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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
