Event-TimeCumulativeMarket-Adjusted

10192837465564738291100109118127136145154163172181190199208217226235244253262271Return(BuyReturnlessSell101025140- Dollar101025140$NT$NT---- MeanDailyNetofTransactionCosts(140tradingEconomicTheaggregateportfolioofindividualinvestorssufferanannualperformancepenaltyof3.8percentagepoints.Thereturnshortfallisequivalentto2.2percent ’sGDPor2.8percentof Thetotaltradinglosses($NT934billion)representroughly33,85,and170percentoftotalprivateexpendituresonclothing/footwear,andfuel/powerTheaverageinvestorexperiencednettradingandtiminglossesof$NT240,000($US8,100)duringourfiveyearsampleperiod.Duringoursampleperiod,averageannual eperhouseholdwas$NT852,000.Thus,tradingandtiminglossesperinvestorrepresent5.6percentofaverage Incontrast,institutionsenjoyanannualperformanceboostof1.5percentagepoints(aftercommissionsandtaxes,butbeforeothercosts).Combinedtradingandmarket-timinglossesconstituteawealthtransferfromindividualinvestorstoinstitutionalinvestors.Themostprofitablegroupofinstitutionalinvestorsisforeigninvestorswhogarner46.2percentofthetradingandmarket-timinggrossprofitsofinstitutionalinvestors.Thus,nearlyhalfofthewealthtransferfromdomesticindividualstoinstitutionalinvestorsgoestoforeigninstitutions.Cantheprevalenceofdaytradingexplaintheinstitutionalgainsandindividual Daytradingin representsmorethan20percentoftotaltradingvolume.Inaggregate,daytradersearngrossprofits(thoughtheseprofitsarenotsufficienttocovertransactioncosts).Thus,thegrosslossesthatwe forallindividualscannotbetracedtotheactivityofindividualdaytraders.Canthehighturnoverratesin theinstitutionalgainsandindividuallosses? eseindividualinvestorstradeactively—whetherforentertainmentorbecauseofoverconfidence—institutionalinvestorscouldbeearningtheirprofitssimplybysupplyingliquidity.Ifso,wewouldexpectinstitutionalprofitstobegeneratedprimarilybypassivetradesandrealizedatshorthorizons.Whilewedo thatinstitutionalinvestorsearnshorttermprofitsbysupplyingliquiditytoindividualinvestors,approxima yhalfoftheirprofitsarefromaggressivetradesandaccrueathorizonsofuptosixmonths.Thisimpliesthatinstitutionalinvestorsareprofitingfrominformation,notsimplyfromtheirInstitutionswin,Individuals$NT178millionTradingDonoteliminateInstitutionalSeverelyExacerbateIndividualWhydoinstitutionsProvideliquiditytouninformedtraders(short-termprofit)Tradeaggressively(long-termWhydoindividualsWhydoIndividualsRationalLiquidityNeeds,Rebalancingneed,HedgingdemandsSpeculativetrading:EntertainmentandIndividuallossesaretracedtoaggressiveAggressivetradesaremorefun(Entertainment),orInvestorstrademoreaggressivelywhenoverconfident(Overconfidence)貳BehavioralBFtakesintoconsiderationsomeofthepsychologicalbiasesanddecision-makingprocessesofpeople.DainelKahnemanhasusedinsightsfromcognitivepsychologyregardingthementalprocessesofansweringquestions,formingjudgments,andmakingchoices,tohelpusbetterunderstandhowpeoplemakeeconomicTradingwithcrowdIllusionofProspectApplicationsofbehavioralTheAmericanSubmarineAt3:15p.m.onMay27,1968,thesubmarineUSSScorpionwasofficiallydeclaredmissingwithall99menabroad.Shewassomewherewithina20- circleintheAtlantic,farbelowimplosiondepth.Fivemonthslater,afterextensivesearchefforts,herlocationwithinthatcirclewasstillundetermined.JohnCracen,theNavy’stopdeep-waterscientist,hadallbutgivenup.SontagandDrewAtalastgasp.Heaskedagroupofsubmarineandsalvageexpertstobetontheprobabilitiesofdifferentscenariosthatcouldhaveoccurred.Averagingtheirresponses,hepinpointedtheexactlocation(with220yards)wherethemissingsubwasThesecuritiesmarkettodayprobablydoesagoodjobofaggregatingthewisdomofthosethattradeinit.BoundedHaveyouseethemovie—ABeautifulMindWhatdothe l即使專(zhuān)家也會(huì)跌破眼 MutualFund的兩名有名的 經(jīng)經(jīng)濟(jì)學(xué)如何變有錢(qián)》。 時(shí)柯耶犯了尋常無(wú)比的錯(cuò)誤：他 停，1月、日 行瘋地時(shí)過(guò)。丹尼爾．卡尼曼表示，個(gè)人發(fā)現(xiàn)決策難以預(yù)料時(shí)，未 維耶甚 經(jīng)營(yíng)150億避險(xiǎn)基金公司「SAC資本顧問(wèn)」的柯恩， 年全盛時(shí)期一度管理億基金的「管理」，或者放 一個(gè)交易員的不歸路1stround少量進(jìn)場(chǎng)，靜待走勢(shì)是否如自己預(yù)期。果真如預(yù)期，riskavert下獲利了結(jié)。Success帶來(lái)confidence及2ndround有了成功經(jīng)驗(yàn)及賺取的back-upfund后，「主觀」更主宰了決策過(guò)程。對(duì)信息的處理變得較草率，3rdround:Secondsuccess之后，變成「意見(jiàn)」。沒(méi)有意見(jiàn)下，幾乎憑自己的判斷交易。享受被肯定的下，開(kāi)始takeriskALoss1stround之前的成功帶來(lái)的成就感和在眾人前了不傷他的感覺(jué)--「偏誤」2ndround:價(jià)格繼續(xù)下跌，扳回一成的期待落 利：anxietyfear，夸示好消息，刻意規(guī)避壞消息TheLoss3rdroundtrader“降低成本的跌的是且不智的。本的股價(jià)最終還是一路走跌。Fear->panic-> 2.Illusionof據(jù)英 腦損傷與財(cái)務(wù)決這項(xiàng)研究設(shè)定一場(chǎng)二十回合決勝負(fù)的游戲，一開(kāi)始參賽者都獲得二十的籌碼，在每一回合都會(huì)被問(wèn)是否愿意用一來(lái)賭硬幣的正。如果輸了，就輸?shù)裟敲队矌牛A了可拿走二塊五。元，幾乎比「正?！菇M多三。愛(ài)荷華大學(xué)神經(jīng)學(xué)貝恰拉說(shuō)，成功的投資人或形容是「能正常工作的患」。這些人若非控制情緒，就是很少讓情Informationisoflittleuseinamood ernedbygreedorpanic.Everyonerunstheriskofnolongerbeingcapableofmakingrationaldecisionunderpressure.PeopledifferintheirEQ,sodotheextentofirrationalIsitpossible:toyze“hopesandfears”,“greedandambition”,topredictinvestors’financialstressandstrain’?Prospect為什 經(jīng)濟(jì)獎(jiǎng)給了心理學(xué)家ProspectValue展望理論(ProspectTverskyandKahnemanQ&如果有人提供一個(gè)游戲-猜錢(qián)幣的正反100元，贏的時(shí)候，給你?元，你才會(huì)賭？Q& ，成本為每股40 每股50元。假設(shè)上周臺(tái)積電股價(jià)為60會(huì)比較難Q&假設(shè)阿民一個(gè)月50元買(mǎi)進(jìn)某股票，目前該市價(jià)為40元，如果未來(lái)價(jià)格不是10元，就是10元，有該P(yáng)erformanceofDayTheaveragedayMakesgrossLosesmoneyafterHeavydaytraderslosemoneyafter8of10daytradersloseSomedaytradersconsistentlyAccountssortedbyPastDayTradingMeanDailyProfitsper0(0,(0.3m,(15m,(0,(0.3m,(15m,(90m,(600m,

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(.1, (.2,Q&AHHHTTTHotHandPattern-seekingdevice：有偏見(jiàn)采取一種Q& 如何簽樂(lè)Q&A－III請(qǐng)問(wèn)您愿意付哪或高發(fā)生機(jī)率之可能結(jié)=>過(guò)低的權(quán)重這就是為什么人較喜好有機(jī)會(huì)中「大獎(jiǎng)」的 Don’tjust yzethemarket, yzetheStockpatternsemergefromcommonhumanbehavior.Boundedrationalityindecision參MutualFundalReduceBiasesin明 -行為財(cái)務(wù)II基金產(chǎn)品設(shè)計(jì)與避險(xiǎn)基Fuller&ThalerAssetManagement,Inc.isapioneerbehavio