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

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1、一皿毋s1lllv工Oluds-dZ sasset management to her colleagues decides to enliven and clients. TheseMimiFong,CFA,aprivatewealthmanagerwithanfirm,hasbeenaskedtomakeapresentationcomparingtraditionalandbehavioralfinance.Sheherpresentationwithstatementsfromcolleaguesstatementsareintendedtodemonstratesomekeyaspe

2、ctsofanddifferencesbetweentraditionalandbehavioralfinance.AStatement1cfafrmcpacmavideo,weixin:804283381(fromacolleague):nWhennewinformationonacompanybecomesavailable,Iadjustmyexpectationsforthatcompanysstockbasedonpastexperienceswithsimilarinformation/*(fromaclient):Whenconsideringinvestments,Ihavea

3、lwayslikedusinglongoptionpositions.Iliketheirrisk/returntradeoffs.Mypersonalestimatesoftheprobabilityofgainsseemtobehigherthanthatimpliedbythemarketprices.Iamnotsurehowtoexplainthat,buttomelongoptionsprovidetremendousupsidepotentialwithlittlerisk,giventhelowprobabilityoflimitedlosses/(fromaclient):I

4、havealwaysfollowedabudgetandhavebeenadisciplinedsaverfordecades.EveninhardtimeswhenIhadtoreducemyusualdiscretionaryspending,Ialwaysmanagedtosave.(fromacolleague):WhileItrytomakedecisionsanalytically,Idobelievethemarketscanbedrivenbytheemotionsofothers.SoIhavefrequentlyusedbuy/sellsignalswheninvestin

5、g.Also,my20yearsofexperiencewithmanagerswhoactivelytradeonsuchinformationmakesmethinktheyareworththefeestheycharge.Statement5(fromacolleague):Mostofmyclientsneedawell-informedadvisortoanalyzeinvestmentchoicesandtoeducatethemontheiropportunities.Theyprefertobepresentedwiththreetosixviablestrategiesto

6、achievetheirgoals.Theyliketobeabletomatchtheirgoalswithspecificinvestmentallocationsorlayersoftheirportfolio.4N*W*OMMM-H(fromaclient):followadisciplinedapproachtoinvesting.Whenastockhasappreciatedby15percent,Isellit.Also,Isellastockwhenitspricehasdeclinedby25percentfrommyinitialpurchaseprice.A(froma

7、client):Overall,Ihavealwaysbeenwillingtotakeasmallchanceoflosingupto8percentoftheportfolioannually.Icanacceptanyassetclassestomeetmyfinancialgoalsifthisconstraintisconsidered.Inotherwords,anacceptableportfoliowillsatisfythefollowingcondition:Expectedreturn-1.645Expectedstandarddeviation-8%.AWhichoft

8、hefollowingstatementsismostconsistentwithexpectedA.Statement1.B.Statement2.C.Statement3.1Statement3ismostconsistentwithexpectedutilitytheory.Theclientexhibitsself-controlandisabletodeferconsumption.Thisclientisconsideringshort-termandlong-termgoalsandattemptingtomaximizethepresentvalueofutility.InSt

9、atement1,beliefsarebeingupdatedusingheuristicsratherthanBayes,formula.Statement2isconsistentwithprospecttheory;theclientisoverweightingtheprobabilityofahighfinancialimpactoutcome(gainsonoptions)andunderweightingtheprobabilityofaloss(theoptionpremiumcost).Whichofthefollowingstatementsmostlikelyindica

10、tesabeliefthatA.Statement2.B.Statement4.C.Statement6.Statement4indicatesthebeliefthatbuy/sellsignalscanbeusedtoearnexcessreturns.9HHMMM*MMnwm*WUifBUril0Statement4indicatesthatmarketscanbeinfluencedbytheemotionsofothers(sentiment).Thisisconsistentwithabehavioralapproachtoassetpricingthatincludessenti

11、mentsuchasthebehavioralstochasticdiscountfactor-basedassetpricingmodelproposedbyShefrin.,*1tiHt-HttIOWitfffMUVCCBMFflMbfI=PUO-IBJPPUnoqCQAIUO4BJ.!SPB上LPPUnoqI-qzxIoUUoA-A-c-二nqOPA一n-c-l.LuIllJoJlOPOISUOAn-OS-BLUOlBebPUeBSJSUnIUUJlS七U-IUBXOlSsluUJ=sAeUJSIU-P-cl.-rooOI-BAe-s6U-LplelUAqO=Ojod一一puouA-c-

12、lBSneUBqSRqSflUrIOXJB-BIUIUzSIUIUls-SlU-Pt;dsjdIUJpIU0JPSSrDS-P-l-0uol-n-oroo.0-SU-Z-BBJOIUo-SJBUBPUB6三IBd-SS-PSU-B6pu3n-BU-6-u-pppos一oBeUJ0上WgInq-,-WodS-U01S一OBSneUBqIoU01sBSP-OIlPUBS=SLPIII.XJOBWO-OPJOd-PJoBJZqllM-1U一-suouCTo-9IUIUl3lsJo1U-PIllU三o-owAHATheclientofStatement7wouldmostlikelyagreewith

13、whichoftheC.Iamloss-averseandhaveavaluefunctionthatissteeperforlossesthangains.HTheclientisexpressingaportfoliogoalthatconsidersexpectedreturnandstandarddeviation.Thisisconsistentwithtraditionalfinanceandtheclientislikelytopreferamean-varianceefficientportfolio.Thereisnothinginthestatementthatindica

14、tesloss-aversionasopposedtorisk-aversionorapreferenceforconstructingaportfolioinlayers.S-BnPPUIM-Osose-soeqCQ-H8三sHTiffanyJordanisahedgefundmanagerwithahistoryofoutstandingperformance.Forthepast10years,Jordansfundhasusedanequitymarketneutralstrategy(long/shortstrategythatstrivestoeliminatemarketrisk

15、;i.e.,betashouldbezero)whichhasprovedtobeeffectiveasaresultofJordan,shardwork.Anequitymarketneutralstrategynormallygenerateslargedailytradingvolumeandshiftsinindividualsecuritypositions.Jordansreputationhasgrownovertheyearsasherfundhasconsistentlybeatenitsbenchmark.EmployeeturnoveronJordan,steamhasb

16、eenhigh;shehasatendencytobequicktoblame,andrarelygivescredittoteammembersforsuccess.Duringthepasttwelvemonths,herfundhasbeensignificantlyunderperformingagainstitsbenchmark.1OneofJordansjunioranalysts,JeremyTang,isconcernedabouttheUnderperformanceandnotesthefollowing:Certainpositionsaresignificantlyu

17、nderwater,havemuchhigherriskprofiles,andhavebeenheldformuchlongerthannormal.Observation2Thetradingvolumeofthefundhasdecreasedbymorethan40percentduringthepastyear.Theportfolioismoreconcentratedinafewsectorsthaninthepast.TangisworriedthattheportfoliomaybeinviolationofthefundzsInvestmentPolicyStatement

18、(IPS).TangbringsthistoJordansattentionduringaregularweeklyteammeeting.JordandismissesTang,sanalysisandtellstheteamnottoworrybecausesheknowswhatsheisdoing.Jordanindicatesthatsinceshebelievesthepricingmisalignmentwillcorrectitself,theportfoliowillnotbeabletotakeadvantageofthereversiontothemeanifshesel

19、lscertainlosingpositions.Shereassurestheteamthatthisstrategyhasperformedwellinthepastandthatthemarketswillrevertandthefundsreturnswillreturntonormallevels.Tangtactfullysuggeststhattheteamreviewthefund,sIPStogether,andJordaninterruptshimandremindstheteamthatshehasmemorizedtheIPSbyheart.Tangcontemplat

20、eshisnextstep.HeisconcernedthatJordanisdisplayingbehavioralbiaseswhichareaffectingthefund,sperformance.ElABytakingcreditforsuccessesbutassigningblameforfailures,Jordanismostlikelydemonstrating:UO*UOQUWHHnI9WgW*VUM!KmPaaIKIHSelf-attributionisabiasinwhichpeopletakecreditforsuccessesandassignresponsibi

21、litiesforfailure.Jordanattributessuccessfuldecisionstoherselfwhilepoordecisionsareattributedtotheteam.Herself-esteemaffectshowshelooksatsuccessandfailure.Self-attributionandillusionofknowledgebiasescontributetooverconfidencebias,whichJordanclearlydemonstrateslaterwhenshetellstheteamthatsheknowswhats

22、heisdoing.HAWhichofTang,sobservationsisleastlikelytobetheconsequenceof1.ossaversionbyitselfmaycauseasectorconcentration;however,amarketneutralstrategytendstofocusonindividualstockswithoutregardtothesector.Thesectorexposurewouldbemitigatedwiththebalancingoftheindividuallongandshortpositions.-0IUFDPUB

23、PUn0BEnll3UJ0EE0BHUctee-aM6u-p-0qOou4no二工.8AqP：PJqABEJzSlStoddnsJSDASUo-:P3S3PJ0f4。IP三vA1Holdingweeklyteammeetings,whichwouldindicateawillingnesstolistentofeedbackfromothers,isnotrepresentativeoftheillusionofcontrolbias.Theillusionofcontrolbiasisoneinwhichpeoplebelievetheycancontroloutcomes.Individu

24、alsexhibitingthisbiasdisplaygreatcertaintyintheirpredictionsofoutcomesofchanceeventsandignoreothersviewpoints.Jordanissurethatthemarketwillturnaroundeventhoughitisoutofhercontrol.ShechoosesnottolistentoTangwhoisquestioningherviewpoint,cfafrmcpacmavideo,weixin:804283381uAS-IJOIunlO-OjIJodL6upnp七cd1Jo

25、rdan,sbehaviorisaclassicexampleoflossaversion:Whenalossoccurs,sheholdsontothesepositionslongerthanwarranted.Bydoingso,Jordanhasacceptedmoreriskintheportfolio.Loss-aversionbiasisoneinwhichpeopleexhibitastrongpreferencetoavoidlossesversusachievinggains.Oneoftheconsequencesoflossaversionbiasisthatthefi

26、nancialmanagementprofessional(inthiscase,Jordan)mayholdlosinginvestmentsinthehopethattheywillreturntobreak-evenorbetter.HAWhichofthefollowingemotionalbiaseshasJordanmostlikelyexhibited?A.Endowment.1Jordanexhibitsoverconfidenceinseveralways.SheignorestheanalysisdonebyTang.ThismaybebecauseJordanbeliev

27、essheissmarterandmoreinformedthanherteammembers,whichistypicalofanindividualwithanillusionofknowledgebias.Thecertaintyshedemonstratesthatthemarketwillrevertisevidenceofoverconfidence.Heroverconfidenceisintensifiedbyherself-attributionbias,whichisdemonstratedthroughherdealingswithherteamwhensheblames

28、themforlosseswhiletakingcreditforthegains.Finally,herportfoliosunderperformanceagainstthebenchmarkisaconsequenceofoverconfidencebias.HB.Representativeness.Biscorrect.NowhereinthescenariodiditmentionthatJordanclassifiedcertaininformationintoapersonalizedcategory.Representativenessbiasisacognitivebias

29、inwhichpeopletendtoclassifynewinformationbasedonpastexperiencesandclassifications.Jordanisnotrelatingthecertaintyaboutthefutureorherdecisiontoholdlosingpositionsbacktosomethingshehasdoneorexperiencedinthepast.HAWhichofTang,sfindingsisnotatypicalconsequenceofself-controlB.Assetallocationimbalanceprob

30、lemsintheportfolio.C.Ahigherriskprofileintheportfolioduetopursuitofhigherreturns.1Failingtoexploreotheropportunitiesisademonstrationofstatusquobias,notself-control.Self-controlbiasoccurswhenindividualsdeviatefromtheirlong-termgoals,inthiscase,theinvestmentpolicystatement,duetoalackofself-discipline.

31、Jordanisnotadheringtothestrategywhichhasbeensuccessfulinthepast.Theconsequencesofself-controlbiasincludeacceptingtoomuchriskintheportfolio(C)andassetallocationimbalanceproblems(B)asJordanattemptstogeneratehigherreturns.sssuo,ldWoeISOMIIPUeuccz-eboell86三sHIanWang,CFA,isafinancialadvisoratGarnierBroth

32、ers,aUSmoneymanagementfirm.HebecameafinancialadvisorseveralyearsagoafterreceivinghisCFAcharterandcurrentlyhasthreehigh-net-worthindividualsasclients.Wangisconductinghisannualreviewofeachclientsinvestmentpolicystatementalongwiththeirrecentlycompletedrisktolerancequestionnaires.Heisreflectingontheirva

33、ryingpsychographiccharacteristics:MichaelPerezisasuccessful45-year-oldinvestmentbanker.WangdescribesPerezasapassiveinvestorwhoissensibleandsecure.Perezexhibitslowtomediumrisktolerancebutoftenoverestimateshisrisktolerance.Hisbiasesincludehindsight,framing,andregretaversion.Onhisquestionnaire,Perezind

34、icatedadesireforwealthpreservationwhilewantingtoinvestasignificantportionofhisassetsinhisemployersstock.1SarahJohnsonisanindependent-minded45-year-oldrealestatedeveloperwhohashistoricallyutilizedsignificantamountsoffinancialleverage.PriortobecomingaGarnierclient,Johnsonmanagedherowninvestmentportfol

35、io,whichwasconcentratedinjustafewstocks.Johnsonexhibitsagreatdealofconfidenceandhighrisktolerance.Johnsonsbiasesincludeillusionofcontrolandoverconfidence.Onherquestionnaire,Johnsonindicatedadesireforwealthaccumulationandanaversiontoinvestinginnon-USequities.Inaddition,sheindicatedthatherrisktoleranc

36、etowardastockinvestmentwouldincreasesignificantlyifsheknewthatmorethanoneofGarnier,sresearchanalystssupportedit.1NealPatelisa66-year-oldbillionairewhoaccumulatedhiswealthbystartingasuccessfulretailbusiness.WangdescribesPatelascautiousandconcernedaboutthefuture.Patelisconcernedaboutprotectinghisasset

37、sandoftenseeksadvicefromthoseheperceivesasbeingmoreknowledgeablethanhimself.Patelexhibitslowrisktolerance.Patel,sbiasesincludeendowment,lossaversion,andstatusquo.Patelindicatedthathisrisktolerancewouldincrease significantly unanimous support Committee.A There was one commonifheknewthataninvestmentha

38、dtheofGarnierzSPrivateWealthInvestmentobservationthatWangnotedinallthreequestionnaires:Allthreeclientsindicatedthattheywouldperceiveacompanywithagoodgrowthrecordandgoodprevioussharepriceperformanceasagoodinvestment.OnceWangcompleteshisannualreview,herevisestheinvestmentpolicystatementfortheclientsap

39、proval.Aftertheclientapprovestherevisedpolicystatement,theportfoliofortheclientwillbereviewedtodetermineanynecessaryreallocations.WangislimitedbyGarnierastothespecificinvestmentoptionsthatcanbeplacedinaclientsportfolio;onlysecuritiesthatarecoveredbyGarnier,sresearchanalystsandapprovedbythePrivateWea

40、lthInvestmentCommitteecanbeplacedinaclientsportfolio.GarnierisconfidentthatitsanalystsprovidesuperiorforecastsandratingsbecausetheyuseaBayesianapproach.Garnierisalsoproudofitsinvestmentapprovalprocess.ThePrivateWealthInvestmentCommitteeregularlymeetstodiscussanddebateeachsecurityandthenvotesonwhichw

41、illbeapproved.Wangisscheduledtomeetwithhissupervisornextweektodiscusstheresultsofhisannualreviewandrecommendedportfolioreallocations.S04Bd03llsPUesu04-PpBPUB|二S=BlBPqM-IBdPso-IdSSsodBumbLUIUO-SPPIULuls-三Wlu-000E-UO4VspO=OJt-od0Siuq0ZaJd-BUnPBCQp-sAElThiswouldnotbeaneffectivewaytoadvisePatel.GivenPat

42、esinformation,heislikelytobemorereceptivetobigpictureadvicethatdoesnotdwellondetailslikestandarddeviationsandSharperatios.Heisemotionallybiasedandprovidingexcessivecognitivedetailwilllosehisattention.Heneedstobeconvincedofhisadvisor,sgeneralphilosophyfirstandthen,astrustisgained,hewillrespondtoadvic

43、eandtakeaction.(PatelisaPassivePreserver.)1AtraditionalrisktolerancequestionnaireismostlikelytobeeffectiveasPerezexhibitsprimarilycognitiveratherthanemotionalbiases.Althoughrisktolerancequestionnairesmayfailforemotionallybiasedindividualsandworkbestforinstitutionalinvestors,theyaregenerallyeffective

44、forcognitive-basedindividuals.HAWhichofthefollowingbehavioralbiaseswouldbemostrelevantinA.Homebias.ASolution:AHomebiasisevidentinJohnson,squestionnaire.Johnsonhasexpressedanaversiontoinvestinginnon-USequities.Familiaritywiththeircountrymayleadinvestorstoownhighconcentrationsofdomesticassetsandignore

45、thebenefitsofinternationaldiversification.1AWhichinvestmentportfolioisleastlikelytodeviatefromthemean-C.Johnson.Solution:BPerezhasprimarilycognitiveerrorbiases.Accordingly,itislikelythat,witheducation,theimpactofthesebiasescanbereducedoreveneliminated.Becausecognitivebiasesdominate,Wangshouldseektomoderatetheeffectofthesebiasesandadoptaprogramtoreduceoreliminatethebiasratherthanacceptthebias.Theresultwillbeaportfoliothatissimilartothemean