心理学、风险和投资(1)

Psychology,RiskandInvestmentDanielKahneman,PhDPrincetonUniversityThestandardtheoryTherationalagentofeconomictheory:hasconsistentopinionsandbeliefsusesallavailableinformationunbiasedbyemotion,‘herd’effectshascoherentpreferencestangiblemotives(wealth,security)unaffectedby‘framing’ofproblemsBehavioralFinanceInputsfrompsychologyCognitiveerrorsEmotionalfactorsOuragendatodayBoldforecasts--errorsinjudgingtheoddsNarrowframingofdecisionsLossaversion--errorsinvaluingrisksFocusonindividualinvestors….ButexpertsarenotimmuneBoldForecasts—OptimismBiasRosyviewoflikelyoutcomesBecomingrichandfamousBecominganalcoholicHavingcancerExaggerationofskills80-90%areabovemedianDrivingskillSenseofhumorBoldForecasts—OptimismBias(continued)IllusionofcontrolExaggerateelementofskillDenytheroleofchanceOptimismaboutspecificchoicesWhydopeopleopenarestaurantwheremanyrestaurantshavefailed?OverconfidenceMakeaHIGHestimateoftheexchangerateon1/1/04Youshouldbe99%surethatyourestimateistoohighMakeaLOWestimateoftheexchangerateon1/1/04Youshouldbe99%surethatyourestimateistoolowOverconfidence(continued)Youshouldbe98%surethatthetruevaluewillfallinsideyourconfidenceintervalYoushouldhaveaprobabilityof2%thattheoutcomewillbeasurpriseatthe2%levelOverconfidence(continued)FACT:massiveoverconfidenceOften20%surprisesatthe2%level10-15%surpriseswhen“absolutelysure”CAUSE:LimitedimaginationSurprisesoccurinmanyunlikelywaysRESULT:underestimationofuncertaintyOptimisticOverconfidenceintheMarketWhydoyouthinkYOUcanbeatthemarket?Thecostofhavingideas(TerryOdean’sresearch)Whenaninvestorsellsastockandimmediatelybuysanother:thestockthatissolddoesbetterby3.5%inthefollowingyearFraming:differentwaystothinkaboutadecisionDifferentwaystothinkaboutcoldcuts:‘10%fat’or‘90%fat-free’Peopleframetheirowndecisions:somewaystothinkaboutadecisionproblemaremorenaturalthanothersFramesvaryinbreadth:peopletendtoadoptframesthatareoverlynarrowFramingafinancialdecision:Gains/lossesvs.wealthwouldyouacceptthisgamble?50%chancetowin$15,00050%chancetolose$10,000Nowmakeacrudeestimateofyourwealthwouldyouacceptthisgamble?50%chance:yourwealth+15K50%chance:yourwealth-10Kgain/lossframevswealthframeComparingtheframesWhichframeismorenatural?wenormallythinkintermsofgain/lossWhichframeismorereasonable?thebroaderviewEffectsoftheframesgain/lossframe---extremeriskaversionwealthframe---closertoriskneutralityTheaversiontolossesConsiderthisgamble50%tolose$10050%towin$XWhatXmakesthegambleacceptable?Acommonanswer:$200--$250Coefficientoflossaversionisabout2.5AnotherpairofchoicesWouldyouacceptthisgamble?50%tolose$100050%towin$1500mostpeoplerefuseWouldyouaccept10suchgambles?mostpeopleacceptIsthisyourlastriskydecision?Whichframeisbroader?morereasonable?Lossaversion&narrowframing:the‘dispositioneffect’Sellingstocks:Peopletendtohangontolosers,stocksthatarenowworthlessthantheirpurchaseprice.TheytendtosellwinnersBut…taxesAndwinnersdobetterintheshortrunThemoral:Havingdifferentattitudestowinnersandloserscostsmoney“Near-proportional”riskattitudesWhatisyourcashequivalentfor(100,.5)?Whatisyourcashequivalentfor(1,000,.5)?Howabout(10,000,.50)?TheCErisesalmostasfastasthestakesCoefficientoflossaversionalsostableWhydoesthisnotmakesense?lifeoffersmoresmallgambles,andthelawoflargenumbersreducesrelativeriskApplicationstounderstandingofmarketphenomenaTwomajorpuzzles:Theequity-premiumhasbeenabout7%Highvolumeoftrade--littleinformationTheanswers:“Myopiclossaversion”(BenartziandThaler)Overconfidenceoftraders(Odean)Exceptionstoriskaversion:LongshotsPeoplebuylotteryticketsChoosebetween50%towin5Kand50%towin15K95%towin9Kand5%towin29KExceptionstoriskaversion:RiskseekinginlossesChoosebetween90%tolose$2,000lose$1,800forsureThisisachoicebetweenasurelossandahighprobabilityofanevenlargerloss,withasmallchancetostayevenPeoplechoosetogambleThecertaintyofalossmakesitmoreaversiveRisk-seekingdecisionsAcceptingdefeat,orfightingonSettlingabadcase,orlitigatingabadcase?EscalatingcommitmentThedifficultyof“cuttinglosses”VerycommoninbadinvestmentsThe“agencyproblem”incommitmentPerseveranceinthefaceofadversityDecisionsofexecutiveswithnothingtoloseBehavioralTheory:TheRealInvestorNarrowframingexacerbatestwobiasesOptimisticbias–boldforecastsRiskaversion–timiddecisions(KahnemanandLovallo,1993)MostofwhathasbeensaidappliestoexpertsHighlyinaccurateandoverconfidentLossaverseundersupervisionRisk-seekingtoavoidsurelossesIndividualsvs.OrganizationsOrganizationsareliabletooverconfidenceNotimmunetoriskerrorsButOrganizationshavebroaderframesOrganizationshavebroaderattentionspanNotafaircontest…Regret:Thenextresearchfrontier?DeterminantsofregretHindsightComingcloseCommissionomissionEffectsofregretAnticipatedregret--conservatismUnanticipatedregret--notstayingthecourseHindsightTheinevitabilityofthepastMondaymorningquarterbacksEvening-afterDow-JonesgeniusesDistortingpastoddsItwasalwaysobviousDistortingyourownpastbeliefsIalwaysknewitisnobetterDenyingtheuncertaintyofthepastImplicationsforuncertaintyoffutureThePainsofaCloseMissMissingaflig