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1、讲师:JCYBehavioralFinanceCFA三级必备知识点1.TraditionalFinancevs.BehavioralFinanceTraditionalFinancevs.BehavioralFinanceWithintraditionalfinance,individualsareassumedtoberisk-averse,self-interestedutilitymaximizers,(rational).Traditionalfinancefurtherhypothesizesthat,atthemarketlevel,PliCeSincorporateandrefl
2、ectallavailableandrelevantinformation.Behavioralfinanceincludesbehavioraleconomics,investorPSyChoIOgy)behavioralSCiQnCQ)QXPQrimQntalQConomiCSJandCOgnitiVQpsychology.Thevarietyofapproachestakentoexamineinvestorbehavioraddstotheconfusionaboutwhatismeantbybehavioralfinance,(eqCQ7BehavioralBiasesConserv
3、atismbiasConfirmationbiasCognitiveerrorsBeliefperseveranceRepresentativenessbiasIllusionofcontrolbiasHindsightbiasMentalaccountingbiasFramingbiasInformation-processingbiasesAnchoring&adjustmentBehavioralbiasesAvailabilitybias1.ossaversionbiasOverconfidencebiasSelf-controlbiasEmotionalbiasesStatusquo
4、biasEndowmentbiasRegret-aversionbiasCognitiveErrorsandEmotionalBiasesABehavioralbiasesmaybecategorizedaseithercognitiveerrorsoremotionalbiases.ACognitiveerrorsCIn2duePFimellrilytofaultyccisoningCIndCoUlddFiscfrom口IcICkOfUndCTStelndingPnjPCrBtotMisICln口IyGiStechniques,informCItionprocessingmigtzkes,f
5、aulty3g0ning,ormemoryerrors.Cognitiveerrorsacemoreeasilycorrectedforbecausetheystemfromfaultyreasoningratherthananemotionalpredisposition.Cognitiveerrorscanbefurtherclassifiedintotwocategories:/beliefperseverancebiases/andinformation-processingbiases.AEmotionalbiasesstemfromimpulseorintuition;emotio
6、nalbiasestendtoresultfromreasoninginfluencedbyfeelings.EmotiOnalbiasesarehardertoCOrTeCtforbecausetheyarebasedonfeelings,whichcanbedifficulttochange.Tomoderateabiasistorecognizethebiasandtoattempttoreduceoreveneliminatethebiaswithintheindividual.AToadapttoabiasistorecognizeandacceptthebiasandtoadjus
7、tforthebiasratherthantoattempttomoderatethebias.CognitiveErrors:BeliefPerseveranceBeliefperseveranceisthetendencytodingtoonespreviouslyheldbeliefsirrationallyorillogically.Conservatismbias,peoplemcint口intheirPFiorViCWgOirforecastsbyin日dequ3telyincorpoatingnewinformation;Confirmationbias.Individualst
8、endtonoticeonlyinformationthatagreeswiththeirperceptionsorbeliefs.ThCyIOokforconfirmingC)UidCncoWhilcjdiscountingorevenignoringevidencethatcontradictstheirbeliefsortheirperceptions;Representativenessbias,peopletendtoClcISsifvnewinfomotionbDcdepstCKPeTiCnCCS口ndCESSifistions.ThiSbiasoccursbecausepeopl
9、eattemptingtoderivemeaningfromtheirexperiencestendtoclassifyobjectsandthoughtsintopersonalizedcategories;Twoforms:baserateneglect,sample-sizeneglect.Illusionofcontrol.PGOPIGtendtobGiccthattheyCelncontroloinfluGno?OUtcomesWhCnjnfact,theysnnot.expectancyofapersonalsuccessprobabilityinappropriatelyhigh
10、erthantheobjectiveprobabilitywouldwarrant;Hindsightbias,abiaswithselectiveperceptionandretentionaspects.PeoplefH3yeeawev24ts日ShavingbeenPFediCtableandreasonabletoexpect.2008TemplateforQuestion2圜DonaldsonsstatementSelectthebehavioralfinanceconceptbestexhibitedineachofDonaIdsonzSthreestatements.Note:N
11、obehavioralfinanceconceptcanbeusedmorethanonce,(circleone)ExplainhowthebehavioralfinanceconceptyouselectedaffectsDonaldsonsinvestmentdecisionmaking.Ireadanewspaperarticlereportingthatcommercialpropertyvaluesinthecityhaveincreased14percentannuallysince2000.Accordingtothearticle,theaveragecommercialpr
12、opertyinthecitysoldfor$1.5millionlastyear.ThismakesmeveryhappybecauseIjustpurchasedapieceofcommercialpropertylastmonth.Thereisnodoubtthatitwillbeagoodinvestment/7NaivediversificationDonaldsonmayhaveboughtlateinthecycle,butbelievesthatcommercialpropertyvalueswillcontinuetoincrease.Donaldson,byrelying
13、ontherepresentativenessheuristic,hasbecomeoverlyoptimisticaboutapastwinner.OverconfidenceRepresentativenessRegretavoidanceSelf-controlCognitiveErrors:InformationProcessingDescribinghowinformationmaybeprocessedandusedillogicallyorirrationallyinfinancialdecisionmaking.Anchoringandadjustment,theuseofap
14、sychologicalheuristicinfluencesthewaypeopleestimateprobabilities.Whenrequiredtoestimateavaluewithunknownmagnitude,PeoPlegonornllybeginbyRnViSioningSomQinitialdefaultnumberananchorWhiChtheythenadjustUPOrdowntoreflectsubsequentinformationandanalysis;Mentalaccountingbias,peopletreatoneSUmOfmoneydiffere
15、ntlyfromanotherequal-sizedsumbasedonwhichmentalaccountthemoneyisassignedto;Framingbias,apersonQnSWQrSaqHestiendi#efeRtlybosodOnth。wayinWhiChitisasked(framed);Availabilitybias,peopletakeaheuristic(sometimescalledaruleofthumboramentalshortcut)approachtoestimatingtheProbabilityOfanOuomebasedorhOWeaSi屏t
16、heEmotionalbiasesarehardertocorrectforthancognitiveerrorsbecausetheyoriginatefromimpulseorintuitionratherthanconsciouscalculations.Inthecaseofemotionalbiases,itmayonlybepossibletorecognizethebiasandadapttoitratherthancorrectforit.Lossaversionbias,peopletendtoStlOngIyPrefOravoidingIoggeSa$OPPC)EedtoG
17、ChieVinggains.Anumberofstudiessuggestthat,psychologically,lossesareSignifiCantlymOrePOWerfUlthangains;Overconfidencebias.PCoPlCClCmGnStG3tcUnWoIT口ntcdfithintheirOWnintuitiverccgoning,judgments,and/orcognitiveabilities.Thisoverconfidencemaybetheresultofoverestimatingknowledgelevels,abilities,andacces
18、stoinformation./PredictionoverconfidenceIeadstounderestimatingriskandsettingconfidenceintervalstoonarrow.Srtaiftyoverconfidencerelatestoover-statedprobabilitiesofsuccess;/Self-attributionbias,thecombinationOfself-enhancingbiasandself-protectingbias,Contributestooverconfidence.Byself=erhancing,Indivi
19、dualstakeallthecreditfortheirsuccesses.Byself-protecting,theyplacetheblameforfailureonsomeoneorsomethingelse.写业创新增值_Self-controlbias,peoplefailtoactinpursuitOftheirIong-term,OVenarchinggoalsbecauseOfelaCkOfself-discipline.Thereisaninherentconflictbetweenshort-termsatisfactionandachievementofsomelong
20、-termgoals.Statusquobias,anemotionslbicsinWhiChPee)Pledonothing(ie,mirtdinthestatusquo)insteadOfmaking日change.Peopleartgenerallymorecomfortablekeepingthingsthesamethanwithchangeandthusdonotnecessarilylookforopportunitieswherechangeisbeneficial.Endowmentbias,peopleVAlUeanassetmoreWhentheyholdMght5toi
21、tthanWhQntheydonot.EndoWmentbiasisInconsistentwithstandardeconomictheory,whichassertsthatthepriceapersoniswillingtopay-foragoodshouldequalthepriceatwhichthatpersonwouldbewillingtosellthesamegood.Regret-aversionbiasoccursWhenmsrketPartiCiPantSdonothingC)Utofeces5fearthatactionsCoUldbewrong.Simplyput,
22、peopletrytoavoidthepainofregretassociatedwithbaddecisions.圜APabloRodriquezisanadvisoratabrokeragefirmwithretailclientswhoareactivetraders.HeacquiresfourclientsfromCarlaCheezanadvisorwhoisretiringfromthefirm.Overtheyears,Cheeregularlysurveyedherclientstodetectanybehavioralbiasesintheirinvestmentdecis
23、ion-makingprocesses.ShedeterminedthatherclientsroutinelyexhibitedthebiasessummarizedinExhibit1.Exhibit1CheeClients:BehavioralBiasesClientBiasClient1Regret-aversionClient2Loss-aversionClient3MentalaccountingClient4FramingRodriquezbelievesthatclientsactprimarilyonthebasisoftheirbiases.Hemeetswiththecl
24、ientstoevaluateChee,sassessmentsoftheirbiases.AClient1andClient2:RodriquezasksClient1andClient2toConsidertwoequities,UnoInc.andDeuxCo.,whicheachhadpurchasedfortheirrespectiveportfolios.ThepurchasepriceandcurrentpriceareshowninExhibit2.Neitherequitypaysdividends.Exhibit2SelectedEquityHoldings(inUSD)E
25、quityPurchasePriceCurrentPriceUnoInc.5566DeuxCo.6048ANSWERQUESTIONIl-AINTHETEMPLATEPROVIDEDONPAGE71.A.Determine,assumingCheesbiasassessmentsarecorrect,whichaction(buyadditionalshares,takenoaction,sell)eachclientwillmostlikelychooseforeachofthefollowingequities:I.UnoInc,II.DeuxCo.Justifyeachresponse.
26、Note:Considereachclient(Client1andClient2)andeachequityindependently.(12minutes)Client(Bias)EquityDetermine,assumingCheeiscorrect,whichactioneachclientwillmostlikelychooseforeachofthefollowingequities,(circleone)Justifyeachresponse.Client1(Regretaversion)UnoInc.buyadditionalsharesrwactio2ScllAninves
27、torwitharegret-aversionbiastendstoavoidmakingadecisionoutoffearthatthedecisionwillturnoutpoorly.Client1wouldlikelytakenoaction,inordertoavoidtheregretthatwouldcomefrommissingfurtherpriceappreciationinUno.DeuxCo.buyadditionalshares2kenoactionsellAninvestorwitharegret-aversionbiaswantstoavoidthepainof
28、regretresultingfromapoorinvestmentdecision.Client1wouldIikelytakenoactioninordertoavoidtheregretthatwouldcomefrommissingapossiblerecoveryinthepriceofDeux.Client2(Lossaversion)UnoInc.buyadditionalsharestakeFiQactionsellAninvestorwithaloss-aversionbiastendstoSufferfromthedispositioneffect,whichisthete
29、ndencytorealizegainsearlyanddelayrecognizinglosses.Theinvestorfeelstheimpactofalossmuchmorestronglythantheimpactofasimilargain.Theinvestormayalsosellthestrongperformertoavoidanyfurtherperceivedrisk,regardlessofpotentialfuturepriceappreciation.Client2islikelytosellUnotorecognizethe20%gain.Client2(Los
30、s-aversion)DeuxCo.buyadditionalsharesCkenoaction7sellAninvestorwithaloss-aversionbiastendstosufferfromthedispositioneffect,whichisthetendencytorealizegainsearlyanddelayrecognizinglosses.Theinvestoroftenholdsinvestmentsinalosspositioninthehopethattheywillreturntobreakeven,despitethepotentialriskofeve
31、nfurtherpricedeclines.Client2wouldlikelytakenoactionandhopetorecoverthe20%lossinDeux.B3.BehaviorallyModifiedAssetAllocationSuggestedDeviationFromARationalPortfolioCognitivebiasEmotionalBiasHighwealth/lowSLRModestchanges+/5to10%maximumperassetclassLargerchanges+/10to15%maximumperassetclassLowwealth/h
32、ighSLRclosetotherationalassetallocation+/0to3%maximumperassetclassModestchanges+/5to10%maximumperassetclass*SLR-standardoflivingrisk2018-GuidelineAnswer:TemplateforQuestion4-CSarahasahighstandardoflivingrisk.Andherquestionnaireindicatesthatherpotentialbehavioralbiasisrepresentativeness.ABeechprovide
33、sJohnwithamean-varianceoptimizedportfolio.BasedonJohnsstandardoflivingriskandhispotentialbehavioralbias,Beechalsoproducesabehaviorallymodifiedportfolio.Theassetclassweightsofthemodifiedportfoliodifferfromthoseoftheoptimizedportfolioby+/-10%.BeechthenrepeatstheprocessforSara,preparingbothamean-varian
34、ceoptimizedportfolioandabehaviorallymodifiedportfolio.DeterminethemostlikelyamountbywhichtheassetclassweightsofSarastwoportfolioswilldiffer.(circleone)lessthan+/-10%equalto+/-10%greaterthan+/-10%Justifyyourresponse.圜2018-GuidelineAnswer:TemplateforQuestion4-CThedecisiontomoderateoradapttoaclientsbeh
35、avioralbiasesdependsontwofactors:thestandardoflivingrisk/levelofwealth(highorlow)andthetypeofbias(emotionalorcognitive).Sara,withahighstandardoflivingrisk,isatriskoffailingtoachievehergoals,soherbehaviorallymodifiedportfolioshouldbeclosertoamean-varianceoptimizedportfolio.Inaddition,becauseherbiasis
36、cognitive(representativeness),betterinformationcanhelptocorrectit(i.e.zmoderatingthebiasismorelikelytobesuccessful).Assuch7withtheappropriateeducation,Sarashouldbeabletoadjustherbehaviorandtolerateaportfoliothatmorecloselymatchesarational(mean-varianceoptimized)allocation.ThiswouldleadSaratohaveapor
37、tfoliowithlessthana+/-10%differenceinherassetclassweightstotherationalallocation.4.InvestorsBehavioralModelsBehavioralModelsPompianBehavioralModelGeneraltypePassiveActiveRisktoleranceLowHighInvestmentstyleConservativeModerateGrowthAggressiveBiastypesEmotionalCognitiveCognitiveEmotionalBITsPassivePre
38、server(PP)FriendlyFollower(FF)IndependentIndividualist(II)ActiveAccumulator(AA)EmotionalbiasEndowmentLossaversionStatusquoRegretaversionRegretaversionOverconfidenceandself-attributionOverconfidenceSelf-controlCognitivebiasMentalaccountingAnchoringandadjustmentAvailabilityHindsightFramingConservatismAvailabilityConfirmationRepresentativenessIllusionofcontrol专业创新增值一
