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1、±±±±±±±±±±±±±±±±±±±DOBEHAVIORAL±±±±±±CHAPTER±±±±14±±±±FACTORSEXPLAINSTOCK±MARKETPUZZLES?14.1INTRODUCTIONInthepreviouschapter,wearguedthatbehavioralconsiderationscancontributetoanunderstandingofcertainanomaliesinthepricingofindividualstocks.Therewetookacross-sectional(orin
2、dividualstock)approach.Ifweaggregatethemarketvaluesofallstocksinthemarket,wehavetheaggregatevalueofthestockmarket.Itturnsoutthat,justastherearecross-sectionalanomalies,therearealsoaggre-gatestockmarketpuzzles.Inthischapter,weconsiderwhetherbehavioralfactorscanhelpusaccoun
3、tforthesepuzzles.Thefocuswillbeonthreepuzzles:theequitypremiumpuzzle;bubbles;andex-cessivevolatility.WebegininSection14.2withtheequitypremiumpuzzle,namelytheobservationthat,whileequitiesareriskierthanfixed-incomesecuritiesandasaresultshouldearnhigheraveragereturnsincompen
4、sationfortheadditionalriskborne,itisapparentthatthehistoricalgapbetweenstockandbondreturnsisim-plausiblyhighfromthestandpointofexpectedutilitytheory.Nextweturntoover-valuationandbubbles,beginninginSection14.3withtwofamousovervaluationepisodes,thetulipmania,whichoccurredin
5、Europecloseto400yearsago,andthetech/Internetbubblethatoccurredinworldstockmarketsinthelate1990s.FocusingontheUnitedStates,whiletheentirestockmarketlikelydeviatedfarfromvaluationsbasedoneconomicfundamentals,muchoftheovervaluationwasconcentratedintechandInternetstocks.Onepr
6、oblemwithlookingatreal-worlddataisthatitisalwaysdifficulttocategoricallysaythatanepisodeofovervalua-tionisoccurring.Becauseoftheabilitytocarefullycontroltheenvironment,exper-imentalassetmarkets,asreportedinSection14.4,provideinsightintotheconditionsunderwhichassetpricebub
7、blesaregenerated.InSection14.5,wecon-siderwhetherbehavioralfinancecancontributetoanunderstandingofovervalua-tionepisodes,includingassetpricebubbles.Finally,inSection14.6,weturntothe237238CHAPTER14puzzlethatstockmarketpricesseemtoexhibittoomuchvolatility.Thishaslongbeenaco
8、ntentiouspoint,butasofearly2009hastakenonevengreaterresonanceasamazinglyhighlevelsofvolatilityha
