Читать книгу Behavioral Portfolio Management - C. Thomas Howard - Страница 29

1 Daniel Kahneman, Thinking, Fast and Slow (Farrar, Straus and Giroux, 2012). [return to text]

2 Shefrin (2008) introduces the concept of “knife edge” market efficiency which exists only with the occurrence of a rare combination of wealth and investor emotions. Thus he argues stock prices rarely reflect underlying fundamentals. [return to text]

3 Robert Shiller, ‘From Efficient Market Theory to Behavioral Finance’, Journal of Economic Perspectives 17 (2003), pp. 83-104. [return to text]

4 R. Mehra and E. Prescott, ‘The equity premium: A puzzle’, Journal of Monetary Economics 15 (1985), pp. 145–161and R. Mehra and E. Prescott, ‘The Equity Premium in Retrospect’, NBER Working Paper No. 952 (February 2003). [return to text]

5 S. Benartzi and R. Thaler, ‘Myopic Loss Aversion and the Equity Premium Puzzle’, Quarterly Journal of Economics 110:1 (1995), pp. 73-92. [return to text]

6 Hersh Shefrin, Behavioralizing Finance (Now Publishers Inc., 2010). [return to text]

7 See the behavioral finance summaries in Shefrin (2010), Hirshleifer (2008), Barberis and Thaler (2003), Baker et al. (2007), and Subrahmanyam (2007). [return to text]

8 See articles by Alexander, Cici, and Gibson (2007); Baker, Litov, Wachter and Wurgler (2004); Chen, Hong, Jegadeesh, and Wermers (2000); Cohen, Polk and Silli (2010); Collins and Fabozzi (2000); Frey and Herbst (2010); Kacperczyk and Seru (2007); Keswani and Stolin (2008); Kosowski, Timermann, Wermers, and White (2006); Pomorski (2009); Shumway, Szeter, and Yuan (2009); and Wermers (2000). [return to text]

9 There is another research stream that shows truly active managers are able to earn superior returns. See Amihud and Goyenko (2013); Brands, Brown, and Gallagher (2006); Cremers and Petajisto (2009); Kacperczyk, Sialm, and Zheng (2005); and Wermers (2010). [return to text]

10 It is an open research question to determine the source of these excess returns, that is, what portion is due to harnessing behavioral factors and what portion is due to generating a superior information mosaic. It is difficult to untangle these two return drivers, so for now we are left with the plausible supposition that emotionally-driven prices are the most important source of excess returns for fund managers. [return to text]

11 See Bollen and Busse (2004); Brown and Goetzmann (1995); Carhart (1997); Elton, Gruber and Blake (1996); Hendricks, Patel, and Zeckhauser (1991); Jensen (1968); and Fama and French (2010). [return to text]

12 Other possible reasons why a fund might purchase other than best idea stocks, as the fund grows in size, is mimicking the index to lock in a past alpha and becoming a closet indexer to avoid style drift and tracking error. [return to text]

13 J. B. Berk and R. C. Green, ‘Mutual Fund Flows and Performance in Rational Markets’, Journal of Political Economy 112:6 (2004), pp. 1269-1295. [return to text]

14 See Chen, Hong, Huang, and Kubik (2004); Han, Noe, and Rebello (2008); and Pollet and Wilson (2006). [return to text]

15 H. Markowitz, ‘Portfolio Selection’, The Journal of Finance 7:1 (March 1952), pp. 77-91. [return to text]

16 Higher return variance lowers an investment’s long-term compound return, but this impact is small compared to the impact of investing in lower expected return markets. [return to text]

17 See French, Schwert and Stambaugh (1987). [return to text]

18 Several studies confirm that the typical equity mutual fund investor earns a return substantially less than the fund return because of poorly timed movements in and out of the fund. [return to text]