M行为金融学试卷A答案

1北京师范大学珠海分校2011—2012学年度第二学期期末考试（A卷答案）开课单位：国际商学部课程名称：行为金融学任课教师：郑勇考试类型：闭卷考试时间：90分钟一．Differentiatethefollowingterms/concepts:(40)1.MiscalibrationandexcessiveoptimismApersonwhosuffersfrommiscalibrationoverestimatestheprecisionofhisknowledge,whereasonewhosuffersfromexcessiveoptimismthinksgoodthings(e.g.,succeedinginabusinessventure)aremorelikelytohappenthanobjectivelyshouldbethought.2.IQandEQTheintelligencequotient(IQ)measuresaperson’sintelligence,whereastheemotionalquotient(EQ)measuresaperson’sabilitytoidentifyandmanageemotionalresponses.3.GoodcompanyandgoodstockAgoodcompanyhaspositiveattributessuchasastrongmanagementteam.Agoodstockisoneyouexpecttooutperforminthefuture.Ifmarketsareefficienttherearenogoodorbadstocks.4.SensationseekingandoverconfidenceOverconfidenceinitsvariousmanifestationshasbeenextensivelydiscussedinthechapter.Sensation-seekingontheotherhandisapersonalitytraitwhosefourdimensionsarethrillandadventureseeking(i.e.,adesiretoengageinthrillingandevendangerousactivities);experienceseeking(i.e.,thedesiretohavenewandexcitingexperiences,evenifillegal);disinhibition(i.e.,behaviorsassociatedwithalossofsocialinhibitions);andboredomsusceptibility(i.e.,dislikeofrepetitionofexperience).5.Housemoneyandbreak-eveneffectsThehousemoneyeffectisthewillingnesstotakegreaterriskwithmoneythatwasrecentlywon,whereasthebreak-eveneffectreferstoanincreaseinrisktakingafterapriorlossinordertotrytobreakeven.二.Answerthefollowingquestions:1.Whyaretwopeoplewhowitnessedthesameeventlastmonthlikelytodescribeitdifferentlytoday?Memoryisveryimprecise.Thecommonviewthatpastexperienceshavesomehowbeenwrittentothebrain’shard-driveandarethenretrieved,evenifatconsiderableeffort,isnotthewayourbrainworks.Infact,memoryisreconstructive.2Thereforepeopleinrememberingsomeeventwillreconstructitindifferentways.2.Overconfidencedoesnotquicklydissipatevialearningbecauseoftheexistenceofcontributingbiases.Explain.Self-attributionbias,thetendencyforpeopletoattributesuccessesorgoodoutcomestotheirownabilities,whileblamingfailuresoncircumstancesbeyondtheircontrol,canleadtoanincreaseinoverconfidence.Supposeanoverconfidentindividualobservespersonalperformanceoutcomesthatarelogicallyacombinationofexternalandinternal(totheindividual)forces.Ifthingsgowell,thethinkingwillbethatthisisbecauseofgreatability,skillorknowledge(muchmoresothananobjectiveconsiderationofcircumstanceswouldwarrant),andtheresultwillbeanincreaseinoverconfidence.Ontheotherhand,adverseevents,beingonlymoderatelyascribedtopersonalforces,willnotleadtosymmetric(butofoppositesign)revisionsinoverconfidence.Asitwere,people“learn”tobeoverconfident.Anothercontributingbiasishindsightbias,whichpushespeopleintothinkingthat“theyknewitallalong.”Goinghandinhandwithhindsightbiasisconfirmationbias,thetendencytosearchoutevidenceconsistentwithone’spriorbeliefsandtoignoreconflictingdata.3.Imagineyoujustwonalotterywitha$10millionprize.Whatprimaryemotionsmightyoufeel?(Notethatthesevenprimaryemotionsgenerallyincludeanger,contempt,disgust,fear,happiness,sadness,andsurprise.)Describetheirfeatures,includingthesixusedtodefineanemotion.Besuretoincludeobservables.AccordingtoElster,J.(1998),thesevenprimaryemotionsincludeanger,contempt,disgust,fear,happiness,sadness,andsurprise.Againstudents’answersmayvarybuttheyprobablywillidentifyhappinessand,perhaps,surprise.Theyshouldthendescribetheobservablefeaturesoftheemotiontheyidentifyincludingcognitiveantecedents,intentionalobjects,physiologicalarousal,physiologicalexpressions,valence,andactiontendencies.4.Inaregressionofperceivedlong-terminvestmentvalue(LTIV)onsize(S),booktomarket(B/M),andmanagementquality(MQ),thefollowingcoefficients(allsignificant)wereestimated:LTIV=-.86+0.15log(S)+-.11log(B/M)+.85MQDiscusswhatcanbelearnedfromthisregression(whichappearsinShefrin,H.,andM.Statman,1995,Makingsenseofbeta,size,andbook-to-market,JournalofPortfolioManagement21(no.2),26-34).Answer:Inthisregression,valueasalong-terminvestmentisregressedonsize,book-to-market,3andmanagementquality.Managementqualitystronglyimpactsperceivedinvestmentvalue.Thisdoesnotmakesensebecauseallpositiveattributesshouldalreadybeembeddedinstockprice.Additionally,sizeandbook-to-market,evenafteraccountingfortheirimpactonmanagementquality,independentlyinfluenceinvestmentvalue.Bigfirmsareviewedasgoodinvestments,andgrowthcompaniesareviewedasgoodinvestments.Inotherwords,bighigh-growthfirmsareviewedasrepresentativeofgoodinvestments.Interestingly,theempiricalevidencepointsintheexactoppositedirection.Itissmall-capvaluefirmsthathavehistoricallyoutperformed.Indeed,thetendencyforindividualstouserepresentativenessinthiscontextmayhavecontributedtothesmall-firmandvalueanomalies.5.Discusswhattheevidence(usingnaturally-occurringdata,surveydata,andexperimentaldata)suggestsabouttherelationshipamongoverconfidence,tradingactivity,andportfolioperformance.Answer:Mostoftheevidenceindicatesthatoverconfidenceleadstogreatertradingactivity.Itisappropriatetousetheword“excessive”becausethistradingleadstopoorerportfolioperformance.Theevidenceismixedonwhat