethanwithchangeandthusdonot

necessarilylookforopportunitieswherechangeisbeneficial.

zEndowmentbias.peoplevalueanassetmorewhentheyholdrightstoitthan

whentheydonot.Endowmentbiasisinconsistentwithstandardeconomic

theory,whichassertsthatthepriceapersoniswillingtopay-foragood

shouldequalthepriceatwhichthatpersonwouldbewillingtosellthesame

good.

zRegret-aversionbiasoccurswhenmarketparticipantsdonothingoutof

excessfearthatactionscouldbewrong.Simplyput,peopletrytoavoidthe

painofregretassociatedwithbaddecisions.

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Example:2015Question11-A

¾PabloRodriquezisanadvisoratabrokeragefirmwithretailclientswhoare

activetraders.HeacquiresfourclientsfromCarlaChee,anadvisorwhois

retiringfromthefirm.Overtheyears,Cheeregularlysurveyedherclientsto

detectanybehavioralbiasesintheirinvestmentdecision-makingprocesses.

Shedeterminedthatherclientsroutinelyexhibitedthebiasessummarizedin

Exhibit1.

Exhibit1

CheeClients:BehavioralBiases

Client

Bias

Client1

Client2

Client3

Client4

Regret-aversion

Loss-aversion

Mentalaccounting

Framing

Rodriquezbelievesthatclientsactprimarilyonthebasisoftheirbiases.He

meetswiththeclientstoevaluateChee’sassessmentsoftheirbiases.

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Example:2015Question11-A

¾

Client1andClient2:

RodriquezasksClient1andClient2toconsidertwoequities,UnoInc.andDeuxCo.,which

eachhadpurchasedfortheirrespectiveportfolios.Thepurchasepriceandcurrentpriceare

showninExhibit2.Neitherequitypaysdividends.

Exhibit2

SelectedEquityHoldings

(inUSD)

Equity

UnoInc.

DeuxCo.

PurchasePrice

CurrentPrice

55

60

66

48

ANSWERQUESTION11-AINTHETEMPLATEPROVIDEDONPAGE71.

A.Determine,assumingChee’sbiasassessmentsarecorrect,whichaction(buyadditional

shares,takenoaction,sell)eachclientwillmostlikelychooseforeachofthefollowing

equities:

I.UnoInc.

II.DeuxCo.

Justifyeachresponse.

Note:Considereachclient(Client1andClient2)andeachequityindependently.

(12minutes)

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Example:2015Question11-A

Determine,assumingCheeis

correct,whichactioneachclient

willmostlikelychooseforeach

ofthefollowingequities.

(circleone)

Client

(Bias)

Justifyeachresponse.

Equity

„

„

Aninvestorwitharegret-aversionbias

tendstoavoidmakingadecisionoutof

fearthatthedecisionwillturnoutpoorly.

Client1wouldlikelytakenoaction,in

ordertoavoidtheregretthatwould

comefrommissingfurtherprice

appreciationinUno.

buyadditionalshares

takenoaction

sell

Uno

Inc.

Client1

(Regret-

aversion)

Aninvestorwitharegret-aversionbias

wantstoavoidthepainofregret

resultingfromapoorinvestment

decision.Client1wouldlikelytakeno

actioninordertoavoidtheregretthat

wouldcomefrommissingapossible

recoveryinthepriceofDeux.

buyadditionalshares

takenoaction

sell

Deux

Co.

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Example:2015Question11-A

„Aninvestorwithaloss-aversion

biastendstosufferfromthe

dispositioneffect,whichisthe

tendencytorealizegainsearly

anddelayrecognizinglosses.The

investorfeelstheimpactofaloss

muchmorestronglythanthe

impactofasimilargain.The

investormayalsosellthestrong

performertoavoidanyfurther

perceivedrisk,regardlessof

potentialfutureprice

Client2

(Loss-

aversion)

buyadditionalshares

takenoaction

sell

UnoInc.

appreciation.Client2islikelyto

sellUnotorecognizethe20%

gain.

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Example:2015Question11-A

„Aninvestorwithaloss-aversion

biastendstosufferfromthe

dispositioneffect,whichisthe

tendencytorealizegainsearly

anddelayrecognizinglosses.The

investoroftenholdsinvestments

inalosspositioninthehopethat

theywillreturntobreakeven,

despitethepotentialriskofeven

furtherpricedeclines.Client2

wouldlikelytakenoactionand

hopetorecoverthe20%lossin

Deux.

Client2

(Loss-

aversion)

buyadditionalshares

takenoaction

sell

DeuxCo.

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3.Behaviorally

ModifiedAsset

Allocation

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SuggestedDeviationFromARationalPortfolio

Cognitivebias

•Modestchanges

EmotionalBias

•Largerchanges

Highwealth/

lowSLR

•+/—5to10%maximumper

assetclass

•+/—10to15%maximumper

assetclass

•closetotherationalasset

allocation

•Modestchanges

Lowwealth/

highSLR

•+/—5to10%maximumper

assetclass

•+/—0to3%maximumperasset

class

*SLR–standardoflivingrisk

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Example:2018

2018--GuidelineAnswer:

TemplateforQuestion4-C

¾Sarahasahighstandardoflivingrisk.Andherquestionnaireindicatesthather

potentialbehavioralbiasisrepresentativeness.

¾BeechprovidesJohnwithamean-varianceoptimizedportfolio.BasedonJohn’s

standardoflivingriskandhispotentialbehavioralbias,Beechalsoproducesa

behaviorallymodifiedportfolio.Theassetclassweightsofthemodifiedportfolio

differfromthoseoftheoptimizedportfolioby+/−10%.Beechthenrepeatsthe

processforSara,preparingbothamean-varianceoptimizedportfolioanda

behaviorallymodifiedportfolio.

DeterminethemostlikelyamountbywhichtheassetclassweightsofSara’stwo

portfolioswilldiffer.

(circleone)

lessthan+/−10%

equalto+/−10%

greaterthan+/−10%

Justifyyourresponse.

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Example:2018

2018--GuidelineAnswer:

TemplateforQuestion4-C

„

Thedecisiontomoderateoradapttoaclient’sbehavioralbiasesdependsontwo

factors:thestandardoflivingrisk/levelofwealth(highorlow)andthetypeof

bias(emotionalorcognitive).

„Sara,withahighstandard