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1、THE PSYCHOLOGY OF THE STOCK MARKETWerner De Bondt April 2003OVERVIEWThe challengeWhat is behavioral finance?Case study The quality of analysts forecastsVALUATIONValue is about the future.The future is uncertain.The quality of judgment is critical.FORECASTING?Economic fundamentals: Cash flows but pre
2、ssed me to buy any that was uncultivated and unplanted owing to the owners neglect or incapacity. Well farmed land, he would say, costs a large sum and cant be improved. . Nothing improves more than a farm that is being transformed from a wilderness into fruitful fields. I assure you, Socrates, that
3、 we have often added a hundredfold to the value of a farm . SOCRATES . Did you father keep all the farms that he culti- vated, Ischomachus, or did he sell when he could get a good price? ISCHOMACHUS He sold, of course, but, you see, due to his indus- trious habits, he would promptly buy another that
4、 was out of cultivation . SOCRATES Of course, and I declare, Ischomachus, on my oath that I believe you, that all men naturally love whatever they think will bring them profit. SINCE 1975 David DremanPaul Slovic, Amos Tversky, Daniel Kahneman Robert Shiller Werner De Bondt and Richard Thaler Hersh S
5、hefrin and Meir StatmanRobert Haugen Reinhart SeltenAfter 1990, 25 other researchers HOW DO PEOPLE THINK?Bounded rationality.The sources of knowledge: Experience, logic, authority.1. Mental frames. (Simple conceptual models)2. Heuristics.MENTAL FRAMESAffect choiceCan be managedAre socially/professio
6、nally sharedDiffer in sophisticationDo not change easily HEURISTICSAnchoring and adjustment. (First impressions matter.)Availability. (Vivid information has greater impact.)Representativeness. (Intuitive logic is distorted by stereotypes.) LINDALinda is 31 years old, single, outspoken, and very brig
7、ht. She majored in philosophy. As a student, she was deeply concerned with issues of discri- mination and social justice, and also participated in anti-nuclear demonstrations. What is most likely? What is least likely?1. Linda works in a bookstore and takes Yoga classes. 2. Linda is a bank teller. 3
8、. Linda is a bank teller and is active in the feminist movement.CENTRAL INSIGHTS OF BEHAVIORAL FINANCE 1. Intuition is fragile. Basic investment and statistical principles are not learned from everyday experience.2. Some decision errors may be avoided by education and by changing the decision proces
9、s. Valuation is most successful if it is based on a structured, disciplined framework. 3. Other peoples errors may be our opportunity for profit, even if they create risk. ISSUESError vs. bias.Experts vs. amateurs.Decision anomalies in the lab vs. financial anomalies in the real world vs. price anom
10、alies in markets ANALYST BIAS1. Excessive optimism2. Excessive use of stereotypes (Naive extrapolation. Overreaction)3. Excessive confidence (Large errors)4. Excessive rationalization (Missed turning points. Underreaction)5. Excessive agreement (Conformism. Groupthink)DO ANALYSTS OVERREACT? U.S. com
11、panies with December fiscal years, with EPS-data on Compustat, with returns on CRSP, with IBES consensus forecasts of EPS.1- and 2-year forecasts, 1976-1984 (April); 5-year forecasts of EPS-growth, 1982-1984 (April).No survivorship bias of any kind.Source: De Bondt and Thaler (1990), De Bondt (1992)
12、. DO ANALYSTS OVERREACT? 1. The forecast errors are large.2. The forecasts are too optimistic.3. The forecasts are too extreme. This problem is worse for long-term forecasts.4. Betting against the forecasts (especially, against long-term forecasts) is profitable. INTERPRETATIONThe results are consis
13、tent with cognitive bias caused by representativeness.The profitability of the investment strategy agrees with prior work on market overreaction. Here, the overreaction is to earnings information. HERDING IN ANALYST FORECASTSU.K. companies, 1986-1997.400,000 forecasts made by individual analysts, 0
14、to 26 months before the month of the earnings announcement, provided by IBES.Matching actual EPS data.Source: De Bondt and Forbes (1999). HERDING IN ANALYST FORECASTS1. The consensus forecast errors are large. On average, the forecasts are too extreme and too optimistic. Indeed, the “low“ forecasts
15、are more accurate than the consensus forecasts.2. The range of forecasts is surprisingly narrow. Most actual EPS-numbers fall outside the range.3. Disagreement among analysts does not increase a great deal as we get further away from the date of the earnings announcement.4. Disagreement does not inc
16、rease with the number of analysts (A), once A exceeds 7 or 8.INTERPRETATIONHerding depends on anticipated regret, i.e., error potential. This potential increases with task difficulty (forecast horizon) and with the number of analysts following the stock. THE GENIUS OF BENJAMIN GRAHAM (The Intelligent Investor, 1959) “The market is always making mountains out of molehills and exaggerating ordinary vicissitudes into major setbac
