BEHAVIORAL FINANCE PSYCHOLOGYPDF电子书下载

PART Ⅰ CONVENTIONAL FINANCE，PROSPECT THEORY，AND MARKET EFFICIENCY 1

CHAPTER 1 Foundations of Finance Ⅰ：Expected Utility Theory 3

Introduction 3

Neoclassical Economics 4

Rational Preferences 4

Utility Maximization 4

Relevant Information 6

Expected Utility Theory 6

Risk Attitude 8

Allais Paradox 11

Framing 14

Looking Forward 14

Chapter Highlights 14

Discussion Questions and Problems 15

Appendix：More on Expected Utility Theory 16

Definitions 16

Axioms Required to Derive Expected Utility 17

Sketch o f a Proof 17

Characteristics of Utility Functions 18

Endnotes 18

CHAPTER 2 Foundations of Finance Ⅱ：Asset Pricing，Market Efficiency，and Agency Relationships 19

Introduction 19

The Pricing of Risk 20

Risk and Return for Individual Assets 20

Risk and Return for Portfolios o f Assets 21

The Optimal Portfolio 22

Capital Asset Pricing Model 26

Operationalizing the CAPM 27

Market Efficiency 28

Efficiency and Information 28

What Does Market Efficiency Imply？ 29

Misconceptions about Market Efficiency 30

Joint Hypothesis Problem 30

Agency Theory 31

From Rationality to Psychology 33

Chapter Highlights 33

Discussion Questions and Problems 34

Endnotes 35

CHAPTER 3 Prospect Theory，Framing，and Mental Accounting 37

Introduction 37

Prospect Theory 38

Key Aspects o f Observed Behavior 38

Value Function 40

Lottery Tickets and Insurance 41

Weighting Function 42

Hypothetical Value and Weighting Functions 44

Some Examples 45

Other Issues 45

Riskless Loss Aversion 45

Origins of Prospect Theory 46

Prospect Theory and Psychology 47

Competing Alternative Theories 47

Framing 47

Does Prospect Theory Work with Nonmonetary Outcomes？ 48

Integration vs.Segregation 48

Mental Accounting 50

Opening and Closing Accounts 50

Evaluating Accounts and Choosing When to Close Them 51

Closure，Integration，and Segregation 52

From Theory to Practice 52

Chapter Highlights 53

Discussion Questions and Problems 53

Appendix：Conditions Required for the Prospect Theory Weighting Function 55

Conditions 55

Endnotes 56

CHAPTER 4 Challenges to Market Efficiency 60

Introduction 60

Some Key Anomalies 61

Lagged Reactions to Earnings Announcements 61

Small-Firm Effect 62

Value vs.Growth 63

Momentum and Reversal 65

Noise-Trading and Limits to Arbitrage 67

Theoretical Requirements for Market Efficiency 67

Support 1：All Investors Are Always Rational 67

Support 2：Investor Errors Are Uncorrelated 68

Shiller’s Model 68

Support 3：There are no Limits to Arbitrage 71

What Limits Arbitrage？ 72

Fundamental Risk 72

Noise-Trader Risk 72

Implementation Costs 73

Looking Forward 75

Chapter Highlights 75

Discussion Questions and Problems 76

Appendix：Proofs for Shiller Model 77

Endnotes 78

PART Ⅱ BEHAVIORAL SCIENCE FOUNDATIONS 81

CHAPTER 5 Heuristics and Biases 83

Introduction 83

Perception，Memory，and Heuristics 84

Perception 84

Memory 84

Framing Effects 85

Ease of Processing and Information Overload 86

Heuristics 86

Examples of Heuristics 87

Familiarity and Related Heuristics 87

Familiarity 87

Ambiguity Aversion 88

Diversification Heuristic 89

Status Quo Bias and Endowment Effect 89

Heuristics and Biases，Prospect Theory，and Emotion 90

Representativeness and Related Biases 90

Conjunction Fallacy 91

Base Rate Neglect 91

Bayesian updating 92

Hot Hand Phenomenon 93

Gambler’s Fallacy vs.Hot Hand 95

Overestimating Predictability 95

Availability，Recency，and Salience 96

Anchoring 97

What Explains Anchoring？ 98

Anchoring vs.Representativeness 99

Irrationality and Adaptation 99

Fast and Frugal Heuristics 99

Response to Critique 100

Looking Ahead 100

Heuristics and Biases and Financial Decision-Making 100

Do Heuristic-Induced Errors Cancel Out？ 101

Chapter Highlights 101

Discussion Questions and Problems 102

Endnotes 103

CHAPTER 6 Overconfidence 106

Introduction 106

Miscalibration 106

What Is It？ 106

Example of a Calibration Test 107

Other Strains of Overconfidence 110

Better-Than-Average Effect 110

Illusion o f Control 111

Excessive Optimism 111

Being Overconfident in More than One Sense 112

Are People Equally Overconfident？ 112

Are People Consistently Overconfident？ 113

Factors Impeding Correction 114

Biases Interfering with Learning 114

Is Overconfidence an Unmitigated Flaw？ 114

Looking Ahead to Financial Applications 115

Chapter Highlights 116

Discussion Questions and Problems 116

Endnotes 117

CHAPTER 7 Emotional Foundations 120

Introduction 120

The Substance of Emotion 120

A Short History of Emotion Theory 122

Evolutionary Theory 124

The Brain 126

Emotion and Reasoning 128

Our Minds，Bodies，and Emotion 130

Looking Ahead 130

Chapter Highlights 132

Discussion Questions and Problems 132

Endnotes 133

PART Ⅲ INVESTOR BEHAVIOR 135

CHAPTER 8 Implications of Heuristics and Biases for Financial Decision-Making 137

Introduction 137

Financial Behaviors Stemming from Familiarity 138

Home Bias 138

Distance，Culture and Language 139

Local Investing and Informational Advantages 140

Investing in Your Employer or Brands that You Know 141

Financial Behaviors Stemming from Representativeness 141

Good Companies vs.Good Investments 142

Chasing Winners 143

Availability and Attention-Grabbing 145

Anchoring to Available Economic Cues 145

An Experimental Study of Real Estate Appraisals 145

Anchoring vs.Herding and Analysts 147

Chapter Highlights 147

Discussion Questions and Problems 148

Endnotes 148

CHAPTER 9 Implications of Overconfidence for Financial Decision-Making 151

Introduction 151

Overconfidence and Excessive Trading 151

Overconfident Traders：A Simple Model 152

Evidence from the Field 157

Evidence from Surveys and the Lab 159

Demographics and Dynamics 161

Gender and Overconfidence in the Financial Realm 161

Dynamics of Overconfidence among Market Practitioners 161

Underdiversification and Excessive Risk Taking 162

Excessive Optimism and Analysts 163

Chapter Highlights 164

Discussion Questions and Problems 164

Endnotes 165

CHAPTER 10 Individual Investors and the Force of Emotion 168

Introduction 168

Is the Mood of the Investor the Mood of the Market？ 169

Pride and Regret 170

The Disposition Effect 171

Empirical Evidence 171

Prospect Theory as an Explanation for the Disposition Effect 172

Another Possible Explanation 174

Experimental Evidence 174

House Money 175

Evidence o f a House Money Effect on a Large Scale 175

Prospect Theory and Sequential Decisions 176

Affect 177

Chapter Highlights 178

Discussion Questions and Problems 179

Endnotes 179

PART Ⅳ SOCIAL FORCES 183

CHAPTER 11 Social Forces：Selfishness or Altruism？ 185

Introduction 185

Homo Economicus 186

Fairness，Reciprocity，and Trust 186

Ultimatum and Dictator Games 187

The Trust Game 189

Who Is More Fair？ 191

Social Influences Matter 192

Competition in Markets 193

Incentives and Contract Design 194

Conformity 196

Testing Conformity 196

Obedience to Authority 197

Social Behavior and Emotion 198

Social Behavior and Evolution 198

Chapter Highlights 199

Discussion Questions and Problems 199

Endnotes 200

CHAPTER 12 Social Forces at Work：The Collapse of an American Corporation 202

Introduction 202

Corporate Boards 203

Benefits of a Corporate Board 203

Outside Directors 204

It’s a Small World 205

Directors，Compensation，and Self-Interest 205

Directors and Loyalty 206

Analysts 206

What Do Professional Security Analysts Do？ 207

The Performance of Security Analysts 207

Do Analysts Herd？ 208

Enron 209

The Performance and Business of Enron 209

The Directors 211

The Analysts 212

Other Players in Enron’s Downfall 213

Organizational Culture and Personal Identity 213

Chapter Highlights 214

Discussion Questions and Problems 214

Endnotes 215

PART Ⅴ MARKET OUTCOMES 217

CHAPTER 13 Behavioral Explanations for Anomalies 219

Introduction 219

Earnings Announcements and Value vs.Growth 219

What is Behind Lagged Reactions to Earnings Announcements？ 219

What Is Behind the Value Advantage？ 220

What is Behind Momentum and Reversal？ 221

Daniel-Hirshleifer-Subrahmanyam Model and Explaining Reversal 222

Grinblatt-Han Model and Explaining Momentum 224

Barberis-Shleifer-Vishny Model and Explaining Momentum and Reversal 227

Rational Explanations 230

Inappropriate Risk Adjustment 230

Fama-French Three-Factor Model 232

Explaining Momentum 232

Temporary Deviations from Efficiency and the Adaptive Markets Hypothesis 233

Chapter Highlights 233

Discussion Questions and Problems 234

Endnotes 234

CHAPTER 14 Do Behavioral Factors Explain Stock Market Puzzles？ 237

Introduction 237

The Equity Premium Puzzle 238

The Equity Premium 238

Why Is the Equity Premium a Puzzle？ 238

What Can Explain This Puzzle？ 240

Real-World Bubbles 243

Tulip Mania 244

The Tech/Internet Bubble 245

Experimental Bubbles Markets 247

Design o f Bubbles Markets 248

What Can We Learn From These Experiments？ 249

Behavioral Finance and Market Valuations 251

Excessive Volatility 251

Do Prices Move Too Much？ 251

Demonstrating Excessive Volatility 252

Explaining Excessive Volatility 253

Volatility Forecasts and the Spike of 2008 253

Markets in 2008 254

Chapter Highlights 258

Discussion Questions and Problems 259

Endnotes 259

PART Ⅵ CORPORATE FINANCE 263

CHAPTER 15 Rational Managers and Irrational Investors 265

Introduction 265

Mispricing and the Goals of Managers 266

A Simple Heuristic Model 266

First Order Conditions 267

Examples of Managerial Actions Taking Advantage of Mispricing 268

Company Name Changes 268

Explaining Dividend Patterns 269

Share Issues and Repurchases 272

Mergers and Acquisitions 272

Irrational Managers or Irrational Investors？ 274

Chapter Highlights 275

Discussion Questions and Problems 275

Endnotes 276

CHAPTER 16 Behavioral Corporate Finance and Managerial Decision-Making 279

Introduction 279

Capital Budgeting：Ease of Processing，Loss Aversion，and Affect 279

Payback and Ease of Processing 280

Allowing Sunk Costs to Influence the Abandonment Decision 280

Allowing Affect to Influence Choices 280

Managerial Overconfidence 282

Investment and Overconfidence 282

Overinvestment 282

Investment Sensitivity to Cash Flows 283

Mergers and Acquisitions 284

Start-ups 285

Can Managerial Overconfidence Have a Positive Side？ 288

Chapter Highlights 288

Discussion Questions and Problems 289

Endnotes 289

PART Ⅶ RETIREMENT，PENSIONS，EDUCATION，DEBIASING，AND CLIENT MANAGEMENT 293

CHAPTER 17 Understanding Retirement Saving Behavior and Improving DC Pensions 295

Introduction 295

The World-Wide Move to DC Pensions and its Consequences 296

DBs vs.DCs 296

Problems Faced by Employee-Investors 298

Saving with Limited Self-Control and Procrastination 298

How Much Needs to be Saved？ 298

Limited Self-Control 300

Exponential and Hyperbolic Discount Functions 301

Procrastination 302

Evidence on Retirement Preparedness 303

Asset Allocation Confusion 303

Documenting the Problem 303

Are There “Correct” Asset Allocations？ 305

Moving toward a Solution 306

Is Education the Answer？ 307

Improvements in DC Pension Design 307

Automatic Enrollment 308

Scheduled Deferral Increase Programs 310

Asset Allocation Funds 311

Moving toward the Ideal 401（k） 313

Chapter Highlights 313

Discussion Questions and Problems 314

Endnotes 315

CHAPTER 18 Debiasing，Education，and Client Management 319

Introduction 319

Can Bias be Eliminated？ 319

Steps Required to Eliminate Bias 319

Strategies for Helping Those Affected by Bias 321

Debiasing Through Education 322

Psychographic Profiling，Personality Types，and Money Attitudes 323

Optimizing Education 325

Client Management Using Behavioral Finance 326

Traditional Process of Asset Allocation Determination 326

Using Behavioral Finance to Refine Process 328

Chapter Highlights 330

Discussion Questions and Problems 330

Endnotes 331

PART Ⅷ MONEY MANAGEMENT 333

CHAPTER 19 Behavioral Investing 335

Introduction 335

Anomaly Attenuation，Style Peer Groups，and Style Investing 335

Refining Anomaly Capture 337

Refining Value Investing Using Accounting Data 337

Refining Momentum-Investing Using Volume 337

Momentum and Reversal 339

Momentum and Value 341

Multivariate Approaches 342

Style Rotation 345

Is it Possible to Enhance Portfolio Performance Using Behavioral Finance？ 346

Early Evidence 346

What is Behavioral Investing？ 347

Chapter Highlights 348

Discussion Questions and Problems 348

Endnotes 348

CHAPTER 20 Neurofinance and the Trader’s Brain 351

Introduction 351

Expertise and Implicit Learning 351

Neurofinance 353

Insights from Neurofinance 354

Expertise and Emotion 355

Chapter Highlights 356

Discussion Questions and Problems 356

Endnotes 357

GLOSSARY 359

REFERENCES 367

INDEX 383