4194_2008_psychologia_strona(1).pdf

Wykÿad 15

Psychologia rynkw finansowych

âPodczas, gdy prawa fizyki sģ staÿe i dobrze

zdefiniowane, prawa rzģdzģce funkcjonowaniem

rynkw finansowych pozostajģ nadal w duňym

stopniu tajemnicģÒ

( Hellena Allen, Mark Taylor

Hellena Allen, Mark Taylor )

Wykÿad 15

âPodczas, gdy prawa fizyki sģ staÿe i dobrze

Economic models normally pretend that

financial markets are populated by coolly

financial markets are populated by coolly-

rational, farsighted investors with long (if not

infinite) time horizons.

In practice prices are made by young traders

who are susceptible to fads, herding, and

occasional hysteria. These people tend to

have incredibly short

have incredibly short-time horizons

time horizons; maybe

maybe

only at the end of the trading day.

Alan Blinder

predictors of future short

rates. (If we compare) the one

rates. (If we compare) the one-year U.S.

year U.S.

Treasury bond rate expected to hold nine years

ahead according to the yield curve and the actual

one

year rate nine years later, there is hardly any

correlation between the two.

Just why this is so remains a major intellectual

puzzle. To blame the puzzle on time

puzzle. To blame the puzzle on time-varying term

varying term

premia is just to give it a name Ï like blaming

like blaming

machine malfunctioning on Ñgremlins

gremlinsÒ.

Alan Blinder

Economic models normally pretend that

In practice prices are made by young traders

A one

A one-sentence summary of the literature is that

long rates are terriblell predictors of future short

sentence summary of the literature is that

long rates are terrible

Treasury bond rate expected to hold nine years

one-year rate nine years later, there is hardly any

Just why this is so remains a major intellectual

premia is just to give it a name

machine malfunctioning on Ñ

volatility in the stock market relative to the

efficient markets model. Only about 7% of the

variance of annual stock market returns can be

justified in terms of new information about

future dividends.

„Do Stock Prices Move Too Much to Be Justified

by Subsequent Changes in Dividends?

American Economic Review

American Economic Review , 71, 1981, 421

, 71, 1981, 421-36

Although the volatility of investorsÔ forecasts of

future corporate earnings or dividends

1980s, which

would tend to lower the volatility of stock

prices, the volatility of the discount rate applied

by equity investors has not declined.

Campbell , 2005

, 2005

Shiller presented (1981) evidence of excess

volatility in the stock market relative to the

„Do Stock Prices Move Too Much to Be Justified

Although the volatility of investorsÔ forecasts of

future corporate earnings or dividends

declined substantially since mid

declined substantially since mid-1980s, which

• Campbell

CZY INWESTORZY

MOG ġ BY Ę W PEŁNI

RACJONALNI

RACJONALNI ?

Co znaczy „racjonalni”?

Podejmujģc decyzje, kierujģ siĨÈ

analizģ czynnikw fundamentalnych

rachunkiem prawdopodobieĲstwa

CZY INWESTORZY

MOG ġ BY Ę W PEŁNI

Hipoteza informacyjnej efektywnoļci rynkw

finansowych zakÿada, ňe...

Uczestnicy ňycia gospodarczego doskonale znajģ

mechanizm gospodarki.

sģ w stanie oceniĚ rozkÿady prawdopodobieĲstwa

ksztaÿtowania siĨ rňnych zmiennych.

Dokonujģ takich ocen niezaleňnie od siebie

Ich indywidualne bÿĨdy ocen znoszģ siĨ wzajemnie;

wypadkowa oczekiwaĲ inwestorw pokrywa siĨ z

najbardziej prawdopodobnym biegiem przyszÿych

zdarzeĲ w gospodarce

Hipoteza informacyjnej efektywnoļci rynkw

Uczestnicy ňycia gospodarczego doskonale znajģ

sģ w stanie oceniĚ rozkÿady prawdopodobieĲstwa

Ich indywidualne bÿĨdy ocen znoszģ siĨ wzajemnie;

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