短视的损失规避与股权溢价之谜文章主要内容.pptVIP

1.前言 打赌：50%的机会获得200美元，50%的机会输掉100美元。（被拒绝） 两次打赌的结果：{400,0.25;100,0.5;-200,0.25}，单独估计每次打赌的结果，则这个打赌仍然不具有吸引力，由此得出不经常估计资产价值的人愿意冒险。（短视的损失规避） 7%的年收益率和20%的标准差（股票），固定1%的无风险年收益率（无风险债券），这两种投资组合你会怎么选？ 对于资产价值估计期为一年，最优组合为股票和债券各一半。 4.前景理论与风险规避 区分horizon与evaluation period: A每年二月一号获得奖金并花费在接下来一年的休假当中，他的Planning horizon和 evaluation period都是一年；B每年二月一号获得奖金并想把他们投资在30年以后的退休时，他每年都估计自己资产的价值，所以他的Planning horizon和 evaluation period分别是30年和1年。 M和S，他们发现的悖论。 作者提出一个可以解释反直觉现象的模型。 How Often Are Portfolios Evaluated? Stock index is compared with treasury bill return in real terms Stock index is compared with treasury bill return in nominal terms Stock index is compared with five-year bond return in real terms Stock index is compared with five-year bond return in nominal terms We prefer bonds to T-bills Because we think that for long-term investors closest substitutes. Prefer nominal to real First, returns are usually reported in nominal dollars Second, if investors were thinking in real dollars they would not be willing to hold treasury bills over any period as they yield negative prospective utility The prospective utility of each portfolio mix between 100 percent bonds and 100perceng stocks The reason of equity premium Myopic Loss Aversion (represent risk aversion in standard model) Frequently evaluation The results of equity premium using real returns on stocks and the real returns on five-year bonds Do organizations display myopic loss aversion ? Pension Funds (Agency costs) Foundation and University Endowments (Agency costs and Spending rules) Conclusions In our model investors are unwilling to accept return variability even if the short-run returns have no effect on consumption. Myopic loss aversion deserves consideration as possible solutiong to solve equity premium puzzle. 谢谢老师和同学！ Myopic Loss Aversion and the Equity Premium Puzzle ——Shlomo Benartzi and Richard H.Thaler 王天昊 王辉 文章及作者基本介绍 一. 基本概念理清 二. 前三部分的概述 三. 后三部分的概述 四. 目录 作者姓名： Shlomo Be