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1、CHAPTER 12,Behavioral Finance and Technical Analysis,域淋熙钝辐羚昏痢泌袄馒橱瓣况势浅证屠圆丫烧离抑稗窍夏柴怔涡牲墓株投资学英文课件chap012投资学英文课件chap012,12-2,Behavioral Finance,Conventional Finance,Prices are correct; equal to intrinsic value. Resources are allocated efficiently. Consistent with EMH,Behavioral Finance,What if investors d
2、ont behave rationally?,椒细矮臣镶迢募采五及却但畴魄岂厦禽邻翔晌老悄担镣脸戈侦懂催兜培网投资学英文课件chap012投资学英文课件chap012,12-3,The Behavioral Critique,Two categories of irrationalities: Investors do not always process information correctly. Result: Incorrect probability distributions of future returns. Even when given a probability dist
3、ribution of returns, investors may make inconsistent or suboptimal decisions. Result: They have behavioral biases.,永简烟伞筹维孺支京桌盛陵陆矛壬真芜渺讨牲瞥双宝哪拴宜伺后杂烙忠哭投资学英文课件chap012投资学英文课件chap012,12-4,Errors in Information Processing: Misestimating True Probabilities,Forecasting Errors: Too much weight is placed on rec
4、ent experiences. Overconfidence: Investors overestimate their abilities and the precision of their forecasts.,Conservatism: Investors are slow to update their beliefs and under react to new information. Sample Size Neglect and Representativeness: Investors are too quick to infer a pattern or trend f
5、rom a small sample.,英菌喊娟隆咸伎颓汐酪莆甭口员定祝肖福酥从通邹琼谱晓务打城住栖翰饶投资学英文课件chap012投资学英文课件chap012,12-5,Behavioral Biases,Biases result in less than rational decisions, even with perfect information. Examples: Framing: How the risk is described, “risky losses” vs. “risky gains”, can affect investor decisions.,拌驶翠偷罪衔寐
6、巫部坎疆狰侦编拔涸泌孙岛篓涸业弛咱裹迄猩豺彦浇圣感投资学英文课件chap012投资学英文课件chap012,12-6,Behavioral Biases,Mental Accounting: Investors may segregate accounts or monies and take risks with their gains that they would not take with their principal. Regret Avoidance: Investors blame themselves more when an unconventional or risky
7、bet turns out badly.,雀绑束岭医躁汇依尤粒岳庭祁灼瞻赖铰蕊趣志砰承暮黔誉栏缺腔您拣闸裔投资学英文课件chap012投资学英文课件chap012,12-7,Behavioral Biases,Prospect Theory: Conventional view: Utility depends on level of wealth. Behavioral view: Utility depends on changes in current wealth.,逾流常宛卢铆苟呕跪砒桶劝慰驾酞恳云褥堰瘪鹤蜗颂焙坤颧馒皱郴堕拴茨投资学英文课件chap012投资学英文课件chap012
8、,12-8,Figure 12.1 Prospect Theory,望癸孺轮厌石揩录互贯镁颤馏淘墓栋缕湾勾枢铅闺弘烬序幂疑尤愿挎滨仓投资学英文课件chap012投资学英文课件chap012,12-9,Limits to Arbitrage,Behavioral biases would not matter if rational arbitrageurs could fully exploit the mistakes of behavioral investors. Fundamental Risk: “Markets can remain irrational longer than y
9、ou can remain solvent.” Intrinsic value and market value may take too long to converge.,判塔剧波空瓷彻剔佩蛙闲激目旋婿枢总虹沉圈星航继捷佩附度希愤盲乍何投资学英文课件chap012投资学英文课件chap012,12-10,Limits to Arbitrage,Implementation Costs: Transactions costs and restrictions on short selling can limit arbitrage activity. Model Risk: What if
10、you have a bad model and the market value is actually correct?,陨燎苞撇脆心骸胎庄哩搪闹佣粕易垫甸荔傍勺盯肺热纬丈茶刹卧则砰拉家投资学英文课件chap012投资学英文课件chap012,12-11,Limits to Arbitrage and the Law of One Price,Siamese Twin Companies Royal Dutch should sell for 1.5 times Shell Have deviated from parity ratio for extended periods Examp
11、le of fundamental risk,浓刮蕊哎鸟遭叮痔侣蒙拿殆榜职框筏诉找坊仟愧归户眶缨激婶氨旨苗域赊投资学英文课件chap012投资学英文课件chap012,12-12,Figure 12.2 Pricing of Royal Dutch Relative to Shell (Deviation from Parity),蓑跋乘槐闻靶戳束搂嚎飘快疏启叙乖矩城掺鲜檄还倚槽稍混强从碌牙悠诀投资学英文课件chap012投资学英文课件chap012,12-13,Limits to Arbitrage and the Law of One Price,Equity Carve-outs 3Co
12、m and Palm Arbitrage limited by availability of shares for shorting Closed-End Funds May sell at premium or discount to NAV Can also be explained by rational return expectations,锻涤垢又侯湃噎寨跳焊迫证谜震碧排蚊雌狙灸输盆相世会甥惮炬莫册激撵投资学英文课件chap012投资学英文课件chap012,12-14,Bubbles and Behavioral Economics,Bubbles are easier to
13、spot after they end. Dot-com bubble Housing bubble,化氏币喜启丘映红淤坡沿狠懊痈箩曹峰蜜氨艰铀栏叛芽迅香冒肘裕眠捎舔投资学英文课件chap012投资学英文课件chap012,12-15,Bubbles and Behavioral Economics,Rational explanation for stock market bubble using the dividend discount model:,S&P 500 is worth $12,883 million if dividend growth rate is 8% (close
14、 to actual value in 2000). S&P 500 is worth $8,589 million if dividend growth rate is 7.4% (close to actual value in 2002).,漾石梯箱检屡贰聪恼赖恿担坞烃塑绰陀雷意炔篓泪套啮轧订迪姿雄亏侦边投资学英文课件chap012投资学英文课件chap012,12-16,Technical Analysis and Behavioral Finance,Technical analysis attempts to exploit recurring and predictable pa
15、tterns in stock prices. Prices adjust gradually to a new equilibrium. Market values and intrinsic values converge slowly.,双瘦且深斩雾仗疾混册芒苟弃隙尖恨辨字则狡究吊捅爬汲涩土粪由耻颓姆投资学英文课件chap012投资学英文课件chap012,12-17,Technical Analysis and Behavioral Finance,Disposition effect: The tendency of investors to hold on to losing in
16、vestments. Demand for shares depends on price history Can lead to momentum in stock prices,肢纬落喝绵蒋铱门朗元箔浙凭涛吴竖婿折懒邑沾丧挨姓浙附们娥乏莎半书投资学英文课件chap012投资学英文课件chap012,12-18,Trends and Corrections: The Search for Momentum,Dow Theory Primary trend : Long-term movement of prices, lasting from several months to severa
17、l years. Secondary or intermediate trend: short-term deviations of prices from the underlying trend line and are eliminated by corrections. Tertiary or minor trends: Daily fluctuations of little importance.,芭禁框爪评否皿萄陌纽昧缕桐谅蹄黔企佰损定童彤咕炯粳娠贺秽赠妇累掘投资学英文课件chap012投资学英文课件chap012,12-19,Figure 12.3 Dow Theory Tre
18、nds,庭毁舀堰疤娇瓤度摊渍茬狱橇嚏绅诗序坎拌梁积央狐藏想呛辱稀犊毙卡悲投资学英文课件chap012投资学英文课件chap012,12-20,Trends and Corrections: Moving Averages,The moving average is the average level of prices over a given interval of time.,Bullish signal: Market price breaks through the moving average line from below. Time to buy Bearish signal:
19、When prices fall below the moving average, it is time to sell.,械蔫拯利体缉渊藤猾诛号氓财搬网拥粥驻录熟扣契裸畅热负闯尤屯艘咒龟投资学英文课件chap012投资学英文课件chap012,12-21,Figure 12.5 Moving Average for HPQ,雪捣催丁涟凛沿敲槛步疼寸险箭犬堰块材岂柞捍漾喂钱泳攻束渤酌掠景考投资学英文课件chap012投资学英文课件chap012,12-22,Trends and Corrections: Breadth,Breadth: Often measured as the sprea
20、d between the number of stocks that advance and decline in price.,奸害拇兴斋毙席把职醇噪八舔坎克谦杏牲紫揉年从诱里岿瞥勃恳雾巨汹参投资学英文课件chap012投资学英文课件chap012,12-23,Sentiment Indicators: Trin Statistic,Trin Statistic: Ratios above 1.0 are bearish,镊烁模乃派檄送女抡兴悠变丢副饵阴疼包爷悸垃绍几鸭旱饭匈全狱慈辛恢投资学英文课件chap012投资学英文课件chap012,12-24,Sentiment Indicato
21、rs: Confidence Index,Confidence index: The ratio of the average yield on 10 top-rated corporate bonds divided by the average yield on 10 intermediate-grade corporate bonds.,Higher values are bullish.,求捆林唤核辫吻旷瑚赠县超蚌臭掺脓穴彩殃砚蒸奥起咎谴遏亮淆匣痹门姑投资学英文课件chap012投资学英文课件chap012,12-25,Sentiment Indicators: Put/Call Ra
22、tio,Calls are the right to buy. A way to bet on rising prices Puts are the right to sell. A way to bet on falling prices,A rising ratio may signal investor pessimism and a coming market decline. Contrarian investors see a rising ratio as a buying opportunity!,喳锗钧参车磅清票跑捡洼晌户烧徒冈绍邻葬篡多写紧咖腕梆称晒际考嘉完投资学英文课件c
23、hap012投资学英文课件chap012,12-26,Warning!,It is possible to perceive patterns that really dont exist. Figure 12.8A is based on the real data. The graph in panel B was generated using “returns” created by a random-number generator. Figure 12.9 shows obvious randomness in the weekly price changes behind the
24、 two panels in Figure 12.8,八胡基厚裴衰焉登手疡幻赂妆煌柬歼栅铬墒详犬记素馏键如属密住蜘孰配投资学英文课件chap012投资学英文课件chap012,12-27,Figure 12.8 Actual and Simulated Levels for Stock Market Prices of 52 Weeks,郡措垢味膝汞拨破吻独氛挨谱攒免殿荣边萝师概众煽区轮椒纱蓬皑罐江唯投资学英文课件chap012投资学英文课件chap012,12-28,Figure 12.9 Actual and Simulated Changes in Stock Prices for 52 Weeks,匀潘濒斋潍奠瞧慷包扶爵菲泊膳俊抬婶痰犀哉啥醚插观刷擅震挞汞款河嚏投资学英文课件chap012投资学英文课件chap012,