CFA三级培训项目：经典题_行为金融学（Behavioral Finance）_打印版.docx

11S,(TheBehavioralFinancePerspectiveCase:MimiFongMimiFong,CFA,aprivatewealthmanagerwithanassetmanagementfirm,hasbeenaskedtomakeapresentationtohercolleaguescomparingtraditionalandbehavioralfinance.Shedecidestoenlivenherpresentationwithstatementsfromcolleaguesandclients.Thesestatementsareintendedtodemonstratesomekeyaspectsofanddifferencesbetweentraditionalandbehavioralfinance.Statement1(fromacolleague):"Whennewinformationonacompanybecomesavailable,Iadjustmyexpectationsforthatcompany'sstockbasedonpastexperienceswithsimilarinformation/1(fromaclient):"Whenconsideringinvestments,Ihavealwayslikedusinglongoptionpositions.Iliketheirrisk/returntradeoffs.Mypersonalestimatesoftheprobabilityofgainsseemtobehigherthanthatimpliedbythemarketprices.Iamnotsurehowtoexplainthat,buttomelongoptionsprovidetremendousupsidepotentialwithlittlerisk,giventhelowprobabilityoflimitedlosses."(fromaclient):"Ihavealwaysfollowedabudgetandhavebeenadisciplinedsaverfordecades.EveninhardtimeswhenIhadtoreducemyusualdiscretionaryspending,Ialwaysmanagedtosave."HCase:MimiFongStatement4(fromacolleague):"WhileItrytomakedecisionsanalytically,Idobelievethemarketscanbedrivenbytheemotionsofothers.SoIhavefrequentlyusedbuy/sellsignalswheninvesting.Also,my20yearsofexperiencewithmanagerswhoactivelytradeonsuchinformationmakesmethinktheyareworththefeestheycharge.,zStatement5(fromacolleague):,Mostofmyclientsneedawell-informedadvisortoanalyzeinvestmentchoicesandtoeducatethemontheiropportunities.Theyprefertobepresentedwiththreetosixviablestrategiestoachievetheirgoals.Theyliketobeabletomatchtheirgoalswithspecificinvestmentallocationsorlayersoftheirportfolio."Case:MimiFongStatement6(fromaclient):"Ifollowadisciplinedapproachtoinvesting.Whenastockhasappreciatedby15percent,Isellit.Also,Isellastockwhenitspricehasdeclinedby25percentfrommyinitialpurchaseprice."Statement7(fromaclient):wOveraII,Ihavealwaysbeenwillingtotakeasmallchanceoflosingupto8percentoftheportfolioannually.Icanacceptanyassetclassestomeetmyfinancialgoalsifthisconstraintisconsidered.Inotherwords,anacceptableportfoliowillsatisfythefollowingcondition:Expectedreturn-1.645Expectedstandarddeviation-8%."WhichofthefollowingstatementsismostconsistentwithexpectedCase:MimiFongSSolution:CStatement3ismostconsistentwithexpectedutilitytheory.Theclientexhibitsself-controlandisabletodeferconsumption.Thisclientisconsideringshort-termandlong-termgoalsandattemptingtomaximizethepresentvalueofutility.InStatement1,beliefsarebeingupdatedusingheuristicsratherthanBayes,formula.Statement2isconsistentwithprospecttheory;theclientisoverweightingtheprobabilityofahighfinancialimpactoutcome(gainsonoptions)andunderweightingtheprobabilityofaloss(theoptionpremiumcost).Case:MimiFongWhichofthefollowingstatementsmostlikelyindicatesabeliefthattechnicalanomaliesexistinthecapitalmarkets?Solution:BStatement4indicatesthebeliefthatbuy/sellsignalscanbeusedtoearnexcessreturns.Statement4indicatesthatmarketscanbeinfluencedbytheemotionsofothers(sentiment).Thisisconsistentwithabehavioralapproachtoassetpricingthatincludessentimentsuchasthebehavioralstochasticdiscountfactor-basedassetpricingmodelproposedbyShefrin.Case:MimiFongSB.boundedrationality.C.mentalaccountingbias.Case:MimiFong3Solution:CTheclientsdiscussedinStatement5exhibitmentalaccountingbiasbecausetheyconsidertheirportfoliobymatchingitslayerstogoals.Theclientsmaynothavetimethemselvestoexaminetheinvestmentuniverseandarriveatoptimalsolutions,buttheyrelyontheiradvisertodothisforthem.Thus,theydonotexhibitboundedrationality.TheclientofStatement6ismostlikelybehavingconsistentlywith:A.prospecttheory.B.expectedutilitytheory.C.behavioralportfoliotheory.TheclientofStatement6isbehavingconsistentlywithbehavioralportfoliotheory.Theclientsellsandholdsastocknotbecauseofthestock,spotential,butratherfromafearofthestockdeclininginvalueandgainsdissipatingandanaversiontorealizinglosses.Loss-aversioninprospecttheoryisdiscussedfromadifferentperspective.Case:MimiFongSTheclientofStatement7wouldmostlikelyagreewithwhichofthefollowingStatements?cfafrmcpacmavideofweixin:804283381A.Istriveforamean-varianceefficientportfolio.B.Iconstructmyportfolioinlayerstomeetmygoals.C.Iamloss-averseandhaveavaluefunctionthatissteeperforlossesthangains.Case:MimiFong3Solution:ATheclientisexpressingaportfoliogoalthatconsidersexpectedreturnandstandarddeviation.Thisisconsistentwithtraditionalfinanceandtheclientislikelytopreferamean-varianceefficientportfolio.Thereisnothinginthestatementthatindicatesloss-aversionasopposedtorisk-aversionorapreferenceforconstructingaportfolioinlayers.TheBehavioralBiasesofIndividualsHCase:TiffanyJordanTiffanyJordanisahedgefundmanagerwithahistoryofoutstandingperformance.Forthepast10years,Jordan,sfundhasusedanequitymarketneutralstrategy(long/shortstrategythatstrivestoeliminatemarketrisk;i.e.1betashouldbezero)whichhasprovedtobeeffectiveasaresultofJordan'shardwork.Anequitymarketneutralstrategynormallygenerateslargedailytradingvolumeandshiftsinindividualsecuritypositions.Jordan,sreputationhasgrownovertheyearsasherfundhasconsistentlybeatenitsbenchmark.EmployeeturnoveronJordan,steamhasbeenhigh;shehasatendencytobequicktoblame,andrarelygivescredittoteammembersforsuccess.Duringthepasttwelvemonths,herfundhasbeensignificantlyunderperformingagainstitsbenchmark.HCase:TiffanyJordanOneofJordan'sjunioranalysts,JeremyTang,isconcernedabouttheunderperformanceandnotesthefollowing:Observation1Certainpositionsaresignificantlyunderwater,havemuchhigherriskprofiles,andhavebeenheldformuchlongerthannormal.Observation2Thetradingvolumeofthefundhasdecreasedbymorethan40percentduringthepastyear.Observation3Theportfolioismoreconcentratedinafewsectorsthaninthepast.Tangisworriedthattheportfoliomaybeinviolationofthefund,sInvestmentPolicyStatement(IPS).TangbringsthistoJordan'sattentionduringaregularweeklyteammeeting.JordandismissesTang'sanalysisandtellstheteamnottoworrybecausesheknowswhatsheisdoing.Jordanindicatesthatsinceshebelievesthepricingmisalignmentwillcorrectitself,theportfoliowillnotbeabletotakeadvantageofthereversiontothemeanifshesellscertainlosingpositions.Shereassurestheteamthatthisstrategyhasperformedwellinthepastandthatthemarketswillrevertandthefund'sreturnswillreturntonormallevels.Tangtactfullysuggeststhattheteamreviewthefund'sIPStogether,andJordaninterruptshimandremindstheteamthatshehasmemorizedtheIPSbyheart.Tangcontemplateshisnextstep.HeisconcernedthatJordanisdisplayingbehavioralbiaseswhichareaffectingthefund'sperformance.SCase:TiffanyJordanBytakingcreditforsuccessesbutassigningblameforfailures,Jordanismostlikelydemonstrating:A.loss-aversionbias.Case:TiffanyJordan3Solution:BSelf-attributionisabiasinwhichpeopletakecreditforsuccessesandassignresponsibilitiesforfailure.Jordanattributessuccessfuldecisionstoherselfwhilepoordecisionsareattributedtotheteam.Herselfesteemaffectshowshelooksatsuccessandfailure.Self-attributionandillusionofknowledgebiasescontributetooverconfidencebias,whichJordanclearlydemonstrateslaterwhenshetellstheteamthatsheknowswhatsheisdoing.WhichofTang,sobservationsisleastlikelytobetheconsequenceofJordandemonstratingloss-aversionbias?1.ossaversionbyitselfmaycauseasectorconcentration;however,amarketneutralstrategytendstofocusonindividualstockswithoutregardtothesector.Thesectorexposurewouldbemitigatedwiththebalancingoftheindividuallongandshortpositions.SCase:TiffanyJordanWhichofJordan'sactionsleastsupportsthatshemaybeaffectedbytheillusionofcontrolbias?A.HerdismissalofTang,sanalysis.Case:a11ffanyJordanSolution:BHoldingweeklyteammeetings；whichwouldindicateawillingnesstolistentofeedbackfromothers,isnotrepresentativeoftheillusionofcontrolbias.Theillusionofcontrolbiasisoneinwhichpeoplebelievetheycancontroloutcomes.Individualsexhibitingthisbiasdisplaygreatcertaintyintheirpredictionsofoutcomesofchanceeventsandignoreothers'viewpoints.Jordanissurethatthemarketwillturnaroundeventhoughitisoutofhercontrol.ShechoosesnottolistentoTangwhoisquestioningherviewpoint.B.Reducingtheportfolioturnoverthisyear.C.Decidingtoholdthelosingpositionsuntiltheyturnaround.SCase:TiffanyJordanSolution:CJordan'sbehaviorisaclassicexampleoflossaversion:Whenalossoccurs,sheholdsontothesepositionslongerthanwarranted.Bydoingso,Jordanhasacceptedmoreriskintheportfolio.Loss-aversionbiasisoneinwhichpeopleexhibitastrongpreferencetoavoidlossesversusachievinggains.Oneoftheconsequencesoflossaversionbiasisthatthefinancialmanagementprofessional(inthiscase,Jordan)mayholdlosinginvestmentsinthehopethattheywillreturntobreak-evenorbetter.Case:TiffanyJordanA.Endowment.Jordanexhibitsoverconfidenceinseveralways.SheignorestheanalysisdonebyTang.ThismaybebecauseJordanbelievessheissmarterandmoreinformedthanherteammembers,whichistypicalofanindividualwithanillusionofknowledgebias.Thecertaintyshedemonstratesthatthemarketwillrevertisevidenceofoverconfidence.Heroverconfidenceisintensifiedbyherself-attributionbias,whichisdemonstratedthroughherdealingswithherteamwhensheblamesthemforlosseswhiletakingcreditforthegains.Finally,herportfolio'sunderperformanceagainstthebenchmarkisaconsequenceofoverconfidencebias.Case:TiffanyJordanHB.Representativeness.C.Illusionofknowledge.Solution:BBiscorrectNowhereinthescenariodiditmentionthatJordanapersonalizedcategory.Representativenessbiasisacognitivebiasinwhichpeopletendtoclassifynewinformationbasedonpastexperiencesandclassifications.Jordanisnotrelatingthecertaintyaboutthefutureorherdecisiontoholdlosingpositionsbacktosomethingshehasdoneorexperiencedinthepast.Case:TiffanyJordanWhichofTang'sfindingsisnotatypicalconsequenceofself-controlbias?A.Failuretoexploreotherportfolioopportunities.B.Assetallocationimbalanceproblemsintheportfolio.C.Ahigherriskprofileintheportfolioduetopursuitofhigherreturns.Failingtoexploreotheropportunitiesisademonstrationofstatusquobias,notself-control.Self-controlbiasoccurswhenindividualsdeviatefromtheirlong-termgoals,inthiscase,theinvestmentpolicystatement,duetoalackofself-discipline.Jordanisnotadheringtothestrategywhichhasbeensuccessfulinthepast.Theconsequencesofself-controlbiasincludeacceptingtoomuchriskintheportfolio(C)andassetallocationimbalanceproblems(B)asJordanattemptstogeneratehigherreturns.Case:IanWangIanWangrCFA,isafinancialadvisoratGarnierBrothers,aUSmoneymanagementfirm.HebecameafinancialadvisorseveralyearsagoafterreceivinghisCFAcharterandcurrentlyhasthreehigh-net-worthindividualsasclients.Wangisconductinghisannualreviewofeachclientsinvestmentpolicystatementalongwiththeirrecentlycompletedrisktolerancequestionnaires.Heisreflectingontheirvaryingpsychographiccharacteristics:MichaelPerezisasuccessful45-year-oldinvestmentbanker.WangdescribesPerezasapassiveinvestorwhoissensibleandsecure.Perezexhibitslowtomediumrisktolerancebutoftenoverestimateshisrisktolerance.Hisbiasesincludehindsight,framing,andregretaversion.Onhisquestionnaire,Perezindicatedadesireforwealthpreservationwhilewantingtoinvestasignificantportionofhisassetsinhisemployer'sstock.SarahJohnsonisanindependent-minded45-year-oldrealestatedeveloperwhohashistoricallyutilizedsignificantamountsoffinancialleverage.PriortobecomingaGarnierclientJohnsonmanagedherowninvestmentportfolio,whichwasconcentratedinjustafewstocks.Johnsonexhibitsagreatdealofconfidenceandhighrisktolerance.Johnson,sbiasesincludeillusionofcontrolandoverconfidence.Onherquestionnaire,Johnsonindicatedadesireforwealthaccumulationandanaversiontoinvestinginnon-USequities.Inaddition,sheindicatedthatherrisktolerancetowardastockinvestmentwouldincreasesignificantlyifsheknewthatmorethanoneofGarnier'sresearchanalystssupportedit.Case:IanWangNealPatelisa66-year-oldbillionairewhoaccumulatedhiswealthbystartingasuccessfulretailbusiness.WangdescribesPatelascautiousandconcernedaboutthefuture.Patelisconcernedaboutprotectinghisassetsandoftenseeksadvicefromthoseheperceivesasbeingmoreknowledgeablethanhimself.Patelexhibitslowrisktolerance.Patesbiasesincludeendowmentlossaversion,andstatusquo.PatelindicatedthathisrisktolerancewouldincreasesignificantlyifheknewthataninvestmenthadtheunanimoussupportofGarnierzSPrivateWealthInvestmentCommittee,cfafrmcpacmavideo,weixin:804283381TherewasonecommonobservationthatWangnotedinallthreequestionnaires:AllthreeclientsindicatedthattheywouldperceiveacompanywithagoodgrowthrecordandgoodprevioussharepriceperformanceasagoodinvestmentCase:IanWangOnceWangcompleteshisannualreview,herevisestheinvestmentpolicystatementfortheclientsapproval.Aftertheclientapprovestherevisedpolicystatement,theportfoliofortheclientwillbereviewedtodetermineanynecessaryreallocations.WangislimitedbyGarnierastothespecificinvestmentoptionsthatcanbeplacedinaclient'sportfolio;onlysecuritiesthatarecoveredbyGarnier'sresearchanalystsandapprovedbythePrivateWealthInvestmentCommitteecanbeplacedinaclientsportfolio.GarnierisconfidentthatitsanalystsprovidesuperiorforecastsandratingsbecausetheyuseaBayesianapproach.Garnierisalsoproudofitsinvestmentapprovalprocess.ThePrivateWealthInvestmentCommitteeregularlymeetstodiscussanddebateeachsecurityandthenvotesonwhichwillbeapproved.Wangisscheduledtomeetwithhissupervisornextweektodiscusstheresultsofhisannualreviewandrecommendedportfolioreallocations.A.educatePerezonthebenefitsonportfoliodiversification.B.limitJohnson,sroleintheinvestmentdecision-makingprocess.C.providePatelwithdetailslikestandarddeviationsandSharperatios.Case:IanWang匾ISolution:CThiswouldnotbeaneffectivewaytoadvisePatel.GivenPatesinformation,heislikelytobemorereceptiveto"bigpicture*advicethatdoesnotdwellondetailslikestandarddeviationsandSharperatios.Heisemotionallybiasedandprovidingexcessivecognitivedetailwilllosehisattention.Heneedstobeconvincedofhisadvisor,sgeneralphilosophyfirstandthen,astrustisgained,hewillrespondtoadviceandtakeaction.(PatelisaPassivePreserver.)Case:IanWangAtraditionalrisktolerancequestionnaireismostlikelytobeeffectiveasadiagnostictoolfor:A.Patel.Solution:BPerezexhibitsprimarilycognitiveratherthanemotionalbiases.Althoughrisktolerancequestionnairesmayfailforemotionallybiasedindividualsandworkbestforinstitutionalinvestors,theyaregenerallyeffectiveforcognitive-basedindividuals.WhichofthefollowingbehavioralbiaseswouldbemostrelevantinconstructingaportfolioforJohnson?A.Homebias.Solution:AHomebiasisevidentinJohnson'squestionnaire.Johnsonhasexpressedanaversiontoinvestinginnon-USequities.Familiaritywiththeircountrymayleadinvestorstoownhighconcentrationsofdomesticassetsandignorethebenefitsofinternationaldiversification.Case:IanWangSWhichinvestmentportfolioisleastlikelytodeviatefromthemeanvarianceportfolio?Perezhasprimarilycognitiveerrorbiases.Accordingly,itislikelythat,witheducation,theimpactofthesebiasescanbereducedoreveneliminated.Becausecognitivebiasesdominate,Wangshouldseektomoderatetheeffectofthesebiasesandadoptaprogramtoreduceoreliminatethebiasratherthanacceptthebias.Theresultwillbeaportfoliothatissimilartothe