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1、Psychology RiskandInvestmentDanielKahneman PhDPrincetonUniversity Thestandardtheory Therationalagentofeconomictheory hasconsistentopinionsandbeliefsusesallavailableinformationunbiasedbyemotion herd effectshascoherentpreferencestangiblemotives wealth security unaffectedby framing ofproblems Behaviora
2、lFinance InputsfrompsychologyCognitiveerrorsEmotionalfactorsOuragendatodayBoldforecasts errorsinjudgingtheoddsNarrowframingofdecisionsLossaversion errorsinvaluingrisksFocusonindividualinvestors Butexpertsarenotimmune BoldForecasts OptimismBias RosyviewoflikelyoutcomesBecomingrichandfamousBecomingana
3、lcoholicHavingcancerExaggerationofskills80 90 areabovemedianDrivingskillSenseofhumor BoldForecasts OptimismBias continued IllusionofcontrolExaggerateelementofskillDenytheroleofchanceOptimismaboutspecificchoicesWhydopeopleopenarestaurantwheremanyrestaurantshavefailed Overconfidence MakeaHIGHestimateo
4、ftheexchangerateon1 1 04Youshouldbe99 surethatyourestimateistoohighMakeaLOWestimateoftheexchangerateon1 1 04Youshouldbe99 surethatyourestimateistoolow Overconfidence continued Youshouldbe98 surethatthetruevaluewillfallinsideyourconfidenceintervalYoushouldhaveaprobabilityof2 thattheoutcomewillbeasurp
5、riseatthe2 level Overconfidence continued FACT massiveoverconfidenceOften20 surprisesatthe2 level10 15 surpriseswhen absolutelysure CAUSE LimitedimaginationSurprisesoccurinmanyunlikelywaysRESULT underestimationofuncertainty OptimisticOverconfidenceintheMarket WhydoyouthinkYOUcanbeatthemarket Thecost
6、ofhavingideas TerryOdean sresearch Whenaninvestorsellsastockandimmediatelybuysanother thestockthatissolddoesbetterby3 5 inthefollowingyear Framing differentwaystothinkaboutadecision Differentwaystothinkaboutcoldcuts 10 fat or 90 fat free Peopleframetheirowndecisions somewaystothinkaboutadecisionprob
7、lemaremorenaturalthanothers Framesvaryinbreadth peopletendtoadoptframesthatareoverlynarrow Framingafinancialdecision Gains lossesvs wealth wouldyouacceptthisgamble 50 chancetowin 15 00050 chancetolose 10 000Nowmakeacrudeestimateofyourwealthwouldyouacceptthisgamble 50 chance yourwealth 15K50 chance y
8、ourwealth 10Kgain lossframevswealthframe Comparingtheframes Whichframeismorenatural wenormallythinkintermsofgain lossWhichframeismorereasonable thebroaderviewEffectsoftheframesgain lossframe extremeriskaversionwealthframe closertoriskneutrality Theaversiontolosses Considerthisgamble50 tolose 10050 t
9、owin XWhatXmakesthegambleacceptable Acommonanswer 200 250Coefficientoflossaversionisabout2 5 Anotherpairofchoices Wouldyouacceptthisgamble 50 tolose 100050 towin 1500mostpeoplerefuseWouldyouaccept10suchgambles mostpeopleacceptIsthisyourlastriskydecision Whichframeisbroader morereasonable Lossaversio
10、n narrowframing the dispositioneffect Sellingstocks Peopletendtohangontolosers stocksthatarenowworthlessthantheirpurchaseprice TheytendtosellwinnersBut taxesAndwinnersdobetterintheshortrunThemoral Havingdifferentattitudestowinnersandloserscostsmoney Near proportional riskattitudes Whatisyourcashequi
11、valentfor 100 5 Whatisyourcashequivalentfor 1 000 5 Howabout 10 000 50 TheCErisesalmostasfastasthestakesCoefficientoflossaversionalsostableWhydoesthisnotmakesense lifeoffersmoresmallgambles andthelawoflargenumbersreducesrelativerisk Applicationstounderstandingofmarketphenomena Twomajorpuzzles Theequ
12、ity premiumhasbeenabout7 Highvolumeoftrade littleinformationTheanswers Myopiclossaversion BenartziandThaler Overconfidenceoftraders Odean Exceptionstoriskaversion Longshots PeoplebuylotteryticketsChoosebetween50 towin5Kand50 towin15K95 towin9Kand5 towin29K Exceptionstoriskaversion Riskseekinginlosse
13、s Choosebetween90 tolose 2 000lose 1 800forsureThisisachoicebetweenasurelossandahighprobabilityofanevenlargerloss withasmallchancetostayevenPeoplechoosetogambleThecertaintyofalossmakesitmoreaversive Risk seekingdecisions Acceptingdefeat orfightingonSettlingabadcase orlitigatingabadcase Escalatingcom
14、mitmentThedifficultyof cuttinglosses VerycommoninbadinvestmentsThe agencyproblem incommitmentPerseveranceinthefaceofadversityDecisionsofexecutiveswithnothingtolose BehavioralTheory TheRealInvestor NarrowframingexacerbatestwobiasesOptimisticbias boldforecastsRiskaversion timiddecisions KahnemanandLov
15、allo 1993 MostofwhathasbeensaidappliestoexpertsHighlyinaccurateandoverconfidentLossaverseundersupervisionRisk seekingtoavoidsurelosses Individualsvs Organizations OrganizationsareliabletooverconfidenceNotimmunetoriskerrorsButOrganizationshavebroaderframesOrganizationshavebroaderattentionspanNotafair
16、contest Regret Thenextresearchfrontier DeterminantsofregretHindsightComingcloseCommission omissionEffectsofregretAnticipatedregret conservatismUnanticipatedregret notstayingthecourse Hindsight TheinevitabilityofthepastMondaymorningquarterbacksEvening afterDow JonesgeniusesDistortingpastodds Itwasalwaysobvious Distortingyourownpastbeliefs Ialwaysknewit isnobetterDenyingtheuncertaintyofthepastImplicationsforuncertaintyoffuture ThePainsofaCloseMiss MissingaflightMr TeesandMr Cranewerescheduledtolea
