Event-TimeCumulativeMarket-Adjusted

10192837465564738291100109118127136145154163172181190199208217226235244253262271Return(BuyReturnlessSell101025140- Dollar101025140$NT$NT---- MeanDailyNetofTransactionCosts(140tradingEconomicTheaggregateportfolioofindividualinvestorssufferanannualperformancepenaltyof3.8percentagepoints.Thereturnshortfallisequivalentto2.2percent ’sGDPor2.8percentof Thetotaltradinglosses($NT934billion)representroughly33,85,and170percentoftotalprivateexpendituresonclothing/footwear,andfuel/powerTheaverageinvestorexperiencednettradingandtiminglossesof$NT240,000($US8,100)duringourfiveyearsampleperiod.Duringoursampleperiod,averageannual eperhouseholdwas$NT852,000.Thus,tradingandtiminglossesperinvestorrepresent5.6percentofaverage Incontrast,institutionsenjoyanannualperformanceboostof1.5percentagepoints(aftercommissionsandtaxes,butbeforeothercosts).Combinedtradingandmarket-timinglossesconstituteawealthtransferfromindividualinvestorstoinstitutionalinvestors.Themostprofitablegroupofinstitutionalinvestorsisforeigninvestorswhogarner46.2percentofthetradingandmarket-timinggrossprofitsofinstitutionalinvestors.Thus,nearlyhalfofthewealthtransferfromdomesticindividualstoinstitutionalinvestorsgoestoforeigninstitutions.Cantheprevalenceofdaytradingexplaintheinstitutionalgainsandindividual Daytradingin representsmorethan20percentoftotaltradingvolume.Inaggregate,daytradersearngrossprofits(thoughtheseprofitsarenotsufficienttocovertransactioncosts).Thus,thegrosslossesthatwe forallindividualscannotbetracedtotheactivityofindividualdaytraders.Canthehighturnoverratesin theinstitutionalgainsandindividuallosses? eseindividualinvestorstradeactively—whetherforentertainmentorbecauseofoverconfidence—institutionalinvestorscouldbeearningtheirprofitssimplybysupplyingliquidity.Ifso,wewouldexpectinstitutionalprofitstobegeneratedprimarilybypassivetradesandrealizedatshorthorizons.Whilewedo thatinstitutionalinvestorsearnshorttermprofitsbysupplyingliquiditytoindividualinvestors,approxima yhalfoftheirprofitsarefromaggressivetradesandaccrueathorizonsofuptosixmonths.Thisimpliesthatinstitutionalinvestorsareprofitingfrominformation,notsimplyfromtheirInstitutionswin,Individuals$NT178millionTradingDonoteliminateInstitutionalSeverelyExacerbateIndividualWhydoinstitutionsProvideliquiditytouninformedtraders(short-termprofit)Tradeaggressively(long-termWhydoindividualsWhydoIndividualsRationalLiquidityNeeds,Rebalancingneed,HedgingdemandsSpeculativetrading:EntertainmentandIndividuallossesaretracedtoaggressiveAggressivetradesaremorefun(Entertainment),orInvestorstrademoreaggressivelywhenoverconfident(Overconfidence)貳BehavioralBFtakesintoconsiderationsomeofthepsychologicalbiasesanddecision-makingprocessesofpeople.DainelKahnemanhasusedinsightsfromcognitivepsychologyregardingthementalprocessesofansweringquestions,formingjudgments,andmakingchoices,tohelpusbetterunderstandhowpeoplemakeeconomicTradingwithcrowdIllusionofProspectApplicationsofbehavioralTheAmericanSubmarineAt3:15p.m.onMay27,1968,thesubmarineUSSScorpionwasofficiallydeclaredmissingwithall99menabroad.Shewassomewherewithina20- circleintheAtlantic,farbelowimplosiondepth.Fivemonthslater,afterextensivesearchefforts,herlocationwithinthatcirclewasstillundetermined.JohnCracen,theNavy’stopdeep-waterscientist,hadallbutgivenup.SontagandDrewAtalastgasp.Heaskedagroupofsubmarineandsalvageexpertstobetontheprobabilitiesofdifferentscenariosthatcouldhaveoccurred.Averagingtheirresponses,hepinpointedtheexactlocation(with220yards)wherethemissingsubwasThesecuritiesmarkettodayprobablydoesagoodjobofaggregatingthewisdomofthosethattradeinit.BoundedHaveyouseethemovie—ABeautifulMindWhatdothe l即使專家也會跌破眼 MutualFund的兩名有名的 經經濟學如何變有錢》。 時柯耶犯了尋常無比的錯誤：他 停，1月、日 行瘋地時過。丹尼爾．卡尼曼表示，個人發現決策難以預料時，未 維耶甚 經營150億避險基金公司「SAC資本顧問」的柯恩， 年全盛時期一度管理億基金的「管理」，或者放 一個交易員的不歸路1stround少量進場，靜待走勢是否如自己預期。果真如預期，riskavert下獲利了結。Success帶來confidence及2ndround有了成功經驗及賺取的back-upfund后，「主觀」更主宰了決策過程。對信息的處理變得較草率，3rdround:Secondsuccess之后，變成「意見」。沒有意見下，幾乎憑自己的判斷交易。享受被肯定的下，開始takeriskALoss1stround之前的成功帶來的成就感和在眾人前了不傷他的感覺--「偏誤」2ndround:價格繼續下跌，扳回一成的期待落 利：anxietyfear，夸示好消息，刻意規避壞消息TheLoss3rdroundtrader“降低成本的跌的是且不智的。本的股價最終還是一路走跌。Fear->panic-> 2.Illusionof據英 腦損傷與財務決這項研究設定一場二十回合決勝負的游戲，一開始參賽者都獲得二十的籌碼，在每一回合都會被問是否愿意用一來賭硬幣的正。如果輸了，就輸掉那枚硬幣，贏了可拿走二塊五。元，幾乎比「正常」組多三。愛荷華大學神經學貝恰拉說，成功的投資人或形容是「能正常工作的患」。這些人若非控制情緒，就是很少讓情Informationisoflittleuseinamood ernedbygreedorpanic.Everyonerunstheriskofnolongerbeingcapableofmakingrationaldecisionunderpressure.PeopledifferintheirEQ,sodotheextentofirrationalIsitpossible:toyze“hopesandfears”,“greedandambition”,topredictinvestors’financialstressandstrain’?Prospect為什 經濟獎給了心理學家ProspectValue展望理論(ProspectTverskyandKahnemanQ&如果有人提供一個游戲-猜錢幣的正反100元，贏的時候，給你?元，你才會賭？Q& ，成本為每股40 每股50元。假設上周臺積電股價為60會比較難Q&假設阿民一個月50元買進某股票，目前該市價為40元，如果未來價格不是10元，就是10元，有該PerformanceofDayTheaveragedayMakesgrossLosesmoneyafterHeavydaytraderslosemoneyafter8of10daytradersloseSomedaytradersconsistentlyAccountssortedbyPastDayTradingMeanDailyProfitsper0(0,(0.3m,(15m,(0,(0.3m,(15m,(90m,(600m,

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(.1, (.2,Q&AHHHTTTHotHandPattern-seekingdevice：有偏見采取一種Q& 如何簽樂Q&A－III請問您愿意付哪或高發生機率之可能結=>過低的權重這就是為什么人較喜好有機會中「大獎」的 Don’tjust yzethemarket, yzetheStockpatternsemergefromcommonhumanbehavior.Boundedrationalityindecision參MutualFundalReduceBiasesin明 -行為財務II基金產品設計與避險基Fuller&ThalerAssetManagement,Inc.isapioneerbehavio