Читать книгу Behavioral Finance and Your Portfolio - Michael M. Pompian - Страница 21

On Monday, October 18, 2004, a significant but mostly unnoticed article appeared in the Wall Street Journal. Eugene Fama, one of the leading scholars of the efficient market school of financial thought, was cited admitting that stock prices could become “somewhat irrational.”⁸ Imagine a renowned and rabid Boston Red Sox fan proposing that Fenway Park be renamed Mariano Rivera Stadium (after the outstanding New York Yankees pitcher), and you may begin to grasp the gravity of Fama's concession. The development raised eyebrows and pleased many behavioralists. (Fama's paper “Market Efficiency, Long-Term Returns, and Behavioral Finance” noting this concession at the Social Science Research Network is one of the most popular investment downloads on the web site.) The Journal article also featured remarks by Roger Ibbotson, founder of Ibbotson Associates: “There is a shift taking place,” Ibbotson observed. “People are recognizing that markets are less efficient than we thought.”⁹

As Meir Statman eloquently put it, “Standard finance is the body of knowledge built on the pillars of the arbitrage principles of Miller and Modigliani, the portfolio principles of Markowitz, the capital asset pricing theory of Sharpe, Lintner, and Black, and the option-pricing theory of Black, Scholes, and Merton.”¹⁰ Standard finance theory is designed to provide mathematically elegant explanations for financial questions that, when posed in real life, are often complicated by imprecise, inelegant conditions. The standard finance approach relies on a set of assumptions that oversimplify reality. For example, embedded within standard finance is the notion of Homo economicus, or rational economic man. It prescribes that humans make perfectly rational economic decisions at all times. Standard finance, basically, is built on rules about how investors “should” behave, rather than on principles describing how they actually behave. Behavioral finance attempts to identify and learn from the human psychological phenomena at work in financial markets and within individual investors. Standard finance grounds its assumptions in idealized financial behavior; behavioral finance grounds its assumptions in observed financial behavior.