behavioralfinanceandtechnicalanalysis(编辑修改稿)

behavioralfinanceandtechnicalanalysis(编辑修改稿)内容摘要：

risk–return profiles of each integrated into a unified framework. Statman6 argues that mental accounting is consistent with some investors39。 irrational preference for stocks with high cash dividends (they feel free to spend dividend ine, but would not “dip into capital” by selling a few shares of another stock with the same total rate of return) and with a tendency to ride losing stock positions for too long (because “behavioral investors” are reluctant to realize losses). In fact, investors are more likely to sell stocks with gains than those with losses, precisely contrary to a taxminimization p. 385Mental accounting effects also can help explain momentum in stock prices. The house money effect refers to gamblers39。 greater willingness to accept new bets if they currently are ahead. They think of (., frame) the bet as being made with their “winnings account,” that is, with the casino39。 s and not with their own money, and thus are more willing to accept risk. Analogously, after a stock market runup, individuals may view investments as largely funded out of a “capital gains account,” bee more tolerant of risk, discount future cash flows at a lower rate, and thus further push up prices.Regret Avoidance Psychologists have found that individuals who make decisions that turn out badly have more regret (blame themselves more) when that decision was more unconventional. For example, buying a bluechip portfolio that turns down is not as painful as experiencing the same losses on an unknown startup firm. Any losses on the bluechip stocks can be more easily attributed to bad luck rather than bad decision making and cause less regret. De Bondt and Thaler8 argue that such regret avoidance Notion from behavioral finance that individuals who make decisions that turn out badly will have more regret when that decision was more unconventional. is consistent with both the size and booktomarket effect. Higher booktomarket firms tend to have depressed stock prices. These firms are “out of favor” and more likely to be in a financially precarious position. Similarly, smaller, less well known firms are also less conventional investments. Such firms require more “courage” on the part of the investor, which increases the required rate of return. Mental accounting can add to this effect. If investors focus on the gains or losses of individual stocks, rather than on broad portfolios, they can bee more risk averse concerning stocks with recent poor performance, discount their cash flows at a higher rate, and thereby create a valuestock risk premium.CONCEPTCHECK2How might the P/E effect (discussed in the previous chapter) also be explained as a consequence of regret avoidance?Prospect Theory Prospect theory Behavioral (as opposed to rational) model of investor utility. Investor utility depends on changes in wealth rather than levels of wealth. modifies the analytic description of rational riskaverse investors found in standard financial Figure , panel A, illustrates the conventional description of a riskaverse investor. Higher wealth provides higher satisfaction, or “utility,” but at a diminishing rate (the curve flattens as the individual bees wealthier). This gives rise to risk aversion: A gain of $1,000 increases utility by less than a loss of $1,000 reduces it。 therefore, investors will reject risky prospects that don39。 t offer a risk premium.Figure , panel B, shows a peting description of preferences characterized by “loss aversion.” Utility depends not on the level of wealth as in panel A, but on changes in wealth from current levels. Moreover, to the left of zero (zero denotes no change from current wealth), the curve is convex rather than concave. This has several implications. Whereas many conventional utility functions imply that investors may bee less risk averse as wealth increases, the function in panel B always recenters on current wealth, thereby ruling out such decreases in risk aversion and possibly helping to explain high average historical equity risk premiums. Moreover, the convex curvature to the left of the origin in panel B will induce investors to be risk seeking rather than risk averse when it es to losses. Consistent with loss aversion, traders in the Tbond futures contract have been observed to assume significantly greater risk in afternoon sessions following morning sessions in which they have lost Figure Prospect theory. Panel A: A conventional utility function is defined in terms of wealth and is concave, resulting in risk aversion. Panel B: Under loss aversion, the utility function is defined in terms of losses relative to current wealth. It is also convex to the left of the origin, giving rise to riskseeking behavior in terms of losses.p. 386These are only a sample of many behavioral biases uncovered in the literature. Many have implications for investor behavior. The nearby box offers some good examples.Limits to Arbitrage Behavioral biases would not matter for stock pricing if rational arbitrageurs could fully exploit the mistakes of behavioral investors. Trades of profitseeking investors would correct any misalignment of prices. However, behavioral advocates argue that in practice, several factors limit the ability to profit from Fundamental Risk Suppose that a share of IBM is underpriced. Buying it may present a profit opportunity, but it is hardly riskfree, because the presumed market underprig can get worse. While price eventually should converge to intrinsic value, this may not happen until after the trader39。 s investment horizon. For example, the investor may be a mutual fund manager who may lose clients (not to mention a job!) if shortterm performance is poor, or a trader who may run through her capital if the market turns against her, even temporarily. A ment often attributed to the famous economist John Maynard Keynes is that “markets can remain irrational longer than you can remain solvent.” The fundamental r。