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BEHAVIORAL RISK ANECDOTES AND DISTURBING EVIDENCE推荐
CHAPTER 44
BEHAVIORAL RISK:
ANECDOTES
AND DISTURBING
EVIDENCE∗
Arnold S. Wood
Investment managers are expected to act rationally and to incorporate all available
information into the decision - making process. Many are often wrong, however, which
raises important questions about the risks associated with human judgment. Behavioral
fl aws such as overconfi dence, temptation, self- interest, fear, and greed lead to irra-
tional behavior and impaired judgment. In the investment arena, these fl aws are
prevalent, dependable, systematic, and exploitable.
Investment managers are accustomed to dealing with fi nancial risks that can be identifi ed,
measured, and to some extent, controlled. This presentation addresses another type of risk,
one that arises out of the fl aws in human perception and preferences.
The basic paradigms underlying utility theory and rational choice are suspect. Money
managers are smart, aggressive, and well paid, but are they rational in the textbook sense?
The evidence is that money manager performance, on average, is no better than the pas-
sive benchmarks they are assigned to beat. In fact, the copious tabs consultants keep on the
performance of managers tell a dismal tale. Managers lag their benchmarks for the majority
of years.
Forecasting is the lifeblood of security analysts ’ careers. Forecasting accurately has all the
fi nancial lure (and the trappings) of the lottery. David Dreman and Michael Berry (1995)
have compiled extensive evidence, however, that analysts ’ estimates miss their mark widely
∗Reprinted from AIMR Conference Proceedings: Investing Worldwide VI (January 1996): 74– 78 .
6
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