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

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1、11S,(TheBehavioralFinancePerspectiveCase:MimiFongMimiFong,CFA,aprivatewealthmanagerwithanassetmanagementfirm,hasbeenaskedtomakeapresentationtohercolleaguescomparingtraditionalandbehavioralfinance.Shedecidestoenlivenherpresentationwithstatementsfromcolleaguesandclients.Thesestatementsareintendedtodem

2、onstratesomekeyaspectsofanddifferencesbetweentraditionalandbehavioralfinance.Statement1(fromacolleague):Whennewinformationonacompanybecomesavailable,Iadjustmyexpectationsforthatcompanysstockbasedonpastexperienceswithsimilarinformation/1(fromaclient):Whenconsideringinvestments,Ihavealwayslikedusinglo

3、ngoptionpositions.Iliketheirrisk/returntradeoffs.Mypersonalestimatesoftheprobabilityofgainsseemtobehigherthanthatimpliedbythemarketprices.Iamnotsurehowtoexplainthat,buttomelongoptionsprovidetremendousupsidepotentialwithlittlerisk,giventhelowprobabilityoflimitedlosses.(fromaclient):Ihavealwaysfollowe

4、dabudgetandhavebeenadisciplinedsaverfordecades.EveninhardtimeswhenIhadtoreducemyusualdiscretionaryspending,Ialwaysmanagedtosave.HCase:MimiFongStatement4(fromacolleague):WhileItrytomakedecisionsanalytically,Idobelievethemarketscanbedrivenbytheemotionsofothers.SoIhavefrequentlyusedbuy/sellsignalswheni

5、nvesting.Also,my20yearsofexperiencewithmanagerswhoactivelytradeonsuchinformationmakesmethinktheyareworththefeestheycharge.,zStatement5(fromacolleague):,Mostofmyclientsneedawell-informedadvisortoanalyzeinvestmentchoicesandtoeducatethemontheiropportunities.Theyprefertobepresentedwiththreetosixviablest

6、rategiestoachievetheirgoals.Theyliketobeabletomatchtheirgoalswithspecificinvestmentallocationsorlayersoftheirportfolio.Case:MimiFongStatement6(fromaclient):Ifollowadisciplinedapproachtoinvesting.Whenastockhasappreciatedby15percent,Isellit.Also,Isellastockwhenitspricehasdeclinedby25percentfrommyiniti

7、alpurchaseprice.Statement7(fromaclient):wOveraII,Ihavealwaysbeenwillingtotakeasmallchanceoflosingupto8percentoftheportfolioannually.Icanacceptanyassetclassestomeetmyfinancialgoalsifthisconstraintisconsidered.Inotherwords,anacceptableportfoliowillsatisfythefollowingcondition:Expectedreturn-1.645Expec

8、tedstandarddeviation-8%.WhichofthefollowingstatementsismostconsistentwithexpectedCase:MimiFongSSolution:CStatement3ismostconsistentwithexpectedutilitytheory.Theclientexhibitsself-controlandisabletodeferconsumption.Thisclientisconsideringshort-termandlong-termgoalsandattemptingtomaximizethepresentval

9、ueofutility.InStatement1,beliefsarebeingupdatedusingheuristicsratherthanBayes,formula.Statement2isconsistentwithprospecttheory;theclientisoverweightingtheprobabilityofahighfinancialimpactoutcome(gainsonoptions)andunderweightingtheprobabilityofaloss(theoptionpremiumcost).Case:MimiFongWhichofthefollow

10、ingstatementsmostlikelyindicatesabeliefthattechnicalanomaliesexistinthecapitalmarkets?Solution:BStatement4indicatesthebeliefthatbuy/sellsignalscanbeusedtoearnexcessreturns.Statement4indicatesthatmarketscanbeinfluencedbytheemotionsofothers(sentiment).Thisisconsistentwithabehavioralapproachtoassetpric

11、ingthatincludessentimentsuchasthebehavioralstochasticdiscountfactor-basedassetpricingmodelproposedbyShefrin.Case:MimiFongSB.boundedrationality.C.mentalaccountingbias.Case:MimiFong3Solution:CTheclientsdiscussedinStatement5exhibitmentalaccountingbiasbecausetheyconsidertheirportfoliobymatchingitslayers

12、togoals.Theclientsmaynothavetimethemselvestoexaminetheinvestmentuniverseandarriveatoptimalsolutions,buttheyrelyontheiradvisertodothisforthem.Thus,theydonotexhibitboundedrationality.TheclientofStatement6ismostlikelybehavingconsistentlywith:A.prospecttheory.B.expectedutilitytheory.C.behavioralportfoli

13、otheory.TheclientofStatement6isbehavingconsistentlywithbehavioralportfoliotheory.Theclientsellsandholdsastocknotbecauseofthestock,spotential,butratherfromafearofthestockdeclininginvalueandgainsdissipatingandanaversiontorealizinglosses.Loss-aversioninprospecttheoryisdiscussedfromadifferentperspective

14、.Case:MimiFongSTheclientofStatement7wouldmostlikelyagreewithwhichofthefollowingStatements?cfafrmcpacmavideofweixin:804283381A.Istriveforamean-varianceefficientportfolio.B.Iconstructmyportfolioinlayerstomeetmygoals.C.Iamloss-averseandhaveavaluefunctionthatissteeperforlossesthangains.Case:MimiFong3Sol

15、ution:ATheclientisexpressingaportfoliogoalthatconsidersexpectedreturnandstandarddeviation.Thisisconsistentwithtraditionalfinanceandtheclientislikelytopreferamean-varianceefficientportfolio.Thereisnothinginthestatementthatindicatesloss-aversionasopposedtorisk-aversionorapreferenceforconstructingaport

16、folioinlayers.TheBehavioralBiasesofIndividualsHCase:TiffanyJordanTiffanyJordanisahedgefundmanagerwithahistoryofoutstandingperformance.Forthepast10years,Jordan,sfundhasusedanequitymarketneutralstrategy(long/shortstrategythatstrivestoeliminatemarketrisk;i.e.1betashouldbezero)whichhasprovedtobeeffectiv

17、easaresultofJordanshardwork.Anequitymarketneutralstrategynormallygenerateslargedailytradingvolumeandshiftsinindividualsecuritypositions.Jordan,sreputationhasgrownovertheyearsasherfundhasconsistentlybeatenitsbenchmark.EmployeeturnoveronJordan,steamhasbeenhigh;shehasatendencytobequicktoblame,andrarely

18、givescredittoteammembersforsuccess.Duringthepasttwelvemonths,herfundhasbeensignificantlyunderperformingagainstitsbenchmark.HCase:TiffanyJordanOneofJordansjunioranalysts,JeremyTang,isconcernedabouttheunderperformanceandnotesthefollowing:Observation1Certainpositionsaresignificantlyunderwater,havemuchh

19、igherriskprofiles,andhavebeenheldformuchlongerthannormal.Observation2Thetradingvolumeofthefundhasdecreasedbymorethan40percentduringthepastyear.Observation3Theportfolioismoreconcentratedinafewsectorsthaninthepast.Tangisworriedthattheportfoliomaybeinviolationofthefund,sInvestmentPolicyStatement(IPS).T

20、angbringsthistoJordansattentionduringaregularweeklyteammeeting.JordandismissesTangsanalysisandtellstheteamnottoworrybecausesheknowswhatsheisdoing.Jordanindicatesthatsinceshebelievesthepricingmisalignmentwillcorrectitself,theportfoliowillnotbeabletotakeadvantageofthereversiontothemeanifshesellscertai

21、nlosingpositions.Shereassurestheteamthatthisstrategyhasperformedwellinthepastandthatthemarketswillrevertandthefundsreturnswillreturntonormallevels.TangtactfullysuggeststhattheteamreviewthefundsIPStogether,andJordaninterruptshimandremindstheteamthatshehasmemorizedtheIPSbyheart.Tangcontemplateshisnext

22、step.HeisconcernedthatJordanisdisplayingbehavioralbiaseswhichareaffectingthefundsperformance.SCase:TiffanyJordanBytakingcreditforsuccessesbutassigningblameforfailures,Jordanismostlikelydemonstrating:A.loss-aversionbias.Case:TiffanyJordan3Solution:BSelf-attributionisabiasinwhichpeopletakecreditforsuc

23、cessesandassignresponsibilitiesforfailure.Jordanattributessuccessfuldecisionstoherselfwhilepoordecisionsareattributedtotheteam.Herselfesteemaffectshowshelooksatsuccessandfailure.Self-attributionandillusionofknowledgebiasescontributetooverconfidencebias,whichJordanclearlydemonstrateslaterwhenshetells

24、theteamthatsheknowswhatsheisdoing.WhichofTang,sobservationsisleastlikelytobetheconsequenceofJordandemonstratingloss-aversionbias?1.ossaversionbyitselfmaycauseasectorconcentration;however,amarketneutralstrategytendstofocusonindividualstockswithoutregardtothesector.Thesectorexposurewouldbemitigatedwit

25、hthebalancingoftheindividuallongandshortpositions.SCase:TiffanyJordanWhichofJordansactionsleastsupportsthatshemaybeaffectedbytheillusionofcontrolbias?A.HerdismissalofTang,sanalysis.Case:a11ffanyJordanSolution:BHoldingweeklyteammeetings；whichwouldindicateawillingnesstolistentofeedbackfromothers,isnot

26、representativeoftheillusionofcontrolbias.Theillusionofcontrolbiasisoneinwhichpeoplebelievetheycancontroloutcomes.Individualsexhibitingthisbiasdisplaygreatcertaintyintheirpredictionsofoutcomesofchanceeventsandignoreothersviewpoints.Jordanissurethatthemarketwillturnaroundeventhoughitisoutofhercontrol.

27、ShechoosesnottolistentoTangwhoisquestioningherviewpoint.B.Reducingtheportfolioturnoverthisyear.C.Decidingtoholdthelosingpositionsuntiltheyturnaround.SCase:TiffanyJordanSolution:CJordansbehaviorisaclassicexampleoflossaversion:Whenalossoccurs,sheholdsontothesepositionslongerthanwarranted.Bydoingso,Jor

28、danhasacceptedmoreriskintheportfolio.Loss-aversionbiasisoneinwhichpeopleexhibitastrongpreferencetoavoidlossesversusachievinggains.Oneoftheconsequencesoflossaversionbiasisthatthefinancialmanagementprofessional(inthiscase,Jordan)mayholdlosinginvestmentsinthehopethattheywillreturntobreak-evenorbetter.C

29、ase:TiffanyJordanA.Endowment.Jordanexhibitsoverconfidenceinseveralways.SheignorestheanalysisdonebyTang.ThismaybebecauseJordanbelievessheissmarterandmoreinformedthanherteammembers,whichistypicalofanindividualwithanillusionofknowledgebias.Thecertaintyshedemonstratesthatthemarketwillrevertisevidenceofo

30、verconfidence.Heroverconfidenceisintensifiedbyherself-attributionbias,whichisdemonstratedthroughherdealingswithherteamwhensheblamesthemforlosseswhiletakingcreditforthegains.Finally,herportfoliosunderperformanceagainstthebenchmarkisaconsequenceofoverconfidencebias.Case:TiffanyJordanHB.Representativen

31、ess.C.Illusionofknowledge.Solution:BBiscorrectNowhereinthescenariodiditmentionthatJordanapersonalizedcategory.Representativenessbiasisacognitivebiasinwhichpeopletendtoclassifynewinformationbasedonpastexperiencesandclassifications.Jordanisnotrelatingthecertaintyaboutthefutureorherdecisiontoholdlosing

32、positionsbacktosomethingshehasdoneorexperiencedinthepast.Case:TiffanyJordanWhichofTangsfindingsisnotatypicalconsequenceofself-controlbias?A.Failuretoexploreotherportfolioopportunities.B.Assetallocationimbalanceproblemsintheportfolio.C.Ahigherriskprofileintheportfolioduetopursuitofhigherreturns.Faili

33、ngtoexploreotheropportunitiesisademonstrationofstatusquobias,notself-control.Self-controlbiasoccurswhenindividualsdeviatefromtheirlong-termgoals,inthiscase,theinvestmentpolicystatement,duetoalackofself-discipline.Jordanisnotadheringtothestrategywhichhasbeensuccessfulinthepast.Theconsequencesofself-c

34、ontrolbiasincludeacceptingtoomuchriskintheportfolio(C)andassetallocationimbalanceproblems(B)asJordanattemptstogeneratehigherreturns.Case:IanWangIanWangrCFA,isafinancialadvisoratGarnierBrothers,aUSmoneymanagementfirm.HebecameafinancialadvisorseveralyearsagoafterreceivinghisCFAcharterandcurrentlyhasth

35、reehigh-net-worthindividualsasclients.Wangisconductinghisannualreviewofeachclientsinvestmentpolicystatementalongwiththeirrecentlycompletedrisktolerancequestionnaires.Heisreflectingontheirvaryingpsychographiccharacteristics:MichaelPerezisasuccessful45-year-oldinvestmentbanker.WangdescribesPerezasapas

36、siveinvestorwhoissensibleandsecure.Perezexhibitslowtomediumrisktolerancebutoftenoverestimateshisrisktolerance.Hisbiasesincludehindsight,framing,andregretaversion.Onhisquestionnaire,Perezindicatedadesireforwealthpreservationwhilewantingtoinvestasignificantportionofhisassetsinhisemployersstock.SarahJo

37、hnsonisanindependent-minded45-year-oldrealestatedeveloperwhohashistoricallyutilizedsignificantamountsoffinancialleverage.PriortobecomingaGarnierclientJohnsonmanagedherowninvestmentportfolio,whichwasconcentratedinjustafewstocks.Johnsonexhibitsagreatdealofconfidenceandhighrisktolerance.Johnson,sbiases

38、includeillusionofcontrolandoverconfidence.Onherquestionnaire,Johnsonindicatedadesireforwealthaccumulationandanaversiontoinvestinginnon-USequities.Inaddition,sheindicatedthatherrisktolerancetowardastockinvestmentwouldincreasesignificantlyifsheknewthatmorethanoneofGarniersresearchanalystssupportedit.C

39、ase:IanWangNealPatelisa66-year-oldbillionairewhoaccumulatedhiswealthbystartingasuccessfulretailbusiness.WangdescribesPatelascautiousandconcernedaboutthefuture.Patelisconcernedaboutprotectinghisassetsandoftenseeksadvicefromthoseheperceivesasbeingmoreknowledgeablethanhimself.Patelexhibitslowrisktolera

40、nce.Patesbiasesincludeendowmentlossaversion,andstatusquo.PatelindicatedthathisrisktolerancewouldincreasesignificantlyifheknewthataninvestmenthadtheunanimoussupportofGarnierzSPrivateWealthInvestmentCommittee,cfafrmcpacmavideo,weixin:804283381TherewasonecommonobservationthatWangnotedinallthreequestion

41、naires:AllthreeclientsindicatedthattheywouldperceiveacompanywithagoodgrowthrecordandgoodprevioussharepriceperformanceasagoodinvestmentCase:IanWangOnceWangcompleteshisannualreview,herevisestheinvestmentpolicystatementfortheclientsapproval.Aftertheclientapprovestherevisedpolicystatement,theportfoliofo

42、rtheclientwillbereviewedtodetermineanynecessaryreallocations.WangislimitedbyGarnierastothespecificinvestmentoptionsthatcanbeplacedinaclientsportfolio;onlysecuritiesthatarecoveredbyGarniersresearchanalystsandapprovedbythePrivateWealthInvestmentCommitteecanbeplacedinaclientsportfolio.Garnierisconfiden

43、tthatitsanalystsprovidesuperiorforecastsandratingsbecausetheyuseaBayesianapproach.Garnierisalsoproudofitsinvestmentapprovalprocess.ThePrivateWealthInvestmentCommitteeregularlymeetstodiscussanddebateeachsecurityandthenvotesonwhichwillbeapproved.Wangisscheduledtomeetwithhissupervisornextweektodiscusst

44、heresultsofhisannualreviewandrecommendedportfolioreallocations.A.educatePerezonthebenefitsonportfoliodiversification.B.limitJohnson,sroleintheinvestmentdecision-makingprocess.C.providePatelwithdetailslikestandarddeviationsandSharperatios.Case:IanWang匾ISolution:CThiswouldnotbeaneffectivewaytoadvisePa

45、tel.GivenPatesinformation,heislikelytobemorereceptivetobigpicture*advicethatdoesnotdwellondetailslikestandarddeviationsandSharperatios.Heisemotionallybiasedandprovidingexcessivecognitivedetailwilllosehisattention.Heneedstobeconvincedofhisadvisor,sgeneralphilosophyfirstandthen,astrustisgained,hewillr

46、espondtoadviceandtakeaction.(PatelisaPassivePreserver.)Case:IanWangAtraditionalrisktolerancequestionnaireismostlikelytobeeffectiveasadiagnostictoolfor:A.Patel.Solution:BPerezexhibitsprimarilycognitiveratherthanemotionalbiases.Althoughrisktolerancequestionnairesmayfailforemotionallybiasedindividualsa

47、ndworkbestforinstitutionalinvestors,theyaregenerallyeffectiveforcognitive-basedindividuals.WhichofthefollowingbehavioralbiaseswouldbemostrelevantinconstructingaportfolioforJohnson?A.Homebias.Solution:AHomebiasisevidentinJohnsonsquestionnaire.Johnsonhasexpressedanaversiontoinvestinginnon-USequities.F

48、amiliaritywiththeircountrymayleadinvestorstoownhighconcentrationsofdomesticassetsandignorethebenefitsofinternationaldiversification.Case:IanWangSWhichinvestmentportfolioisleastlikelytodeviatefromthemeanvarianceportfolio?Perezhasprimarilycognitiveerrorbiases.Accordingly,itislikelythat,witheducation,theimpactofthesebiasescanbereducedoreveneliminated.Becausecognitivebiasesdominate,Wangshouldseektomoderatetheeffectofthesebiasesandadoptaprogramtoreduceoreliminatethebiasratherthanacceptthebias.Theresultwillbeaportfoliothatissimilartothe