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1、CHAPTER 12,Behavioral Finance and Technical Analysis行为金融与技术分析,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 dont behave
2、 rationally?行为金融研究：如果投资者不够理性怎么办？,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 distr
3、ibution 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,12-4,Errors in Information Processing: Misestimating True Probabilities,Forecasting Errors: Too much weight is placed on recent experiences.预测错误
4、，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 to
5、o 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,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, “risk
6、y 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，他马上做出来正确决策,12-6,Behavioral Biases行为偏差,Mental Accounting:心理账户Investors may segregate accounts or monies and take risks with their gains that they would not take with their pr
7、incipal.投资者在心里划分了不同的财富分类，有些钱用于娱乐或消费十分大方，有些钱用于还账或子女教育就十分保守Regret Avoidance:后悔规避Investors blame themselves more when an unconventional or risky bet turns out badly.投资者在做了不寻常的投资决定后会更加责备自己,12-7,Behavioral Biases行为偏差,Prospect Theory:前景理论Conventional view: Utility depends on level of wealth. 传统观点中效用取决于财富水
8、平Behavioral view: Utility depends on changes in current wealth.行为学派认为效用取决于现在财富变动的水平。,12-8,Figure 12.1 Prospect Theory前景理论,12-9,Limits to Arbitrage套利限制,Behavioral biases would not matter if rational arbitrageurs could fully exploit the mistakes of behavioral investors.如果理性套利者能够充分利用行为投资者的失误，那么行为偏差并不会对
9、定价产生影响，但是在实际中，这些套利活动会受到如下影响：Fundamental Risk: 基本面风险“Markets can remain irrational longer than you can remain solvent.”市场能够在一直都不理性直至你失去偿付能力，套利失败Intrinsic value and market value may take too long to converge.市场价值可能需要很久才会回归内在价值,12-10,Limits to Arbitrage套利限制,Implementation Costs:执行成本Transactions costs a
10、nd restrictions on short selling can limit arbitrage activity.交易成本和卖空限制会抑制本应该发生的套利Model Risk:模型风险What if you have a bad model and the market value is actually correct?人们还会担心：如果情况不是像我想象的那样市场定价错误需要回归内在价值，而是我的模型错误市场正确呢？,12-11,Limits to Arbitrage and the Law of One Price套利限制与一价定律,Siamese Twin Companies连
11、体双胞公司Royal Dutch should sell for 1.5 times Shell皇家石油应该是壳牌公司股份的1.5倍Have deviated from parity ratio for extended periods偏离了很久Example of fundamental risk,12-12,Figure 12.2 Pricing of Royal Dutch Relative to Shell (Deviation from Parity)皇家荷兰与壳牌运输的价格比值（偏离一价定律）,12-13,Limits to Arbitrage and the Law of One
12、 Price套利限制与一价定律,Equity Carve-outs股权分拆上市3Com and Palm第一家分拆第二家子公司单独上市，并将第二家公司股份按照1.5股每股配发给第一家的股东，这意味着每张3Com股票价值1.5张Palm股票另加3Com剩余股权的价值，应是市场上流通的Palm股票的至少1.5倍Arbitrage limited by availability of shares for shorting实际上3Com每股售价比这个低，那为什么不卖空Palm股票并用此资金买入3Com，市场上流通的5%已经被卖空卖完了，这就是套利限制Closed-End Funds封闭式基金May
13、sell at premium or discount to NAV常比净现值溢价或折价出售，这也反映了投资者对未来波动性的预期。,12-14,Bubbles and Behavioral Economics泡沫与行为经济学,Bubbles are easier to spot after they end.对于泡沫大家都是事后诸葛亮Dot-com bubble2000年的互联网泡沫Housing bubble2008年的住房泡沫,12-15,Bubbles and Behavioral Economics泡沫与行为经济学,Rational explanation for stock mark
14、et bubble using the dividend discount model:使用股利折现模型对股市泡沫的理性解释：预期增长率的影响很大,S&P 500 is worth $12,883 million if dividend growth rate is 8% (close to actual value in 2000).预期增长率为8%时，价值129亿S&P 500 is worth $8,589 million if dividend growth rate is 7.4% (close to actual value in 2002).如果预期增长率下跌0.6%，价值就会跌
15、到86亿。,12-16,Technical Analysis and Behavioral Finance技术分析与行为金融,Technical analysis attempts to exploit recurring and predictable patterns in stock prices.技术分析试图通过发掘股票价格的波动周期和可预测的股价走势以获得优异的投资业绩，理由有：Prices adjust gradually to a new equilibrium.股票价格在套利的作用下渐渐趋于新平衡，技术分析就试图做推动股票价格平衡的套利技术；Market values and
16、intrinsic values converge slowly.内在价值回归市场价值的过程也是逐渐发生的，也有套利空间。最重要的理由：历史会重复自己,12-17,Technical Analysis and Behavioral Finance技术分析与行为金融,Disposition effect: The tendency of investors to hold on to losing investments.处置效应描述了投资者愿意长期持有亏损头寸（而不愿长期持有盈利头寸）的现象；Demand for shares depends on price history因此股票的需求跟股
17、票价格历史有关，即长期下跌的股票需求一般较为稳定，而快速上涨的股票需求则变得很大Can lead to momentum in stock prices也能导致股票价格中的动量效应：大换手率下的价格走势有趋势延续的现象,12-18,Trends and Corrections: The Search for Momentum趋势与修正：动量效应搜寻,Dow Theory道式理论Primary trend : Long-term movement of prices, lasting from several months to several years.主要（基本）趋势：数月或数年的价格趋势
18、Secondary or intermediate trend: short-term deviations of prices from the underlying trend line and are eliminated by corrections.二级或中间趋势：短期的，最终会被修正的趋势Tertiary or minor trends: Daily fluctuations of little importance.三级或次级趋势：不重要的每日波动,12-19,Figure 12.3 Dow Theory Trends道式理论的趋势划分,12-20,Trends and Corr
19、ections: Moving Averages趋势和修正：移动平均,The moving average is the average level of prices over a given interval of time.移动平均是给定时间窗口内的价格平均值；也叫均线，有3日、5日、10日、20日甚至更长的均线；1日均线是什么？,Bullish signal: Market price breaks through the moving average line from below. Time to buy牛市信号：1日均线突破了多根均线总趋势上涨Bearish signal: Wh
20、en prices fall below the moving average, it is time to sell.熊市信号：1日均线跌破了多根均线总趋势下跌,12-21,Figure 12.5 Moving Average for HPQ惠普公司的移动平均线,12-22,Trends and Corrections: Breadth趋势和修正：宽度,Breadth: Often measured as the spread between the number of stocks that advance and decline in price.市场中上涨股票的数量和下跌股票的数量之差
21、，被相信能够反映市场的走向,12-23,Sentiment Indicators: Trin Statistic情绪指标：Trin统计量,Trin Statistic:修正后的宽度指标Ratios above 1.0 are bearish大于一就是熊市指标,12-24,Sentiment Indicators: Confidence Index情绪指标：信心指数,Confidence index: The ratio of the average yield on 10 top-rated corporate bonds divided by the average yield on 10
22、intermediate-grade corporate bonds.信心指数：高评级10家公司债与中评级10家公司债的收益率之比，通常总是小于1，反映了对股市的信心,Higher values are bullish.数值越接近1，说明债市收益一般，投资者们对股市风险偏好加大，牛市信号,12-25,Sentiment Indicators: Put/Call Ratio情绪指数：看跌/看涨比率,Calls are the right to buy.买权A way to bet on rising prices赌涨的工具Puts are the right to sell.卖权A way to
23、 bet on falling prices赌跌的工具,A rising ratio may signal investor pessimism and a coming market decline.指示着市场中赌跌的情绪很重，通常预示着市场下跌Contrarian investors see a rising ratio as a buying opportunity!相反就意味着上涨的趋势,12-26,Warning!警告,It is possible to perceive patterns that really dont exist.不同的原因可能造成同样的趋势，因此需要小心甄别F
24、igure 12.8A is based on the real data. The graph in panel B was generated using “returns” created by a random-number generator.左图真实股价，右图随机模拟Figure 12.9 shows obvious randomness in the weekly price changes behind the two panels in Figure 12.8（12.9是收益图，12.8是股价图）,12-27,Figure 12.8 Actual and Simulated Levels for Stock Market Prices of 52 Weeks实际与仿真股票价格在52个星期内的走势,12-28,Figure 12.9 Actual and Simulated Changes in Stock Prices for 52 Weeks实际与仿真股票收益在52个星期内的走势,
