博迪第八版投资学第十二章课后习题答案.docx

博迪第八版投资学第十二章课后习题答案.docx

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博迪第八版投资学第十二章课后习题答案

CHAPTER12:

BEHAVIORALFINANCE

ANDTECHNICALANALYSIS

PROBLEMSETS

1.Technicalanalysiscangenerallybeviewedasasearchfortrendsorpatternsinmarketprices.Technicalanalyststendtoviewthesetrendsasmomentum,orgradualadjustmentsto‘correct’prices,or,alternatively,reversalsoftrends.Anumberofthebehavioralbiasesdiscussedinthechaptermightcontributetosuchtrendsandpatterns.Forexample,aconservatismbiasmightcontributetoatrendinpricesasinvestorsgraduallytakenewinformationintoaccount,resultingingradualadjustmentofpricestowardstheirfundamentalvalues.Anotherexamplederivesfromtheconceptofrepresentativeness,whichleadsinvestorstoinappropriatelyconclude,onthebasisofasmallsampleofdata,thatapatternhasbeenestablishedthatwillcontinuewellintothefuture.Wheninvestorssubsequentlybecomeawareofthefactthatpriceshaveoverreacted,correctionsreversetheinitialerroneoustrend.

2.Evenifmanyinvestorsexhibitbehavioralbiases,securitypricesmightstillbesetefficientlyiftheactionsofarbitrageursmovepricestotheirintrinsicvalues.Arbitrageurswhoobservemispricinginthesecuritiesmarketswouldbuyunderpricedsecurities（orpossiblysellshortoverpricedsecurities）inordertoprofitfromtheanticipatedsubsequentchangesaspricesmovetotheirintrinsicvalues.Consequently,securitiespriceswouldstillexhibitthecharacteristicsofanefficientmarket.

3.Oneofthemajorfactorslimitingtheabilityofrationalinvestorstotakeadvantageofany‘pricingerrors’thatresultfromtheactionsofbehavioralinvestorsisthefactthatamispricingcangetworseovertime.AnexampleofthisfundamentalriskistheapparentongoingoverpricingoftheNASDAQindexinthelate1990s.Arelatedfactoristheinherentcostsandlimitsrelatedtoshortselling,whichrestricttheextenttowhicharbitragecanforceoverpricedsecurities（orindexes）tomovetowardstheirfairvalues.Rationalinvestorsmustalsobeawareoftheriskthatanapparentmispricingis,infact,aconsequenceofmodelrisk;thatis,theperceivedmispricingmaynotberealbecausetheinvestorhasusedafaultymodeltovaluethesecurity.

4.TworeasonswhybehavioralbiasesmightnotaffectequilibriumassetpricesarediscussedinQuizProblems

（1）and

（2）above:

first,behavioralbiasesmightcontributetothesuccessoftechnicaltradingrulesaspricesgraduallyadjusttowardstheirintrinsicvalues,and;second,theactionsofarbitrageursmightmovesecuritypricestowardstheirintrinsicvalues.Itmightbeimportantforinvestorstobeawareofthesebiasesbecauseeitherofthesescenariosmightcreatethepotentialforexcessprofitsevenifbehavioralbiasesdonotaffectequilibriumprices.

5.Efficientmarketadvocatesbelievethatpubliclyavailableinformation（and,foradvocatesofstrong-formefficiency,eveninsiderinformation）is,atanypointintime,reflectedinsecuritiesprices,andthatpriceadjustmentstonewinformationoccurveryquickly.Consequently,pricesareatfairlevelssothatactivemanagementisveryunlikelytoimproveperformanceabovethatofabroadlydiversifiedindexportfolio.Incontrast,advocatesofbehavioralfinanceidentifyanumberofinvestorerrorsininformationprocessinganddecisionmakingthatcouldresultinmispricingofsecurities.However,thebehavioralfinanceliteraturegenerallydoesnotprovideguidanceastohowtheseinvestorerrorscanbeexploitedtogenerateexcessprofits.Therefore,intheabsenceofanyprofitablealternatives,evenifsecuritiesmarketsarenotefficient,theoptimalstrategymightstillbeapassiveindexingstrategy.

6.Trin=

Thistrinratio,whichisbelow1.0,wouldbetakenasabullishsignal.

7.Breadth:

Advances

Declines

NetAdvances

1,233

2,068

-835

Breadthisnegative.Thisisabearishsignal（althoughnoonewouldactuallyuseaone-daymeasureasinthisexample）.

8.Thisexerciseislefttothestudent;answerswillvary.

9.Theconfidenceindexincreasesfrom（7%/8%）=0.875to（8%/9%）=0.889

Thisindicatesslightlyhigherconfidence.Buttherealreasonfortheincreaseintheindexistheexpectationofhigherinflation,nothigherconfidenceabouttheeconomy.

10.Atthebeginningoftheperiod,thepriceofComputers,Inc.dividedbytheindustryindexwas0.39;bytheendoftheperiod,theratiohadincreasedto0.50.Astheratioincreasedovertheperiod,itappearsthatComputers,Inc.outperformedotherfirmsinitsindustry.Theoveralltrend,therefore,indicatesrelativestrength,althoughsomefluctuationexistedduringtheperiod,withtheratiofallingtoalowpointof0.33onday19.

11.Fivedaymovingaverages:

Days1–5:

（19.63+20+20.5+22+21.13）/5=20.65

Days2–6=21.13

Days3–7=21.50

Days4–8=21.90

Days5–9=22.13

Days6–10=22.68

Days7–11=23.18

Days8–12=23.45Sellsignal（day12price

Days9–13=23.38

Days10–14=23.15

Days11–15=22.50

Days12–16=21.65

Days13–17=20.95

Days14–18=20.28

Days15–19=19.38

Days16–20=19.05

Days17–21=18.93Buysignal（day21price>movingaverage）

Days18–22=19.28

Days19–23=19.93

Days20–24=21.05

Days21–25=22.05

Days22–26=23.18

Days23–27=24.13

Days24–28=25.13

Days25–29=26.00

Days26–30=26.80

Days27–31=27.45

Days28–32=27.80

Days29–33=27.90Sellsignal（day33price

Days30–34=28.20

Days31–35=28.45

Days32–36=28.65

Days33–37=29.05

Days34–38=29.25

Days35–39=29.00

Days36–40=28.75

12.Thispatternshowsalackofbreadth.Eventhoughtheindexisup,morestocksdeclinedthanadvanced,whichindicatesa“lackofbroad-basedsupport”fortheriseintheindex.

13.

Day

Advances

Declines

NetAdvances

CumulativeBreadth

1

906

704

202

202

2

653

986

-333

-131

3

721

789

-68

-199

4

503

968

-465

-664

5

497

1,095

-598

-1,262

6

970

702

268

-994

7

1,002

609

393

-601

8

903

722

181

-420

9

850

748

102

-318

10

766

766

0

-318

Thesignalisbearishascumulativebreadthisnegative;however,thenegativenumberisdeclininginmagnitude,indicativeofimprovement.Perhapstheworstofthebearmarkethaspassed.

14.Trin=

Thisisaslightlybullishindicator,withaveragevolumeinadvancingissuesabitgreaterthanaveragevolumeindecliningissues.

15.ConfidenceIndex=

Thisyear:

ConfidenceIndex=（8%/10.5%）=0.762

Lastyear:

ConfidenceIndex=（8.5%/10%）=0.850

Thus,theconfidenceindexisdecreasing.

16.[Note:

Inordertocreatethe26-weekmovingaveragefortheS&P500,wefirstconvertedtheweeklyreturnstoweeklyindexvalues,usingabaseof100fortheweekpriortothefirstweekofthedataset.ThegraphonthenextpageshowstheresultingS&P500valuesandthe26-weekmovingaverage,beginningwiththe26thweekofthedataset.]

a.Thegraphonthenextpagesummarizesthedataforthe26-weekmovingaverage.ThegraphalsoshowsthevaluesoftheS&P500index.

b.TheS&P500crossesthroughitsmovingaveragefrombelowfourteentimes,asindicatedinthetablebelow.Theindexincreasesseventimesinweeksfollowingacross-throughanddecreasesseventimes.

Dateof

cross-through

DirectionofS&P500insubsequentweek

05/18/01

Decrease

06/08/01

Decrease

12/07/01

Decrease

12/21/01

Increase

03/01/02

Increase

11/22/02

Increase

01/03/03

Increase

03/21/03

Decrease

04/17/03

Increase

06/10/04

Decrease

09/03/04

Increase

10/01/04

Decrease

10/29/04

Increase

04/08/05

Decrease

c.TheS&P500crossesthroughitsmovingaveragefromabovefourteentimes,asindicatedinthetablebelow.Theindexincreasesninetimesinweeksfollowingacross-throughanddecreasesfivetimes.

Dateof

cross-through

DirectionofS&P500insubsequentweek

06/01/01

Increase

06/15/01

Increase

12/14/01

Increase

02/08/02

Increase

04/05/02

Decrease

12/13/02

Increase

01/24/03

Decrease

03/28/03

Increase

04/30/04

Decrease

07/02/04

Decrease

09/24/04

Increase

10/15/04

Decrease

03/24/05

Increase

04/15/05

Increase

d.Whentheindexcrossesthroughitsmovingaveragefrombelow,asinpart（b）above,thisisregardedasabullishsignal.However,inoursample,theindexisaslikelytoincreaseasitistodecreasefollowingsuchasignal.Whentheindexcrossesthroughitsmovingaveragefromabove,asinpart（c）,thisisregardedasabearishsignal.Inoursample,contrarytothebearishsignal,theindexisactuallymorelikelytoincreasethanitistodecreasefollowingsuchasignal.

17.[Note:

Inordertocreatetherelativestrengthmeasure,wefirstconvertedtheweeklyreturnsfortheFidelityBankingFundandfortheS&P500toweeklyindexvalues,usingabaseof100fortheweekpriortothefirstweekofthedataset.ThegraphonthenextpageshowstheresultingFidelityBankingFundvaluesandtheS&P500values,alongwiththeRelativeStrengthmeasure（multipliedby100）.ThegraphonthefollowingpageshowsthepercentagechangeintheRelativeStrengthmeasureover5-weekintervals.]

a.ThegraphsonthenexttwopagessummarizetherelativestrengthdatafortheFidelityBankingFund.

b.Overfive-weekintervals,relativestrengthincreasedbymorethan5%twenty-ninetimes,asindicatedinthetablebelow.TheFidelityBankingFundunderperformedtheS&P500indexeighteentimesandoutperformedtheS&P500indexeleventimesinweeksfollowinganincreaseofmorethan5%.

DateofIncrease

PerformanceofBankingFundinsubsequentweek

07/21/00

Outperformed

08/