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Behavioral Finance Limited Rationality in Financial Markets.pdf
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Section I − The Homo Economicus in the center of Traditional Finance ... 21
1 How Neoclassical Theory shaped rational economic behavior ..... 21
1.1 From Traditional Finance to Emotional Finance ........................................... 22
1.2 Classical theories of Traditional Finance ........................................................ 29
1.2.1 The rational economic market participant according to Smith ................. 29
1.2.2 Random Walk Theory according to Bachelier ............................................... 31
1.2.3 Expected Utility Theory according to von Neumann & Morgenstern ..... 36
1.2.4 Information processing according to Bayes ................................................... 40
1.2.5 Efficient Market Hypothesis according to Fama ........................................... 42
Summary Chapter 1 ........................................................................................................... 48
2 Limitations of Traditional Finance ........................................................... 51
Models of Neoclassical Capital Market Theory ............................................. 51
Portfolio Selection Theory ................................................................................. 51
Capital Asset Pricing Model (CAPM) .............................................................. 58
Arbitrage Pricing Theory as an alternative to CAPM .................................. 62
2.2 Valuation methods as a basis for financial decisions ................................... 64
2.2.1 Fundamental Analysis ......................................................................................... 65
2.2.2 Technical Analysis ............................................................................................... 70
2.3 Old vs. new reality ‒ the Black Swan .............................................................. 75
Summary Chapter 2 ........................................................................................................... 78
Concluding remarks Section I ......................................................................................... 79
Section II ‒ Recurring speculative bubbles ‒ triggered by the Homo
Economicus Humanus ........................................................................ 81
3 Investor behavior from the perspective of Behavioral Finance .... 81
3.1 Starting point and objective of Behavioral Finance...................................... 81
3.1.1 Evolving concept of rationality ......................................................................... 84
3.1.2 Departure from the Expected Utility Theory ‒ Bounded Rationality ........ 88
3.2 Change of perspective within the framework of Behavioral Finnance ...... 90
3.2.1 Comparison of neoclassical and behavioral capital market theory ........... 90
3.2.2 Research methods of Behavioral Finance ........................................................ 94
3.2.3 The investor in the course of time .................................................................... 97
Summary Chapter 3 ......................................................................................................... 100
4 Speculative bubbles as a sign of market anomalies .......................... 101
4.1 Causes of speculative bubbles and their intensification ........................... 101
4.1.1 Herding ................................................................................................................ 104
4.1.2 Limits of arbitrage ............................................................................................. 107
4.2 Anatomy of speculative bubbles according to Kindleberger & Minsky 111
4.3 Detailed review of bubbles and market anomalies ..................................... 114
4.3.1 Significance of speculative bubbles for economies .................................... 115
4.3.2 Types of speculative bubbles ........................................................................... 116
4.3.3 Types of capital market anomalies ................................................................ 118
Summary Chapter 4 ......................................................................................................... 125
5 Speculative bubbles from the 17th to 21st century ............................. 127
5.1 Benoit Mandelbrot’s market characteristics ................................................ 128
5.2 Examples of significant speculative bubbles ................................................ 130
5.2.1 The Tulip Mania of 1636 .................................................................................. 131
5.2.2 The Mississippi bubble of 1716 ....................................................................... 134
5.2.3 The stock market boom and crash of 1929 ................................................... 138
5.2.4 The dot-com speculative bubble of the late 1990s...................................... 141
5.2.5 The U.S. real-estate credit bubble between 2001 and 2006 ....................... 146
5.2.6 Speculative bubbles after the U.S. mortgage crisis ..................................... 153
5.3 Indications of speculative bubbles in Private Equity ................................. 162
Summary Chapter 5 ......................................................................................................... 168
Concluding remarks Section II ...................................................................................... 169
Section III – The Homo Economicus Humanus within the information
and decision-making process ......................................................... 171
6 Information and Decision-Making Process .................................... 171
6.1 Phases of the information and decision-making process .......................... 171
6.1.1 Information perception .................................................................................... 172
6.1.2 Information Processing/Evaluation ............................................................... 176
6.1.3 Investment Decision.......................................................................................... 1
6.2 Basis of decision-making from the perspective of Behavioral Finance .. 180
6.2.1 Decision-making based on Prospect Theory ................................................ 180
6.2.2 Features of the valuation functions ................................................................ 184
6.2.3 Valuation of securities based on the Prospect Theory ............................... 187
Summary Chapter 6 ......................................................................................................... 192
7 Limited rationality during information perception ........................ 193
7.1 Heuristics of cognitive origin .......................................................................... 195
7.1.1 Misperception of probabilities ......................................................................... 195
7.1.2 Misinterpretation of information ................................................................... 202
7.2 Heuristics of emotional origin ........................................................................ 207
7.3 Assessment of the risk/return-harmfulness of reviewed heuristics ....... 210
Summary Chapter 7 ......................................................................................................... 212
8 Limited rationality during information processing ........................ 213
8.1 Heuristics of cognitive origin .......................................................................... 214
8.1.1 Misperception of probabilities ......................................................................... 214
8.1.2 Misperception of information ......................................................................... 222
8.1.3 Misperception of objective reality .................................................................. 223
8.1.4 Misperception of one’s own abilities ............................................................. 228
8.2 Heuristics of emotional origin ....................................................................... 234
8.3 Assessment of the risk/return-harmfulness of the heuristics considered .................................................................................................................. 235
Summary Chapter 8 ......................................................................................................... 237
9 Limited rationality during decision-making ...................................... 239
9.1 Heuristics of cognitive origin .......................................................................... 240
9.1.1 Misperception of objective reality .................................................................. 240
9.1.2 Misperception of own abilities ........................................................................ 242
9.2 Heuristics of emotional origin ........................................................................ 245
9.2.1 Misperception of objective reality .................................................................. 245
9.2.2 Misperception of one’s own abilities ............................................................. 254
9.3 Assessment of the risk-/return-harmfulness of the considered heuristics ......................................................................................................................... 260
9.4 Overview of the heuristics considered in the information and decisionmaking process ................................................................................................... 262
Summary Chapter 9 ......................................................................................................... 264
Concluding remarks Section III ..................................................................................... 265
Section IV – Applications of Behavioral Finance and Recent Developments ................................................................................................. 267
10 Applications of Behavioral Finance in Wealth Management ....... 267
10.1 Overview of limited rational behavior in investment advice ..................... 268
10.2 Dealing with heuristics in investment advice ............................................. 273
10.2.1 Applied heuristics during information perception ..................................... 275
10.2.2 Applied heuristics during information processing ..................................... 277
10.2.3 Applied heuristics during decision-making ................................................. 280
Summary Chapter 10 ...................................................................................................... 284
11 Application of Behavioral Finance in corporate governance ....... 285
11.1 Overconfidence in entrepreneurial investment decisions ........................ 285
11.2 Dividend policy from the perspective of Behavioral Finance .................. 291
11.3 Initial Public Offerings from the perspective of Behavioral Finance ..... 296
11.4 Corporate Governance from the perspective of Behavioral Finance ..... 298
11.5 Equity Premium Puzzle .................................................................................... 303
Summary Chapter 11 ...................................................................................................... 304
12 Financial Nudging ‒ behavioral approaches for better financial
decisions............................................................................................................. 307
12.1 Libertarian Paternalism .................................................................................... 307
12.1.1 Choice architecture ........................................................................................... 308
12.1.2 Freedom of choice and paternalism ............................................................... 309
12.1.3 Types and characteristics of nudging ............................................................ 310
12.1.4 Criticism of libertarian paternalism .............................................................. 315
12.2 Financial nudging approaches ........................................................................ 317
12.2.1 Behavioral science foundations of financial nudging ................................ 318
12.2.2 Personal Loans ................................................................................................... 320
12.2.3 Credit Cards ........................................................................................................ 321
12.2.4 Mortgages ............................................................................................................ 323
12.2.5 Pension provisions ............................................................................................ 324
12.2.6 Shares and bonds ............................................................................................... 328
Summary Chapter 12 ...................................................................................................... 331
13 Further development of Behavioral Finance ‒ a look into the
future .................................................................................................................. 333
13.1 Limits of Behavioral Finance ........................................................................... 3
13.2 Emergence of Neurofinance/Neuroeconomics ............................................ 335
13.2.1 Research on the human brain .......................................................................... 337
13.2.2 Decision processes from the perspective of Neurofinance ....................... 341
13.3 Origin of Emotional Finance ........................................................................... 347
13.3.1 Emotions as a basis for investment decisions .............................................. 349
13.3.2 Interpretation of market movements from an Emotional Finance
perspective ........................................................................................................... 353
Summary Chapter 13 ....................................................................................................... 358
Concluding remarks Section IV .................................................................................... 359
Glossary ........................................................................................................................... 361
Literature ........................................................................................................................ 373
Books ............................................................................................................................... 373
Journals and Essays ...................................................................................................... 379
Websites ........................................................................................................................... 393
Biographies ..................................................................................................................... 399
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