耶鲁大学公开课金融市场英文文本.pdf

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1、耶鲁大学公开课金融市场英文文本 07 Financial Markets:Lecture 7 Transcript Professor Robert Shiller:Todays lecture is about behavioral finance and this is a term that emerged into public consciousness around the mid-1990s;before that it was unknown.The term efficient markets is much older;I mentioned the idea goes b

2、ack to the nineteenth century and the term goes back to the 1960s.But behavioral finance is a newer revolution in finance and its something that I have been very involved with.I have been organizing workshops in behavioral finance ever since 1991,working with Professor Richard Thaler at University o

3、f Chicago.Weve been doing that for eighteen years;amazing,thats a long time for you,right?When we started we were total outcasts,we thought;nobody appreciated us.I had tenure so I could do it but the problem is,you dont want to do things that are too out of fashion.Fortunately,we have a system that

4、allows it to happen and Im very happy to have that.What behavioral finance is a reaction against extreme-some extremes-that we see in efficient markets theory or also in mathematical finance.Mathematical finance is a beautiful structure and I admire what the people have done and Ive worked in it mys

5、elf,but it has its limits.Eventually-you know the way a paradigm develops-it goes through a certain phase.When mathematical finance was new,say in the 1960s,it was the exciting thing and nobody wanted to work on anything else;you wanted to be doing the exciting thing.As the 70s and 80s wore on,it go

6、t to be a little bit overdone;people run with it too far,they think thats all we want to do,and we dont want to think about anything else.Then they start to get sometimes a little crazy.Than we had to reflect that,well,things arent perfect.The world isnt perfect and we have real people in the world,

7、so that led to the behavioral finance.Behavioral finance really means-what does it mean?Its not like behavioral psychology.It doesnt mean behavioral psychology applied to finance.It really means something much more broad than that.It means all of the other social sciences applied to finance.The econ

8、omics department is just one of many departments in the university that teaches us something about how people behave,so if we want to understand how people behave we cant rely only on the economics department.I think that its coming around to a unifying of our understanding.Since then-since the begi

9、nnings in the 90s,our behavioral finance workshops have grown and grown and,of course,so many people are involved in it now;its now very well-established.Before I get into that,I want to give some additional reflections on the last lecture.I have this chart,which you saw last time-actually its an Ex

10、cel spreadsheet that-I also put it up already on the classes V2 website so you can play with it.I just want to reflect again-I know Im repeating myself a little bit,but its very important.What we have in this chart is the blue line,which is the Standard&Poor Composite Stock Price Index going back to

11、 1871-from 1871 to 2008,right now-so thats like 130 years of data.Thats the blue line.You can see the-do you know what that is there?Thats 1929 and that is the Crash of 1929.Well,actually it extended to 1932 and you can see other historic movements.Theres the bull market of the 1990s-a very big upsw

12、ing-and then theres the crash from 2000 to 2003.I dont know if you remember these things,they were big news,not as big as the 1929 crash,but the upswing was just as big as the 1920s upswing,wasnt it?Heres the 1920s huge upswing in stock prices.This is in logs,by the way,so upswing and heres the 1990

13、s upswing-that means that everything-the same vertical distance refers to the same percentage change in the price.Then I had,as I said last period,I have a random walk shown-thats the pink line.The random walk is generated by the random number generator.I fixed the random number generator,so I made

14、it truly normal this time.It slows it down a little bit,but if you press F9 we get another random walk,but its always the same stock price.This is a random walk with a trend that matches the uptrend of the stock price.I can press-it kind of looks similar,doesnt it?It kind of shows that in some basic

15、 sense the stock market and the random walk are the same.Here we have the crash of-here we have the market peak of 1929 except it turned out in this simulation to have occurred in 1910 or thereabout.Then we have the-thats The Depression of the 30s except its not the 30s.I can just push a button and

16、we get something else.I find this amusing.I dont know.Unfortunately,we live through only one of these in our lifetime.Theres a TV show about parallel universes,right?Whats the name of that show?I cant remember it.Dont you know this show?Where they go in some kind of time machine and they emerge in a

17、nother parallel universe where history took another course.Well anyway,these are parallel universes that we see.In some of these universes,Jeremy Siegel would write his book,Stocks for the Long Run,and in some of them he would not becausewell,this one he might not because in this case the stock mark

18、et was just declining for the better part of a century.The thing I dont see in these charts and I think we havent captured it perfectly with just the standard random walk is I dont see any crash as big as the 1929 crash.Its hard to get them.I keep pushing F9-this just seems to dominate,right?Theres

19、nothing as big here-press F9 again-you can keep pushing and pushing,maybe youll get one but you have-you get the idea that theres something anomalous about that crash from the standpoint of this random walk theory.Im not getting one,right?Thats something that well talk about.I would-Im not-I can pus

20、h for a long time and I dont see-well theres a pretty big one.Isnt that just about as-not quite as sharp as the 1929 crash,but its hard to get them.I think that one thingthere are a couple of things that well come back to.One is-I think Ive already mentioned it-fat tales.Stock price movements have a

21、 tendency to show some extreme outliers that are not represented by the normal distribution.But also,there are variations in the variance.So,in this period here-in the 20s and 30s-the stock market was extremely variable on a day-to-day basis;it was way beyond anything weve observed since.So,thats wh

22、y it seems to be more volatile in that period because the accumulation of bigger random shocks.Anyway,we can play this game for a while but now I want to go and talk about-remember that the random walk that we see in stock prices is not the behavior of a drunk,even though you can describe a random w

23、alk as drunken behavior.The idea in the theory is that these movements only appear random because theyre news and news is always unpredictable.If the market is doing the best job-this is efficient markets-in predicting the future,that means then that any time the stock market moves its because somet

24、hing surprising happened.Like there might be a new breakthrough in science or there could be war or something outside-this is the story-outside of the economic system that disrupts things.The next question thennow,Ive added something-its on this little tab here-Ive added something,which is a plot of

25、 present values.This is something that I published in 1981.Thats a long time ago,isnt it?It was my first big success.Not everyone liked this article,but what I had-I got into a lot of trouble for it.I learned some people react with hostility when you offend their cherished beliefs,so I was on the ou

26、ts for a while with this article.I said,its kind of interesting to think that all these apparently random movements are really resulting in news about something that is fundamental-thats the efficient markets.Every time the stock market moves its because there was some news about what?Well,its about

27、 present value.The efficient markets theory,in its simplest incarnation,says that the price is the expected present value of future dividends.What I did,in a paper that I published in 1981,is I said,well lets just plot the present value of dividends through time.Thats how I constructed this long tim

28、e series back to 1871;nobody else was looking at it.Typically,researchers want the best data,the high quality data,and so they would look at recent data,which was the best data,and they would think going back to 1871 is crazy because thats so long ago.We have daily or minute-by-minute data by now,bu

29、t we cant get it for that remote period.On the one hand,as I argued,the stock market is pricing things that occur over long periods of time.The present value formula is pricing dividends into the future,decades into the future-well,actually to the infinite future,but most of the weight is on the nex

30、t few decades.So,we cant evaluate the theory by just looking at ten years of data weve got to get a lot of data.What I did then in that paper was I computed the actual present value of subsequent dividends for each year-thats on this tab-and compared it with the stock price;so thats what I did.This

31、is an update of a plot that I showed in my 1981 American Economic Review paper.The blue line-because when I published it I was right here.Its amazing how time goes by;it was 1979,I was right here.We had just come off from the big stock market drop of the-it was the 73-75 drop and it was a couple of

32、years later,so we were kind of bumbling around down here.We didnt have any idea whether this was coming at the time.What I did was I just,for each year,computed the present value of the dividend.I have a dividend series for every year.In fact,its right over here.I have to-this is the data,so I have

33、the-this is the S&P Price Index monthly,back to 1871,and here are the dividends they paid per share every year since 1871.I just,for each year,I took all subsequent dividends and I priced them out at the present value formula and I used the constant discount rate of 6%a year.So,you see how we get wh

34、at the present value was.Of course,theres a problem because we dont know dividends after 2007 because we dont have data on dividends past then.But,I just made some assumptions,so the value at the end is maybe a little bit arbitrary.It could be dragged up or down if I made a different assumption abou

35、t dividends at the end.More or less,this is going to be what actually the present value of dividends was over this whole period.Heres the dilemma-this is what I said in my 1981 article-this is the thing that is supposed to be forecasted.Thats the present value and the blue line is the forecast of th

36、at thing.Then you ask,does this look like a good forecast?Were people doing a good job of forecasting the red line with the blue line?Now,that may be a loaded question;but,I think that you get the impression that theres something possibly wrong here with efficient markets because the red line is jus

37、t a smooth growth path like nothing happens to it and yet the stock market is going up and down all over the place.Its a little bit like if you had a weather forecaster and this morning he says,I predict today that the low today will be-100 and then two days later he says,I predict that the low toda

38、y will be+150.You would eventually start concluding that this weather forecaster cant be trusted because we never get to those temperatures.Thats sort of what the stock market is doing;its fluctuating much more than the thing thats forecasted.Youve got to be careful;I ended up with so many critics.T

39、here are lots of issues here that-some people said,well people dont know where the red line was last period.And other people said,well you just are showing one reality for the realization-youre showing-they kind of get back to this parallel universe story.There must be another universe where theres

40、another Earth and where everything looks the same except that the red line did something very different;that could be.So,people are saying,you never know,there could have been a communist revolution in America in the 1930s and they could have nationalized the whole stock market and then the red line

41、 would be down at zero-they would have taken the whole thing.Or there could have been some good news,some great breakthrough that we havent discovered yet but in another reality they could have.So,all this noise in the stock market could have somehow been new information about things that didnt happ

42、en.I think were getting kind of philosophical when we go to that.The point is that weve never seen any movement in the present value of dividends that would justify the movement.If we knew the future with certainty,according to this model,then the stock market would behave like the red line,not like

43、 the blue line.Well,anyway.For example,lets look at the Great Depression of the 1930s,at the very least I think this chart will reveal some misconceptions that some people have.The Great Depression of the 1930s was awful,right?I mean you hear these stories;I assume you hear these stories.We had 25%u

44、nemployment at the peak-it sounds really bad.We had people selling apples on the street;you must know these images,right?It sounds awful,but look what happened to p*in the Great Depression.I can hardly see anything.Well,what actually happened was businesses continued paying their dividends right thr

45、ough the whole Depression and some of them cut their dividends,but it was only for a few years.The present value of-the value of stock depends on what it pays out over decades not just next year.The stock market-if people knew the-even if they knew the depression was coming,they shouldnt have marked

46、 down the stock market so much,according to this simple efficient markets story-according to the present value story.At the very least,I think that this diagram helps you to see what is wrong or what simple theories are wrong.So,it must be that if the stock market is reacting to new information over

47、 all this century of history,it must have been new information about things that just didnt happen.It could be that an asteroid almost struck the Earth and then it just missed and so the stock market crashed.Then when it missed it came back up again,so we dont see any interruption in dividends.But i

48、t has to be something like that.The problem is,I cant think of anything like that.I dont think that any asteroid came close to the Earth-not close enough to be worried about-and I cant think the communist revolution had much chance of taking place in the United States-but you can imagine-so we dont

49、know.Behavioral finance kind of tends to reach the opposite conclusion:that this volatility in the stock market is the sign of something else;its some social force,some speculative bubbles,some activity that is not related to anything fundamental.The reason I got so much hostility when I wrote these

50、 papers is I was striking a nerve,I guess,because many people have developed these beautiful mathematical theories that said that the stock market was the optimal predictor of everything and I was saying the emperor has no clothes;so there were others like that.What is happening?What Im coming aroun