投资学10版习题答案12

《投资学10版习题答案12》由会员分享，可在线阅读，更多相关《投资学10版习题答案12（24页珍藏版）》请在装配图网上搜索。

1、HATER 12： BAIORAL FANEANDTECNICALANALYSISPROBL SES 1ecncal anlysisan gnrall beviedas a sarcfrtnsr patrns market prce. Technicaanalysts end t view heserends menum, r grualadjutments t cot pes，o, ltertivl, reersalsf treds A numbrof the behavioal iasesdiscussedithechpermightontrbute tosch rendsand ptte

2、rns. For exaple, a conervatis bias mightcontribueto endin prce asnesos gradual ake e nfrmation into account,sultig in graul jutmen ofrices towars heir fudamental aues other xample erives fro he cncepof epesetativenes, hich adirsto napporitl conclude， o h asis fa all saple f daa, tht pattern ha ben e

3、stablished hat willontinue wel iotfuture. When inetorssusequentlybcmar ofthe fact hatprices have overract，correctons reerse the initial roneous end.2.ven if many invsrs hibit behavioal iaes， ecuit riceigh stillbe setefficentl he actions of arbitrageusmo prices to teiintinsi alus Abitageurwhoobserve

4、mispricin i he securities mr would buy unerpice scrtis (orssibly ll sor rrced ecres)in orderto rofit from the nticipatdsubsquen chngeaspricesve to their intrinsialues.Conseuetly, secritis priceswold sil exit th arateristcs o an efficiet mket.3O of heajor facoslmitinghe ability of ratonl nveto totaed

5、vantae of an picng erostht rsut froe cionsof behavioraistor ih fact thamispicing cn gtworse over tim An exape of this funmental rik is theapart onging verpicn f thNSDQindex in te late 1990s. Reatdfacors ae th inheen costs n liits rlatd oshort slling， wih restrit etent twhich arbitrage ca forc verpic

6、ed secuti（or indexes) tomov towards ther fir values Ratonal ivestors mus lso b aare of te riskthat a aparen isricing is, infat,a cosequenefmodel rsk； ha is, the prcevd msprcigay notb al bause the nestor h used utymodel ovlue he secuit.hre aretwo reasos w behavora iases mightotafet equilibiumas price

7、s: irs, beavirl isesmigt contiut tothscess oechni radingulesaices dually adjust twardsthr intrnc values,and eod, the tons of bitaeurs miht moveecuriy prcs towardthir itinsc values. It igt be impotnt for investors to be awaeof hse iases ecaus either hese sceio mght creaethptenialfoees pots even if bh

8、avioal iaedo not aft equilibrium ries.In additin，a investor should beaa o his pesonal behvoal is, evnif thosebiasesd otffct quibrum pre, thpavo some these ifrmtion processin errors (. vercnfidne or reseativness）. 5.ficientmaretaocaesbelieve that publicly available nfomation （a, o dvcasof rofo ffienc

9、y,even iidr irtion)s, at anponi ti,eflectd in ecuriies prices,an ha rce adustmen tnenformaion occur vr quick.onsuntly， prices re at fair levels s thatacive management ivy unlikey oimrepromance abovethato a bady diversifieindex portfio In otras, advocats of eavioral ane identify number of nvestor rs

10、in infomtion proessngand eiio making hat uldresult in misrcng of eurties. Hoeer, the baiafinanc literatr geerly dos ot ove guidanc to owthes nvesr rros cbeeoitedto enerate exces rofi herefor, i thabence o any profitable atertis，een if securitismarketare not effiient， he optimal srategy mightstill b

11、a assiv indexingstrtgy.6.a. Daiuss os avrsio as asisfor hrdecison aing. She hldsn ostockhtare down omthe urchaerice nthe ope that they will recer.Sh s elucant to acep aloss.7. hrum refss tfllo a toc ar hesels it beue shdoes otwan to experinc he rgrt of seeing t ise.heehaiorl hacteristic sed fo the b

12、assfrher deciin makn isthe fea f egret.8.aInvstrs atept tovoidegre by hoin o to losrshopn e sock ll rbound. f hesck rebund to i oriinal purchase pie， te soc can be soldwih n reret.Investorsalsoma tr to avoreget by distainghemselves rom teir decisios b hiring afullsvicebroker.9a. i. iiic. v e. i10Ude

13、rlyngiskill exist ev din a micin evet.T maket mpricing culdge wors befoe t gets better.Other vrs effecs couldocu bfore heprce crrctsitlf（e., loss of centswihno nderstndingor appeite fomispricingopportunities) 1 Data mig s theprocesby which paerns are pud rm dta. Tcnial analstsustbe ceul no to egae i

14、n ata inin greis theman capacity o iscer pens he no aterns ist. echncanyts st avid minig dta tsporta her rtrtanun data o tes a hory 2Een ifprcs follow arandm wlk, the existene of irrtional instors comined with lmits oabtage by birgursmay llow pesistent misricigs to be present. Ths imple tha capial i

15、llobe aloed effcientlapitldoe no mmedately lo fr relatie unpoductivefimsorelativeyproducti irs.3.in =This trin rati, hcis aov ., woudbeaas a baish sigal4.Bedth：AdancsclinesN Advancs1,455,53-98Bradhs negatiebrish sinal (no one wuld cualy se oe-day measure).15.Ts exrse isleft o te studnt; answrsillvar

16、, ut succesfu sudents shol be ble toidentfy tie period when pwar or donwrd rde obvos. This eercise alo sows teenfit of hindght, whch instorsdonot poeshen making crent decisins 16e confince indencrease om （5%6%) = 03 to（%/7） 0.57.This ictesslihtly hgher cnfidce which old beinterred by tcnia as aullis

17、 sinal. Bu her eason for he inresei theindex is thexpetaton igher nfation, not hgheronfidn bout t com.17tt bgining oth pri，eprc of Compuer, I. did by thensty inexwas 0.39;ythendo the peod,tratio ha craedto 00 A the ratio ncreaseve the peri,itapers thatComputers, Ic. utprformter ir n its ndury. Teelt

18、rend,terefore, idicats reltvstrengh, althugh se futuateisted durngthperod, with the ratio falling a low pin of 33 on d 19.8.Fie mving averae:Days 5:（9 + 20+20.5 + 22 2.3）/ 5 = 0.6Da 2 6 = 21.13ays 3 = 150as4 8 = 1.90a 59 = 2213ay 6 0= 2268Days 7 1 = 318Dys 8 = .5Sl signal(da 1 prie movig aveage)as 1

19、 22 = 19.2Dys 19 23= 19.93as 0 24 =21.05Day21 25 = .0Days2 26 = 3.18a 3 27 =24.13Dy 4 8 = .Days 5 2 =60Das 26 30 = 6.80a2 3 =27.4Dys 28 32= 2.8Day29 33 = 27.90Sel ignal (day 33 prie mvinavae)ays 30 34 = 0a3 8.5Dys 32 28.65ys33 37 = 29.05a 34 38 = 925Dys 3 9 = .0Days 36 0= 28.519.his patrnss alack of

20、 beadh. Evn thouh teinex p， mor stos declind thn dvancd， whch incats “ck of brod-baedsppot” frthe risin the ndex0.DayAdvancesDecnesNt dansCumulaivBadth907042022265398-333-13178- 68-940368-456645971,095-59-1,26269707026-9941，02609393-601803722181-42098507480-31107676-31The signl s bears as cuulative

21、bredth is netie; hovr,he negate numr is declinin n magnitude， indictiveof iroent.Perhpsthe worst f he eamrkets pased.2.Trin = This i a ligtly llish nicator, wt averae volum in advancig isue abrerthan avage vlue ineciningissues.Confidence Inde Th year: Cndence indx = (10.5%)= 0.76aster: onfience ndex

22、 = (8.%/10%) = 0.0Thus,the conidence indx isdeceg23.Note: In oder to crete he 26wee ming averge for theS&P 50,we cnertedtheweklyretun to wely idex vles, with a basof 100 fthe k prorto thefirst wekof he dta se. The olowig grah sws theS& 00 vles a te 26-wek mong aveage， begnn with the 26twee o thdtase

23、.aThe rap ummazes t daa fthe 26-wemongaerage. The grp alo ws the values of th S&P 50 dexb.e S&P rosses thrug is oving averag from elow 14tmes, a indicte i hetable blow. Theidexinceas seen tesiwksfollowing a costrough ad cease venmesae ofCros-ThroughDecin ofS&P 50in Subsequen Wee05/8/01Dcrase06/0/0De

24、rase1/070Drese2/2/1Increase03/01/02Increse11/22Incease01/030Ieae03/213ecrease0417/03Increas06/1/4Decrease0903/4Incr1/0/04Decrase10/29/4ncres04/0/05Decrsec.T S&P crssesthugh its mig avrae from ov14tm， as indcedi theb below.h idexinreses nie times wes foloing a cs-through ndcreses iv times.ate rosough

25、Diretino S&P50in bsquent WeDate of Cos-ThoDiectiono P 50 in Suben ek001/1cree0328/03Increase0/Incese430/04ceas14/01Incra0204crese002ncrease09/2/04ncase04/05/02Decrese1/1504Decrea2/02Increas4/0nrea01/24/0Decrease04/15/05Increasd. Wn th inex rosses though ts moviveage from below, a i par(b), this is r

26、egadedas aulsh signal. In o sampe, the inde is alikely to increses t is to decrease followig sch a sign Whn the x crssesthrouh it ovinaveag frm aboe， as in prt(c）,thi is regardd as a berish nal In our sampl， onrary tote barisignl, he idei acualy morelikly increae thaitisodeese folowing suh a sigl24.

27、In ode o rea theratiestrengthmeasure, we convted theweky returns h FiditBanking un anfor t S&P500 to wekly indevaes, unga baseof 10 or the week pror tothe rstweek of teaa set. e firs gahshows thesltin values,ngwith the rlivestrn meaue (）. Theon grahshows thpercea chane n e rative srngt mesue ovrfewe

28、k intevas.a.Te folwingrap saries the rae strenth data fo te fund.bOvrfie-ee inevas, relative tenghincrased by more thn 5% time， sindite in thtabl an grah beo. he Fe Bankin Fund undrperformedthe S&P 50 inex 1 imes ad utperfomd te S&P 00 iex 11tms i week flowng aicae moreth 5%Dae f ncresePeroanceBnkin

29、 Fundin SubsequntWekate f IncreasePerfrance of Bankig Fundin Ssequnt Week721Operfoed309/01utperormd08/0400Outperfrmed0/1601Underperfrmed08/0ndeperformed03/3/01Underperfmd08/18/00Outprfore02201Undreored09/2200Outperford08/10Udeefrme09/290Undeperfred35/0uteforme1/00ndeerfomed032/02nderperformed12/0/00

30、Unerprford/2/02Ouerfored2/220Undepfmed4/05/02Outpeormed1229/00Otpefore0412/nderprfomed01/501Underperford04/26/02uterfe01/12/01Uderperme05/0Underpefor0/16/0Urperomed5/02nrperformed02/23/1Ouprformed06/20Unrerfomed/02/01UndeerfomecOefive-ek ntval, reatv trengthcrees by mre han 5% 15 ies, as indicated i

31、thrph bov n abe elow. TheFidity anking Fund undereforme the& 500index six iesantperfomdthe S& 50 ex nine times in wek folloing a dreae of moe thn5%.Dat of DereasePerormanc f Bn Fun nusequent WekDate o DecreasePformane o ankngFud iubsquent ee07/0Uderperformed041/0Udrprforme0/14/0utprforme42/0Outerore

32、00401Udeprfore2/03/0uperfomed051/tperfored2/1004Underrform1012/01Oupefomed17/04Oupefored1/02/1Outpefrmed2/2Undeerformed04/0Outprformed/3/04Undererford10/2Outerfrmddn creas in relatie trent,a i part （b) bve, regrde as abulish nal However， in our sl, te FidetyBang udis more liely to unepeformth &P 50

33、ndex tanit is to oupeforh index olong sucha sial. erasein eaiesrng, si (c),is rgarded asa earihga.In u sampl, contary to thebaihal,thFidlt Baking Fndis ctualmor liklyto outperformhe inex incraethan it is to underpefrm flwing suc a signal.25.It hs beson tt iscrepances ofricefromneasset vle in closed-

34、en undsten t b hgher infund that r moe dfcltoarrgeuc s sdirsifd unds. FA PROBLEMS 1.Metalaccountingis es ilstratd y Saement #3 Samosrequirment that his cme neds bemetvianterestinco and sk dividends isn ealeof mental accunting. Menalccountin ol tat ivestors sgegate fds to mntal acounts (e, ivides d a

35、ptal gans), mntain a set of sepratemtal accout, nd do o cmine utcoes;a oss i oneaccont itratedsetelyfrom a lss i anther count. Menl ccuta t n nesto pefence fr dividends over caialains a o annabit orfailurtoconsiertoalreturn.ii.Oronfdence(iusion of conrol) is b ilustrated tatmet6. amps dere to seevsm

36、ents tat ar inonistent wih hi vrall stratg indcate oerconidence Ovrconidn inividulsoften xhitriskeking ehavir Pepl are aso me cnden thlidity oftheir conclusions his jusifid by eir suces rteCuses ofoveronidece inclu he ilusi of coo, self-enancemet endencie, isenitivity to redctve cracy, and sconcepio

37、sof chanprocses.iii.Rference deeenc is bestilstrateb Sateent #5. Smsons desire to rtain poor-peformng invetens ad t tke uik roftson sucesfulnesents suestefrence depedece. Rfeenceeec holds thatnestmet decsion are criticalydpenton the dcomkrs refece poin.In hicae, therference po iste riginl prchas rce

38、. Altenaves aeevalated oi terms of fa outcomesbuatr in tersof gainsad osserltie to thisreference oint. Thus, preferc are uscetibleto miultoiml by changng th rerce oint.2.Frosts statmentn example fferen deendene. His nlaio tsell the nteratiol invetentsoc prisetur tothe onal o ependsno onl on th terma

39、weat value， bu alo oree isnow, that is, is reren poin. This rfeencepint, which i owtheoiginl co,asbeme crital actor Fsts decisin sandar finnc，trnatve aevauated i rms oftemial walthvaluorinalutco, no i ems of g n loses reative o smeefrene point suh aorgnal costbrst sateent is anamp of useptiliy t ont

40、e erro， iat leas tos. Firs, e is isplaying the behaioal fla of overfdence. He lke is more confident aou thevality of h ocluon thanis ustifedby his rateo ucces.He s ver confidet tha the pa erfrmanceoCountryXZ iniates uure pfomance.Behavorl invsrul， an often do， nclue ta ve-year recrd is mp evidento u

41、ggest uture erorman Scond, by hsintoinvet inth securti o onl CounryXY, Froti also exemplifying te ehavirlfinace hnoenoofass egregaton t is, is evaluatng CountryXZ inesmen in erms ofits aipd no lsss iew in iolaonIdividals aretyicll mreconfident about the valiity of th ncusions than sjsifie theirscces

42、s rate orby the incipls of standad fian, espeiy wth rard to relvat time horo. standardfin,invstrs knowha fi yearsof rernson Conr XYZ securi relaive to al ther arket povi litteifmaton about uureperformnce A stard innc investrwoud not be foled btis“awof small numbs.” In andard finance, nvstoraluae prf

43、oracin ptfoio tes, in tsse efedby binng hounrXYZ olding wit all ther securitis hd. estmnts in County Y，li allotherpotetl nvestments,shol evalte in tem theanticptd conribtoo the rikrwrdproileof enire orfolio.cFotsstatemet s n exape ofenal accontng. Ment accuing s that inverssereg moey ito ental cunts

44、 (e.g.， af versus specuative)， maintaa et osepraemental accons, ad d no mbi outms; a los in one accounti trated spartl frma loss in anotheracut. ne manifetaton mentalacoung, n whicFrst is enagig， isbudn portfoloas a pyrmidof aset， lyr by layer, wth the reiren co reprsentin laer separat frm he peulai

45、fund. Each yer is assoiatdhiern olsndttidestoward r. He sore risk verse witrspttthe retirementacontthan e i with rsecto th peculaive fn acun. T money the rtiremt acon is a wside protctonaye， dgned toavoifutue vrty.Temoney n te specuative fudcout is he upside poentialayer, esgned fr chance at eing ri

46、c.n stdard inne, deciisconsie te rikanreturnpoile of hentrporfoliorahe than atcpated gins losse n an particla accon， investmt, r classf vesmen Alternaves should be osidere in rms o fnal utomesintoa portfoo conterather thaniterm of conbtions asfe or a secutive acout Standadane nvetorsekto mxmizth mea

47、n-varancestrutur of theptfooas a wholeand considrvarins betwe assetsahey contrctteir porlio. Stdard finance inestors hae onsistent atttues owar riskacross thr entireportfoo.3.a.Iusio f knowedge： Mclibelee h isa exton,ndcn akcurtefoecasts abo, te real esae arket sl ecase ha stued ousingarket ata ont Iner