行为金融学8课后习题答案.docVIP

PAGE 3 | Page PAGE ?2010 Cengage Learning. All Rights Reserved. May not be scanned, copied or duplicated, or posted to a publicly available website, in whole or in part. CHAPTER 8: Discussion Questions and Problems 1. Differentiate the following terms/concepts: Good company and good stock A good company has positive attributes such as a strong management team. A good stock is one you expect to outperform in the future. If markets are efficient there are no good or bad stocks. Momentum-chaser and contrarian A momentum-chaser buys stocks that have performed well in the past. A contrarian buys stocks that have not performed well in the past. International diversification and domestic diversification Portfolio theory teaches us that diversification pays off. If we stick with domestic securities, this is domestic diversification. If, as we should, we move to foreign securities as well, this is international diversification. Anchoring and herding Anchoring means sticking with maintained or prior views. Herding is going with the crowd. One could imagine a group of anchored analysts. In response to some new information several change their views. Others may herd (i.e., follow these analysts) even without studying the new information. 2. In a regression of perceived long-term investment value (LTIV) on size (S), book to market (B/M), and management quality (MQ), the following coefficients (all significant) were estimated: LTIV = -.86 + 0.15log(S) + -.11log(B/M) +.85MQ Discuss what can be learned from this regression (which appears in Shefrin, H., and M. Statman, 1995, Making sense of beta, size, and book-to-market, Journal of Portfolio Management 21 (no. 2), 26-34). In this regression, value as a long-term investment is regressed on size, book-to-market, and management quality. Management quality strongly impacts perceived investment value. This does not make sense because all positive attributes should already be embedded in stock price.