Chap012行为金融与技术分析.ppt

INVESTMENTS | BODIE, KANE, MARCUS Copyright ? 2011 by The McGraw-panies, Inc. All rights reserved. McGraw-Hill/Irwin CHAPTER 12 Behavioral Finance and Technical Analysis 行为金融与技术分析 INVESTMENTS | BODIE, KANE, MARCUS 12- 2 Behavioral Finance 行为金融? Conventional Finance 传统金融? Prices are correct; equal to intrinsic value. 资产价格正确时等于其内在价值? Resources are allocated efficiently. 资源被正确的分配? Consistent with EMH 与有效市场假说一致? Behavioral Finance 行为金融? What if investors don ’ t behave rationally? ?行为金融研究:如果投资者不够理性怎么办? INVESTMENTS | BODIE, KANE, MARCUS 12- 3 The Behavioral Critique 来自行为学派的批评? Two categories of irrationalities: 两类不理性? Investors do not always process information correctly. 投资者没有总是正确的处理信息? Result: Incorrect probability distributions of future returns. 不能正确推断未来收益的分布情况,以至于投资决策失误? Even when given a probability distribution of returns, investors may make inconsistent or suboptimal decisions. 即使收益的概率分布是正常的给定的,投资者依然会有次优决策或者前后矛盾的地方? Result: They have behavioral biases. 理性行为偏差 INVESTMENTS | BODIE, KANE, MARCUS 12- 4 Errors in Information Processing: Misestimating True Probabilities ? Forecasting Errors: Too much weight is placed on recent experiences. 预测错误,太注重最近的经验? Overconfidence: Investors overestimate their abilities and the precision of their forecasts. 过度自信, 高估自己的能力和预测的精度? Conservatism: Investors are slow to update their beliefs and under react to new information. 太保守,不能够及时更新观念,不能及时对新的信息作出反应? Sample Size Neglect and Representativeness: Investors are too quick to infer a pattern or trend from a small sample. 忽视样本规模, 因此样本的代表性不够;投资者往往很快从一些小概率事件中总结规律,这导致过度反应或者反应不足的情况 INVESTMENTS | BODIE, KANE, MARCUS 12- 5 Behavioral Biases 行为偏差? Biases result in less than rational decisions, even with perfect information. 即使信息处理过程完美,人们也不一定就能够做出完全的理性决策? Examples: ? Framing: 框定偏差? How the risk is described, “ risky losses ” vs. “ risky gains ”, can affect investor decisions. 怎么设定风险,是风险损失还是风险获得,也能影响决策: 比如一小气鬼落水,朋友援手,说把你的手给我~结果他不理朋友;朋友换种说法,抓住我的手,他马上做出来