心理学风险和投资.ppt

Click to edit Master title style,Click to edit Master text styles,Second level,Third level,Fourth level,Fifth level,*,*,心理学风险和投资,The standard theory,The rational agent of economic theory:,has consistent opinions and beliefs,uses all available information,unbiased by emotion,herd effects,has coherent preferences,tangible motives(wealth,security),unaffected by framing of problems,Behavioral Finance,Inputs from psychology,Cognitive errors,Emotional factors,Our agenda today,Bold forecasts -errors in judging the odds,Narrow framing of decisions,Loss aversion-errors in valuing risks,Focus on individual investors,.But experts are not immune,Bold ForecastsOptimism Bias,Rosy view of likely outcomes,Becoming rich and famous,Becoming an alcoholic,Having cancer,Exaggeration of skills,80-90%are above median,Driving skill,Sense of humor,Bold ForecastsOptimism Bias,(continued),Illusion of control,Exaggerate element of skill,Deny the role of chance,Optimism about specific choices,Why do people open a restaurant where many restaurants have failed?,Overconfidence,Make a HIGH estimate of the exchange rate on 1/1/04,You should be,99%sure,that your estimate is too high,Make a LOW estimate of the exchange rate on 1/1/04,You should be,99%sure,that your estimate is too low,Overconfidence,(continued),You should be 98%sure that the true value will fall inside your,confidence interval,You should have a probability of 2%that the outcome will be a,surprise at the 2%level,Overconfidence,(continued),FACT:massive overconfidence,Often 20%surprises at the 2%level,10-15%surprises when“absolutely sure”,CAUSE:Limited imagination,Surprises occur in many unlikely ways,RESULT:underestimation of uncertainty,Optimistic Overconfidence in the Market,Why do you think YOU can beat the market?,The cost of having ideas,(Terry Odeans research),When an investor sells a stock and immediately buys another:,the stock that is sold does better by 3.5%in the following year,Framing:different ways to think about a decision,Different ways to think about cold cuts:,10%fat or 90%fat-free,People frame their own decisions,:,some ways to think about a decision problem are more natural than others,Frames vary in breadth:people tend to,adopt frames that are overly narrow,Framing a financial decision:Gains/losses vs.wealth,would you accept this gamble?,50%chance to win$15,000,50%chance to lose$10,000,Now make a crude estimate of your wealth,would you accept this gamble?,50%chance:your wealth+15K,50%chance:your wealth -10K,gain/loss frame vs wealth frame,Comparing the frames,Which frame is more natural?,we normally think in terms of gain/loss,Which frame is more reasonable?,the broader view,Effects of the frames,gain/loss frame -extreme risk aversion,wealth frame -closer to risk neutrality,The aversion to losses,Consider this gamble,50%to lose$100 50%to win$X,What X makes the gamble acceptable?,A common answer:$200-$250,Coefficient of loss aversion,is about 2.5,Another pair of choices,Would you accept this gamble50%to lose$1000 50%to win$1500,most people refuse,Would you accept 10 such gambles?,most people accept,Is this your last risky decision?,Which frame is broader?more reasonable?,Loss aversion&narrow framing:the disposition effect,Selling stocks:,People tend to hang on to losers,stocks that are now worth less than their purchase price.They tend to sell winners,But taxes,And winners do better in the short run,The moral:,Having different attitudes towinners and losers costs money,“,Near-proportional”risk attitudes,What is your cash equivalent for(100,.5)?,What is your cash equivalent for(1,000,.5)?,How about(10,000,.50)?,The CE rises almost as fast as the stakes,Coefficient of loss aversion also stable,Why does this not make sense?,life offers more small gambles,and the law of large numbers reduces relative risk,Applications to understanding of market phenomena,Two major puzzles:,The equity-premium has been about 7%,High volume of trade-little information,The answers:,“Myopic loss aversion”,(Benartzi and Thaler),Overconfidence of traders(Odean),Exceptions to risk aversion:Long shots,People buy lottery tickets,Choose between,50%to win 5K and 50%to win 15K,95%to win 9K and 5%to win 29KExceptions to risk aversion:Risk seeking in losses,Choose between,90%to lose$2,000,lose$1,800 for sure,This is a choice between a sure loss and a high probability of an even larger loss,with a small chance to stay even,People choose to gamble,The certainty of a loss makes it more aversive,Risk-seeking decisions,Accepting defeat,or fighting on,Settling a bad case,or litigating a bad case?,Escalating commitment,The difficulty of“cutting losses”,Very common in bad investments,The“agency problem”in commitment,Perseverance in the face of adversity,Decisions of executives with nothing to lose,Behavioral Theory:The Real Investor,Narrow framing exacerbates two biases,Optimistic bias,bold forecasts,Risk aversion,timid decisions,(Kahneman and Lovallo,1993),Most of what has been said applies to experts,Highly inaccurate and overconfident,Loss averse under supervision,Risk-seeking to avoid sure losses,Individuals vs.Organizations,Organizations are liable to overconfidence,Not immune to risk errors,But,Organizations have broader frames,Organizations have broader attention span,Not a fair contest,Regret:The next research frontier?,Determinants of regret,Hindsight,Coming close,Commission omission,Effects of regret,Anticipated regret -conservatism,Unanticipated regret-not staying the course,Hindsight,The inevitability of the past,Monday morning quarterbacks,Evening-after Dow-Jones geniuses,Distorting past odds,It was always obvious,Distorting your own past beliefs,I always knew it is no better,Denying the uncertainty of the past,Implications for uncertainty of future,The Pains of a Close Miss,Missing a flight,Mr.Tees and Mr.Crane were scheduled to leave,the airport on different flights,at the same time.,They traveled together from town in the same,limousine,were caught in a traffic jam,and,arrived at the airport 30 minutes after the,scheduled departure time of their flights.,The Pains of a Close Miss,(continued),Mr.Crane is told that his flight left on time,Mr.Tees is told that his flight was delayed,and just left five minutes ago,Who of them is more upset?,-,Dollar-cost averaging,Regrets of Omission and Commission,Mr.Paul owned shares in company A.During the past year he considered switching to stocks in company B,but he decided against it.He now finds that he would have been better off by$20,000 if he had switched to company B.,Mr.George owned shares in company B.During the past year he switched to stocks in company A.He now finds that he would have been better off by$20,000 if he had kept the stock of company B.,Who is more upset?Mr.Paul Mr.George,Morals About Regret:,Less regret from following routine,A little thinking can be bad for you!,Think enough to inoculate against regret,Regret is a real pain,It is costly,but not irrational,to avoid it,The best protection against regret:,the broad view-“you win a few”,