2002 1 25
2
1 1.1 1.2 2 2.1 2.2 3 3.1 3.2 3.3 4 4.1 4.2 4.3 5 5.1 5.2 5.3 6 6.1 6.2 6.3 6.4 6.5 7 7.1 7.2 7.3 3
1 1.1 IOSCO IOSCO1998 Risk Aversion Anomalies 4
Behavior Finance Science, BFS 2001 1996 12 4 Robert J. Shiller. (Irrational Exuberance) 10 1.2 5
1 2 3 1.2.1 1 2 3 4 5 6
6 7 1.2.2 1 2 3 1.2.3 1 2 3 7
2 (BFS, Behavior Finance Science) anomalies 20 50 80 2.1 Samuleson(1956)Fama1965 EMH Markowitz1952 MPT Williams 1938 SharpeLinter Mossin1966 CAPMRoss1976 APTBlack-Scholes1973 1 2 EMH 3 EMH 8
(cognitive bias ) Less than perfectly rational anomalies : DeLong,Shleifer 1990 2.2 9
Russell J. Fuller, Statman, Olsen 3 1936 (animal spirit) Burrell Bauman1951 Simon 1969 Slovic Kahneman Tversky Prospect Theory Shiller(1989 Volatility Odean Non-rational 20 90 Rabin(1998) Thaler Debondt Shrifin Stamann 10
2 3 3.1 2001 2 6022 99.7% 0.3% 1 1995 5000. 1999 5 19 2 2001 7 40 49.42%30 21.78% 68.56% 10 44.92% 3 10 130 11
4 5 3-1 1 120 2 2 50 3 4 5 6 7 1 2 3 4 12
3.2 3-1 13
3-1 Feedback loop 14
3-2 3-2 3.3 3.3.1 15
7894 1998 7 2001 11 1 2 3 3.3.2 70 3.3.3 2001 7 2001 12 4500 800 16
4 4.1 20 50 Maurice Allais 20 50 counter-example 70 Tversky Kahbaman Prospect Theory: an Analysisi of Decision Ender Risk Tversky Kahbaman 80 J.Fin1986 Odean Kahneman Kahneman Tversky 17
Tversky Kahbaman shleifer 4.2 heuristic decision processes 18
4.3 800 340 339 42.27% 80 4.3.1 certainty effect risk aversion 1 A 33% 2500 B 2400 66% 2400 1% 2 19
A 33% 2500 B 34% 2400 67% 66% 1 88.23%89.15% B 2 (85.12%86.56%) A 1 2 1 66% 2400 1 2 1 100% 2400 33%2500 66%2400 1 B 100% 2 33%2500 34%2400 1 A 80% 4000 B 100% 3000 2 A 25% 3000 B 20% 4000 1 (87.22%79.58%) A 2 (71.83%) B 4.3.2 20
10 1500 86.5% 13.5 10 23 23 4.3.3 A 99 99 B? 21
2001 11 19 11 19 12 19 1645 1672 1776 1645 A 1.4% 47.2% 48.6 B 25.6 43.6% 4.3.4 Kahneman Tversky1974 20%20% 20% 60% Kahneman Tversky 20 40 22.7 60 38.2 20 60 22
23
5 7894 5.1 1992 WTO 1 2001 1992 2000 46% 21% 17% 12% 4% 8 20% 16 8 50% 24
4 25% 3 19% 1 6% 2001 1992-2000 52 30 60% 1998 1998 2 3 Event Study Methodology Fama, Fisher, Jensen (1969),Brown and Warner (1980, 1985) MacKinlay1997 (event) window) (normal return) (abnormal return) : Constant Mean-Return (Market Model) 25
F E i, t = µ + ζ 2 ( ζ ) = o Var ( ζ ) = i, t i i, t i, t σ ζ i 1 CF = µ F i, t = logqi( t) i F t Q i, t i(t) t t i 1 µ CF i AF F CF 2 i,τ = i, τ 7894 1998 7 2001 11 1998 7 2001 11 1998 7 2001 11 7 5-1 5-1 1 1999 5 19 2 1999 9 9 3 3 2000 2 14 4 2000 8 22 5 2001 1 10 6 2001 7 24 7 2001 10 23 (estimation window) (event window) (post-event window) 5-1 26
5-1 T 0 T 1 0 T 2 T 3 T0 1 1 2 2 3 T T T T T 0 30 CAF, 1 CF 2 AF, AF, CAF i, CAF = AF i t i, T1 i, T1 CAF = AF, t=t, T +1,, T i, t CAFi, t 1 + i t i t 1 1 2 CAF i AF 3, t T = 2 t= T 1 it N N CAF N 1 CAFτ = CAR it 4 N i= 1 t t i t t t = CAF t S / N 4 5-2 5-3 5-4 5-2 27
t 95% t >1.96, 5-2 CAF t -15 0.010234056 0.129522571-0.148817296-14 0.011532578 0.251698892-0.308689175-13 0.018995271 0.338471068-0.406972459-12 -0.009845127 0.304596887-0.429101146-11 -0.091316403 0.217056974-0.502480905-10 -0.242281858 0.084992094-0.678647126-9 -0.338386063 0.012890981-0.806755454-8 -0.458985282-0.007940638-1.06037814-7 -0.578912776-0.031956268-1.30818812-6 -0.580332959-0.029975096-1.314143444-5 -0.655385784-0.035266565-1.482211409-4 -0.727779175-0.163838962-1.479699459-3 -0.712036099-0.129202754-1.489147226-2 -0.675466836-0.134635714-1.396575-1 -0.745831806-0.239089141-1.421488692 0-0.654674394-0.030840401-1.486453051 1-0.431591685 0.289672613-1.393277415 2-0.316267691 0.563308697-1.489036209 3-0.204562876 0.83376117-1.588994937 4-0.141420659 1.042799871-1.720381366 5-0.14068486 1.154931848-1.868173803 6-0.113206802 1.316046028-2.018877242 7-0.083209027 1.479768091-2.167178518 8-0.153082527 1.561229092-2.438831352 9-0.144838192 1.675413489-2.571840432 10-0.21513691 1.790825605-2.889753598 11-0.325270518 1.826927843-3.194868333 12-0.322757049 2.020361469-3.446915072 13-0.274326511 2.142002762-3.496098874 14-0.459545864 2.035051792-3.785676073 15-0.641252138 1.929153703-4.068459927 T 11.351 2.751 9.284 28
-0.4-15 -10-5 0 5 10 15 0.. : 30, 0 0.1 0-0.1-15 -10-5 0 5 10 15-0.2-0.3-0.5-0.6-0.7-0.8 5-2 2.5 2 1.5 1 5 0-0.5 : 30, 0-15 -10-5 0 5 10 15 0-0.5-1 -1.5-2 -2.5-3 -3.5-4 -4.5 : 30, 0 5-3 5-4 29
5.2 1 7894 700 2 (1) (2) (3) 4 3 1 30
T / T / 0.75 1.5 2 Benos (1998) Odean (1998a) ( ) Odean Benos (1998) Odean (1998a) 4 1 (a) -- < : H p s 0 : Rt + T Rt + T C H R p R s C 1 : t + T t + T < p R + t T 41 82 t T 31
s R t + T C 1.5 N1 b -- <0 p R t + T p s p s H : R t R 0 H : R t R 0 0 + T t + T N 2 1 + T t + T < (c) P s DR T Rt+ T Rt + T = N 1 N 2 H : DR T C 0 H : DR T < C 1 H 0 : DR T 0 H 1 : DR T < 0 (2) (a) P T R P p i= t+ T = 1 R P p i, t+ T p R, + i T i t T R p i, t+ T = P i, t+ T p Pi, t P p i, t p P, t i P i, t + T T i t 32
s S T R S s i= t+ T = 1 R S s i, t+ T s i R i, t + T (b) p (a) j R j, T R t + T s R j, T DR j, T (3) t t (Bootstrapped Skewness-Adjusted t -statistic). t DRT 1.5 t = σ (1) n DR T ; σ n DR j, T Barber and Lyon(1999a) t Johson(1978) Hall(1992)Sutton(1993) t t sa 1 = n S + 1 ˆ γs 2 + ˆ γ 3 6n DRT S = σ n ( ) 3 DRi, T DRT i= 1 ˆ γ = 3 nσ γˆ 33
ns (4) t t Barber and Lyon(1999a) t 5 (1) P t T N 41 82 R + 43209 4.53 8.23 R + 41903 6.33 10.76 s t T DR -1.80-2.53 T N 1 (0.001) (0.026) N 2 (0.001) (0.039) N N 1 N 2 p N 1N 2 95% (2) 34
? ( ) (a) (b) (c) Makerwitz 35
(3) 5.3 1 Odean1998bGervais Odean 1998 Caballe Sakovics1988 Grossman Stiglitz1980 Odean Grossman Stiglitz BarberOdean2000 78000 ( 1991 1 1997 1 ) 36
7894 1998 10 2001 10 2 1 2 3 7894 3 1 2 3 4 4 Barber Odean2000 3 37
1 0.75% 0.75 1.5% 2 3 a S F a = 1 T S a T T=3 3 R ht net h F a R net ht m gr ( Pit Cit ) i= 1 = m i= 1 F it 2 gr P C i F i it i it it m n R net = n 1 net Rh 3 n h= 1 38
4 A B 5 1 HIGH S >300 MIDDLE 100< S <300(LOW 0< S <100) 3 20 5-3 5-3 HIGH MIDDLE LOW H1 578-0.036228 M1 287 0.0387821 L1 49 0.2015092 H2 572-0.021769 M2 285 0.1327859 L2 46 0.1391173 H3 569 0.032122 M3 273 0.005228 L3 38 0.1476937 H4 564 0.006343 M4 270 0.0194127 L4 36 0.4526509 H5 533-0.041676 M5 261 0.0023859 L5 34 0.68105 H6 516-0.08937 M6 247 0.0237434 L6 27 0.0283771 39
H7 508 0.020872 M7 242-0.0222545 L7 27 0.2598346 H8 495-0.06615 M8 239 0.020076 L8 25 0.2449672 H9 471-0.00806 M9 227 0.0211249 L9 22 0.012893 H10 457-0.003893 M10 215-0.0039387 L10 22 0.3199677 H11 449-0.012527 M11 203 0.1239494 L11 19 0.4521472 H12 436 0.001834 M12 197-0.0003659 L12 19 0.0815585 H13 423 0.015819 M13 194 0.367047 L13 17 0.0127799 H14 412 0.045155 M14 188 0.0583333 L14 17 0.2155505 H15 394-0.009178 M15 175-0.0105882 L15 15 0.1817648 H16 367 0.009346 M16 166 0.0961683 L16 13 0.2116266 H17 354 0.008903 M17 145 0.0409835 L17 12 0.3813796 H18 318-0.013358 M18 139 0.017194 L18 10 0.9419193 H19 311 0.044364 M19 133 0.0121189 L19 9 0.1102392 H20 305-0.002792 M20 126-0.0129793 L20 7-0.0430405 451-0.0060122 210 0.046460337 23 0.251699284 2 1234 1726 39.87034%, 3 8.32% 54 5-4 1(low) 2middle 3(high) % 25.1699284 4.6460337-0.60122 % -14.7-35.22-40.47 % 16.85-3.67-8.92 5-5 40
5-5 4.95% 39.87% HIGH3 MIDDLE2-0.6% 4.64% 210 451 LOW1 23 25.17% 1998.10-2001.10 1998.10-2001.10 1-3 2 A. 7894 115 578 6 B 1998 10 2001 10 1234 1726 2200 39.87% 41
C 6 WTO 42
43
6 6.1 2001 7 126 130 0.5%, 15000 5019 4858 32.39% 2001 11 60 800 340 339 42.27% 44
6.2 1 ( ) 2 3 4 5 6-1 6-1 6.3 1 40 49.42%30 21.78% 2000 1999 40 40.79% 45
2 45.43% 28.71% 3 2,000 65.31% 6-1 68.56% 60% 63.54% 20% 6-2 10 44.92% 61.34% 6-3 / 6-1 46
1000 1000-2000 2000-3500 3500-6000 6000-8000 8000 28.74% 36.54% 21.34% 8.33% 2.38% 2.64% 6-2 20%20%-40% 40%-60% 60%-80% 80% 7.05% 4.78% 19.17% 33.94% 34.62% / 63.54% 10.08% 12.05% 9.25% 5.07% / 87.75% 4.15% 3.15% 2.65% 2.32% 6-3 80% 60%-80% 40%-60% 20%-40% 20% 17.58% 33.61% 28.42% 11.46% 9.94% 2.81% 5.03% 9.02% 10.66% 74.47% 1.88% 2.83% 4.72% 14.85% 75.71% 1.68% 3.19% 12.74% 21.92% 60.48% 0 0 0 1.23% 98.77% 0.65% 1.09% 1.52% 7.39% 89.35% (81.66%) 4 57.7% 4 2000, 2000 60.05% 30% 37.13% 2000 69.83% 2000 47
5 2001 12 89.22% 80.42% 87.78% 2001 6.4 1 86.19% 71.32% 82.74% 76.03% 2 72.63% 89.18% 10.82% 3 48
2-3 79.36% SIA Security Industry Association 2000 SIA 2000 60% 6 4 85.71% 64.51% 50% 82.75% 57.06% 12.95% 9.17% 9.25%43.35% 79.64% 49.41% 5 49
90% 70% 7% 50% 6 65.76% 86.89% 7 2001 8 50
9 55.59% 10 63.78% 50% 6.5 1 6-2 93.76% 51
39% 6% 23% 32% 6-2 50% 23.63% 2 81.41% 7889% 69.22% 75.68% 3 52
7 7.1 1 53
2 3 7-1 54
7-1 4 55
5 6 56
7 7.2 1 2 WTO 57
3 7.3 1 2 3 58
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