JPMorgan的行为金融学.pptx

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1、Guess 2/3 of the average of the class numbers!Introduction to Behavioral FinanceApproaches to InvestingCommon biases and anomaliesEMH and biased investorsFuture of Behavioral FinancePhilosophy: Irrational investor behavior leads to market anomalies that can be exploited with a disciplined trading ap

2、proach. Behavioral investing is based on research into human behavior in financial markets.1980s: Anomalies in stock prices and new behavioral finance theory1992: JP Morgans first behavioral finance mutual fund in LondonLate 1990s: Offers wider range of mutual funds in U.K. and Europe2003: JP Morgan

3、 launches behavioral finance in the U.S.Late 2006: AUM in behavioral funds over $20 billion in the U.S. Over $76 billion worldwide.Behavioral23%Research Model17%Manager Driven34%Other26%JP Morgan U.S. Equity Retail Mutual Funds(Assets Under Management)Research Model PlatformBottom-up approach, based

4、 on analysts forecastsDividend Discount ModelRankings form basis for portfolioManager Driven PlatformCombines skills of analysts with experienced portfolio managersFundamental analysisBehavioral PlatformSeeks to add value by Identifying anomalies in pricing Consistency DiversificationMomentumValueEa

5、rnings SurpriseMergerApparent High RiskInvestment processA multi-factor model is used to create portfolios based on factors such as price momentum, earnings momentum, value and growthApplied to a range of stock typesStocks are screened for growth and value characteristics-3.00%-2.00%-1.00%0.00%1.00%

6、2.00%3.00%4.00%5.00%6.00%7.00%YTD1 Year3 YearSince Inception Large-Cap CoreLarge-Cap GrowthLarge-Cap ValueMid-Cap CoreDifference between Intrepid Funds and Lipper Benchmarks by Style (Jun 2006)0.00%5.00%10.00%15.00%20.00%25.00%YTD1 year3 YearSince InceptionIntrepid AmericaLipper Benchmark-5.00%0.00%

7、5.00%10.00%15.00%20.00%YTD1 year3 YearSince InceptionIntrepid GrowthLipper Benchmark0.00%5.00%10.00%15.00%20.00%25.00%YTD1 year3 YearSince InceptionIntrepid ValueLipper Benchmark0.00%2.00%4.00%6.00%8.00%10.00%12.00%14.00%16.00%18.00%20.00%YTD1 year3 YearIntrepid Mid-CapLipper BenchmarkRepeatable, di

8、sciplined processIncreased return potentialAdded layers of diversificationComplements traditional fundsBehavioral finance fundTraditionally managed stockTraditionally managed stockOverconfidence E.G. Fadi Kanaan & Dirk Jenter - “CEO Turnover and Relative Performance Evaluation” Prospect Theory Allai

9、s Paradox Recency Effect Overreaction & Availability Bias E.G. Werner De Bondt and Richard Thaler - Does the Market Overreact?“Herd Behavior Gamble FallacyConfirmation Biases Mental AccountingAnchoring E.G. Kanheman & Tversky - “Judgment Under Uncertainty: Heuristics And Biases” Cheap Stocks outperf

10、orm Expensive Stocks High B/M ratio, low P/E ratio, low P/S ratioStocks continue moving in the same direction News is not immediately reflected Equity Premium PuzzleGood news leads to Overly High Stock Price Bad news leads to Too Low Stock PriceMispricing Winning stocks tend to be overpriced Calenda

11、r Effect December & January EffectCheap Stocks Outperforming Expensive StocksOverconfidence &Herd BehaviorOverpaying for perceived good companies and ignoring supposedly bad onesRecency EffectInvestors assess future prospects based on recent past resultsStocks continue moving in the same direction P

12、rospect Theory Investors need more premium to invest in riskier assetsEquity Premium PuzzleNews is not immediately reflected in forecastsAnalysts dismiss new info that contradicts original assessmentAnchoring & Confirmation BiasesProspect Theory, Gamble FallacyHold on to losing stock and sell winnin

13、g stockMispricingOverreaction & Availability Bias Heavily weight decisions toward more recent info, making any new opinion biased toward that latest newsGood news drives stock price up by too much & bad news drives stock price down by too muchMental AccountingInvestors discount previously winning st

14、ocks at lower rate and vice versaWinning Stocks tend to be overvalued Investors want to avoid taxCalendar EffectCheap Stocks Outperforming Expensive StocksWinning Stocks tend to be overpriced VALUE INVESTINGStocks continue moving in the same direction News is not immediately reflected in forecastsGo

15、od news drive stock price up & bad news drive stock price downMOMENTUM INVESTINGMarket anomalies are caused by either behavioral biases or institutional imperfections, e.g. inefficient markets, temporary supply and demand imbalancesBehavioral biases and anomalies exist in all 3 forms of the efficien

16、t market strong, semi-strong, and weak Will they continue to exist or be arbitraged away? In strong-form EM: prices reflect all information available, and thus, stocks are fairly priced Irrational investors however, end up choosing stocks based on these biases lose money If they continue to act based on their biases, they will eventually be driven out of the market But: Sheer luck may enable them to stay in the marketIn Semi-Strong EM: All publicly available information is reflected in the price