博迪第八版投资学第十二章课后习题答案.docx

1、博迪第八版投资学第十二章课后习题答案CHAPTER 12: BEHAVIORAL FINANCEAND TECHNICAL ANALYSISPROBLEM SETS 1. Technical analysis can generally be viewed as a search for trends or patterns in market prices. Technical analysts tend to view these trends as momentum, or gradual adjustments to correct prices, or, alternatively,

2、 reversals of trends. A number of the behavioral biases discussed in the chapter might contribute to such trends and patterns. For example, a conservatism bias might contribute to a trend in prices as investors gradually take new information in to account, resulting in gradual adjustment of prices t

3、owards their fundamental values. Another example derives from the concept of representativeness, which leads investors to inappropriately conclude, on the basis of a small sample of data, that a pattern has been established that will continue well in to the future. When investors subsequently become

4、 aware of the fact that prices have overreacted, corrections reverse the initial erroneous trend.2. Even if many investors exhibit behavioral biases, security prices might still be set efficiently if the actions of arbitrageurs move prices to their intrinsic values. Arbitrageurs who observe misprici

5、ng in the securities markets would buy underpriced securities (or possibly sell short overpriced securities) in order to profit from the anticipated subsequent changes as prices move to their intrinsic values. Consequently, securities prices would still exhibit the characteristics of an efficient ma

6、rket.3. One of the major factors limiting the ability of rational investors to take advantage of any pricing errors that result from the actions of behavioral investors is the fact that a mispricing can get worse over time. An example of this fundamental risk is the apparent ongoing overpricing of t

7、he NASDAQ index in the late 1990s. A related factor is the inherent costs and limits related to short selling, which restrict the extent to which arbitrage can force overpriced securities (or indexes) to move towards their fair values. Rational investors must also be aware of the risk that an appare

8、nt mispricing is, in fact, a consequence of model risk; that is, the perceived mispricing may not be real because the investor has used a faulty model to value the security.4. Two reasons why behavioral biases might not affect equilibrium asset prices are discussed in Quiz Problems (1) and (2) above

9、: first, behavioral biases might contribute to the success of technical trading rules as prices gradually adjust towards their intrinsic values, and; second, the actions of arbitrageurs might move security prices towards their intrinsic values. It might be important for investors to be aware of thes

10、e biases because either of these scenarios might create the potential for excess profits even if behavioral biases do not affect equilibrium prices.5. Efficient market advocates believe that publicly available information (and, for advocates of strong-form efficiency, even insider information) is, a

11、t any point in time, reflected in securities prices, and that price adjustments to new information occur very quickly. Consequently, prices are at fair levels so that active management is very unlikely to improve performance above that of a broadly diversified index portfolio. In contrast, advocates

12、 of behavioral finance identify a number of investor errors in information processing and decision making that could result in mispricing of securities. However, the behavioral finance literature generally does not provide guidance as to how these investor errors can be exploited to generate excess

13、profits. Therefore, in the absence of any profitable alternatives, even if securities markets are not efficient, the optimal strategy might still be a passive indexing strategy.6. Trin =This trin ratio, which is below 1.0, would be taken as a bullish signal.7. Breadth:AdvancesDeclinesNet Advances1,2

14、332,068-835Breadth is negative. This is a bearish signal (although no one would actually use a one-day measure as in this example).8. This exercise is left to the student; answers will vary.9. The confidence index increases from (7%/8%) = 0.875 to (8%/9%) = 0.889This indicates slightly higher confid

15、ence. But the real reason for the increase in the index is the expectation of higher inflation, not higher confidence about the economy.10. At the beginning of the period, the price of Computers, Inc. divided by the industry index was 0.39; by the end of the period, the ratio had increased to 0.50.

16、As the ratio increased over the period, it appears that Computers, Inc. outperformed other firms in its industry. The overall trend, therefore, indicates relative strength, although some fluctuation existed during the period, with the ratio falling to a low point of 0.33 on day 19.11. Five day movin

17、g averages:Days 1 5: (19.63 + 20 + 20.5 + 22 + 21.13) / 5 = 20.65Days 2 6 = 21.13Days 3 7 = 21.50Days 4 8 = 21.90Days 5 9 = 22.13Days 6 10 = 22.68Days 7 11 = 23.18Days 8 12 = 23.45 Sell signal (day 12 price moving average)Days 18 22 = 19.28Days 19 23 = 19.93Days 20 24 = 21.05Days 21 25 = 22.05Days 2

18、2 26 = 23.18Days 23 27 = 24.13Days 24 28 = 25.13Days 25 29 = 26.00Days 26 30 = 26.80Days 27 31 = 27.45Days 28 32 = 27.80Days 29 33 = 27.90 Sell signal (day 33 price moving average)Days 30 34 = 28.20Days 31 35 = 28.45Days 32 36 = 28.65Days 33 37 = 29.05Days 34 38 = 29.25Days 35 39 = 29.00Days 36 40 =

19、 28.7512. This pattern shows a lack of breadth. Even though the index is up, more stocks declined than advanced, which indicates a “lack of broad-based support” for the rise in the index.13.DayAdvancesDeclinesNet AdvancesCumulative Breadth19067042022022653986-333-1313721789- 68-1994503968-465-664549

20、71,095-598-1,2626970702268-99471,002609393-6018903722181-4209850748102-318107667660-318The signal is bearish as cumulative breadth is negative; however, the negative number is declining in magnitude, indicative of improvement. Perhaps the worst of the bear market has passed.14. Trin = This is a slig

21、htly bullish indicator, with average volume in advancing issues a bit greater than average volume in declining issues.15. Confidence Index = This year: Confidence Index = (8%/10.5%) = 0.762Last year: Confidence Index = (8.5%/10%) = 0.850Thus, the confidence index is decreasing.16. Note: In order to

22、create the 26-week moving average for the S&P 500, we first converted the weekly returns to weekly index values, using a base of 100 for the week prior to the first week of the data set. The graph on the next page shows the resulting S&P 500 values and the 26-week moving average, beginning with the

23、26th week of the data set.a. The graph on the next page summarizes the data for the 26-week moving average. The graph also shows the values of the S&P 500 index.b. The S&P 500 crosses through its moving average from below fourteen times, as indicated in the table below. The index increases seven tim

24、es in weeks following a cross-through and decreases seven times.Date ofcross-throughDirection of S&P 500 in subsequent week05/18/01Decrease06/08/01Decrease12/07/01Decrease12/21/01Increase03/01/02Increase11/22/02Increase01/03/03Increase03/21/03Decrease04/17/03Increase06/10/04Decrease09/03/04Increase1

25、0/01/04Decrease10/29/04Increase04/08/05Decreasec. The S&P 500 crosses through its moving average from above fourteen times, as indicated in the table below. The index increases nine times in weeks following a cross-through and decreases five times.Date of cross-throughDirection of S&P 500 in subsequ

26、ent week06/01/01Increase06/15/01Increase12/14/01Increase02/08/02Increase04/05/02Decrease12/13/02Increase01/24/03Decrease03/28/03Increase04/30/04Decrease07/02/04Decrease09/24/04Increase10/15/04Decrease03/24/05Increase04/15/05Increased. When the index crosses through its moving average from below, as

27、in part (b) above, this is regarded as a bullish signal. However, in our sample, the index is as likely to increase as it is to decrease following such a signal. When the index crosses through its moving average from above, as in part (c), this is regarded as a bearish signal. In our sample, contrar

28、y to the bearish signal, the index is actually more likely to increase than it is to decrease following such a signal.17. Note: In order to create the relative strength measure, we first converted the weekly returns for the Fidelity Banking Fund and for the S&P 500 to weekly index values, using a ba

29、se of 100 for the week prior to the first week of the data set. The graph on the next page shows the resulting Fidelity Banking Fund values and the S&P 500 values, along with the Relative Strength measure (multiplied by 100). The graph on the following page shows the percentage change in the Relativ

30、e Strength measure over 5-week intervals.a. The graphs on the next two pages summarize the relative strength data for the Fidelity Banking Fund.b. Over five-week intervals, relative strength increased by more than 5% twenty-nine times, as indicated in the table below. The Fidelity Banking Fund underperformed the S&P 500 index eighteen times and outperformed the S&P 500 index eleven times in weeks following an increase of more than 5%.Date of IncreasePerformance of Banking Fund in subsequent week07/21/00Outperformed08/