Lottery Players/Stock Traders
Lottery Players/Stock Traders
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DOI：
10.2469/faj.v58.n1.2506
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发表时间：
2002-01
影响因子：
2.8
通讯作者：
M. Statman
中科院分区：
文献类型：
--
作者：
M. Statman
股票交易者和彩票购买者的行为可以告诉我们我们共同的愿望，思想和情感，并帮助回答许多金融问题。“我的投资者坚持购买美国国债，因为他们发现公司债券风险太大，”一位财务顾问说，“但他们也坚持交易热门的IPO和购买彩票。那么，它们是什么--规避风险还是寻求风险？”事实上，我们都是风险厌恶者和风险寻求者，我们的双重行为揭示了我们的愿望，思想和情感。50多年前，米尔顿弗里德曼和伦纳德萨维奇指出，风险厌恶和风险寻求在我们的行为中扮演着共同的角色：买保险的人通常也会买彩票。不久之后，哈里·马科维茨写了两篇论文，反映了两种截然不同的行为观。在一个，他创建了均值方差框架，在另一个，他扩展了保险彩票框架。在均值-方差框架中的人，不像在保险-彩票框架中的人，从不买彩票;他们总是风险厌恶的，从不寻求风险。从我们的理论中排除风险比从我们的行为中排除风险更容易。尽管均值-方差投资组合理论已经成为标准金融理论的基础，但投资者仍继续交易股票和玩彩票。在标准金融理论中，彩票和股票交易是一个难题，因为它们是负和博弈，即联合收割机高风险和负预期收益的博弈。彩票是一种负和游戏，因为彩票管理机构保留了一部分钱。股票交易（与购买和持有相反）是一种负和游戏，因为经纪人和做市商保留了部分资金。那么，人们为什么要玩呢？首先，也许所有的彩票玩家和股票交易员都认为自己高于平均水平，即使在负和游戏中也有可能获胜。第二，也许彩票玩家只是喜欢玩，股票交易员只是喜欢交易。第三，也许彩票玩家和股票交易员是因为他们渴望在生活中向上移动，从工人阶级到中产阶级或上层阶级。我讨论了玩彩票和股票交易的三个可能的原因：我们认为我们高于平均水平。根据2001年对个人投资者的调查，投资者预计股市在接下来的12个月内提供10.3%的平均回报，但他们预计自己的投资组合提供11.7%的平均回报。换句话说，投资者的平均预期高于平均水平。人们在彩票和交易领域表现出的不切实际的乐观情绪与他们在其他领域表现出的不切实际的乐观情绪相似。人们期望他们的第一份工作的满意度高于平均水平，薪水高于平均水平，并且有高于平均水平的天才儿童的可能性。我们喜欢玩。彩票和股票交易让玩家或交易者找到“心流体验”。当高挑战与高技能相结合时，流动就会到来。这是一个运动员的经验“在区”，一个老虎机玩家拉杠杆，或日内交易者着迷于闪烁的颜色显示器。我们有抱负。一些渴望成为百万富翁的人可以通过向个人退休账户和401（k）账户提供稳定的捐款来实现他们的愿望。对其他人来说，股票交易和彩票游戏提供了唯一的上升途径。例如，PBS 1997年的一个前线节目《赌市场》（Betting on the Market）展示了一对经常交易并不断观看CNBC的年轻夫妇：“这是我们梦想中的房子。. .,”妻子指着一栋豪宅的设计图说。“当我们早上去上班和疲惫地回家时，我们都会看着它。. . .是不是很美？”保险-彩票框架是行为投资组合理论中的一个重要组成部分。在该理论的简单版本中，人们有两个目标一个是“下行保护”目标，另一个是“上行潜力”目标。典型的下跌保护购买是一个股权参与票据，这确保投资者至少会拿回他们的钱。为获得上涨潜力而购买的典型产品是一张彩票。彩票购买者可能会失去他们的钱，但他们有机会获得甚至数百万美元的上行水平。
The behavior of stock traders and lottery buyers can teach us about our common aspirations, thoughts, and emotions and help answer many questions of finance. “My investors insist on buying Treasury bonds because they find corporate bonds too risky,” says a financial advisor, “but they also insist on trading hot IPOs and buying lottery tickets. So, what are they—risk averse or risk seeking?” In fact, we are both risk averse and risk seeking, and our dual behavior reveals our aspirations, thoughts, and emotions. More than 50 years ago, Milton Friedman and Leonard Savage noted that risk aversion and risk seeking share roles in our behavior: People who buy insurance policies often also buy lottery tickets. A short time later, Harry Markowitz wrote two papers that reflect two very different views of behavior. In one, he created the mean–variance framework, and in the other, he extended the insurance–lottery framework. People in the mean–variance framework, unlike people in the insurance–lottery framework, never buy lottery tickets; they are always risk averse, never risk seeking. It is easier to banish risk seeking from our theory than from our behavior. Although mean–variance portfolio theory has become the basis of standard financial theory, investors continue to trade stocks and play the lottery. Lottery playing and stock trading are puzzles in standard financial theory because they are negative-sum games—games that combine high risk with negative expected returns. Lottery playing is a negative-sum game because the lottery authority keeps some of the money. Stock trading (as opposed to buying and holding) is a negative-sum game because brokers and market makers keep some of the money. So, why do people play? First, perhaps all lottery players and stock traders think they are above average, likely to win even in a negative-sum game. Second, perhaps lottery players simply like to play and stock traders simply like to trade. Third, perhaps lottery players play and stock traders trade because they aspire to move up in life, from the working class to the middle or the upper class. I discuss these three possible reasons for lottery playing and stock trading: We think we're above average. According to a 2001 survey of individual investors, the investors expected the stock market to provide a mean 10.3 percent return over the following 12 months, but they expected their own portfolios to provide a mean return of 11.7 percent. In other words, investors expected, on average, to be above average. The unrealistic optimism that people display in the lottery and trading arenas is similar to the unrealistic optimism they display in other arenas. People expect higher-than-average satisfaction in their first jobs, higher-than-average salaries, and a higher-than-average likelihood of having gifted children. We like to play. Lottery playing and stock trading allow players or traders to find “flow experiences.” Flow comes when high challenge meets high skill. It is the experience of an athlete “in the zone,” a slot machine player pulling the lever, or a day trader enthralled by the flickering colors of the monitor. We have aspirations. Some people who aspire to be millionaires can expect to reach their aspirations through steady contributions to IRAs and 401(k) accounts. For others, stock trading and lottery playing offer the only paths up. For example, “Betting on the Market,” a PBS Frontline program of 1997, showed a young couple who traded frequently and watched CNBC constantly: “This is our dream house . . .,” the wife says while pointing to blueprints of a fancy house. “We look at it when we are off to work in the morning and when we come home tired. . . . Isn't it beautiful?” The insurance–lottery framework is a keystone in behavioral portfolio theory. In the simple version of the theory, people have two goals—a “downside protection” goal and an “upside potential” goal. The prototypical purchase for downside protection is an equity participation note, which ensures that investors will at least get their money back. The prototypical purchase for upside potential is a lottery ticket. Lottery buyers are likely to lose their money, but they have a chance to obtain even multimillion dollar levels of upside.