Tai Chinh Hanh Vi - Behavior Finance

B GIO DC V O TO TRNG I HC KINH T TP.HCM KHOA O TO SAU I HC

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LP CAO HC M 1 - KHO 20 GVHD: GS.TS TRN NGC TH NHM THC HIN: NHM 4

THNG 04 NM 2012

Nhn xt ca Ging vin:................................................................................................................................................ ................................................................................................................................................ ................................................................................................................................................ ................................................................................................................................................ ................................................................................................................................................ ................................................................................................................................................ ................................................................................................................................................ ................................................................................................................................................ ................................................................................................................................................ ................................................................................................................................................ ................................................................................................................................................ ................................................................................................................................................ ................................................................................................................................................ ................................................................................................................................................ ................................................................................................................................................ ................................................................................................................................................ ................................................................................................................................................ ................................................................................................................................................ ................................................................................................................................................ ................................................................................................................................................

DANH SCH NHM THC HINSTT 1 2 3 4 5 6 7 8 9 10 11 12 13 14 H Bi Anh Nguyn Th Thanh L Th Ngc Nguyn nh Nguyn Th Kim Bi Th Thanh Mai Th L Nguyn Th Kim Vng Vn Trn Th Xun Nguyn Th Bch Nguyn Trn Qunh inh Th Huyn ng L Hng TN Chnh Ho Mai Nam Hong Hng Huyn Oanh Thun Thy Thy Tin Trm Trc GHI CH

MC LCCHNG I LCH S V LUN IM RA I L THUYT TI CHNH HNH VI1. Lch s ra i L thuyt ti chnh hnh vi: ...................................................................1 2. Ba tr ct ca l thuyt th trng hiu qu lm ny sinh l thuyt ti chnh hnh vi 4 2.1/ Tr ct 1: Nh u t khn ngoan................................................................................... 6 2.2/ Tr ct 2: Cc sai lch khng tng quan ......................................................................6 2.3/ Tr ct 3: Kinh doanh chnh lch gi khng b gii hn ................................................ 7 3. Ti chnh hnh vi l g? .................................................................................................8 Ba iu kin tn ti ca ti chnh hnh vi? ...........................................................................10 Cc trng phi v tm l hc v ng dng trong ti chnh hnh vi .....................................10 Cc ngun ti liu chnh dng lm c s l thuyt cho bi ................................................... 11

CHNG II BA LUN C V L THUYT TI CHNH HNH VI2.1 Hnh vi khng hp l ...................................................................................................13 2.1.1 L thuyt trin vng (prospect theory) .....................................................................13 Tnh ton bt hp l (Mental Accounting) .............................................................................16 T iu chnh (Self-Control) .................................................................................................16 2.1.2 S t nghim hay thut ton (Heuristics) v xu hng lch lc (Bias) ................... 16 T nghim hay thut ton (heuristics) v xu hng lch lc (Bias) .................................17 a/ S quen thuc v cc t nghim c lin quan ............................................................... 17 S quen thuc (familiar) .......................................................................................................18 E ngi s m h (ambiguous aversion) ................................................................................. 19 T nghim a dng ho (diversification heuristic) .................................................................20 Khng thch s thay i v hiu ng coi trng ti sn s hu ...............................................20 b/ Tnh hung in hnh (representativeness) v cc xu hng lch lc lin quan (relative representativeness) .............................................................................................................21 Lch lc do tnh hung in hnh (Representativeness) ......................................................... 21 T nghim sn c (availability heuristics), tc th (recency bias) v ni tri (salience bias) ...21 S neo vo - Anchoring .....................................................................................................22 2.1.3 Tm l con ngi (Psychological Human) ................................................................ 23 L thuyt tic nui (regret theory) ........................................................................................ 24 1

Tm l s mt mt (loss aversion) ........................................................................................ 24 Qu t tin (overconfidence) v phn ng thi qu hay bi quan (overreaction or underreaction) ..............................................................................................................................................24 S c lng sai (miscalibration): ....................................................................................... 25 Hiu ng tt hn trung bnh (better than average effect): ..................................................... 25 o tng kim sot (illusion of control) ...............................................................................26 Qu lc quan- excessive optimisim ....................................................................................... 26 Tm l bo th (convervatism) ............................................................................................. 27 2.2 Hnh vi khng hp l mang tnh h thng .................................................................28 2.3 Gii hn kh nng kinh doanh chnh lch gi trn th trng ti chnh ................... 29 a/ Ri ro c bn (fundemental risk) ...................................................................................... 31 b/ Chi ph thc hin (implementation costs) ..........................................................................31 c/ Ri ro t nhng nh u t bt hp l (noise trader risk) .................................................. 32

CHNG III CC BIU HIN TI CHNH HNH VI TRN TH TRNG CHNG KHON VIT NAM1. S nt s ra i v pht trin ca th trng chng khon Vit Nam: ........................ 34 Giai on 1: 2000- 2005 : Giai on chp chng bit i ca th trng chng khon. ...........34 Giai on 2: T nm 2006 n cui nm 2007: Th trng chng khon Vit Nam trong giai on bong bng u c: ................................................................................................................ 35 Giai on 3: T nm 2008 n thng 2 nm 2009: Thc trng th trng sau bong bng ...38 Giai on 4: T thng 03/2009 n nay: th trng c s phc hi trong ngn hn sau cc giao dch trn th trng dn tr nn m m ...............................................................................39 2. Cc biu hin ca ti chnh hnh vi trn th trng chng khon Vit Nam: .............41 Giai on 1 ........................................................................................................................... 42 Giai on 2 ........................................................................................................................... 42 Giai on 3 ........................................................................................................................... 46 Giai on 4 ........................................................................................................................... 47

CHNG IV NG DNG V NH HNG CA TI CHNH HNH VI TRONG QUN TR DOANH NGHIP1. Mt vi ng dng ca ti chnh hnh vi trong qun tr doanh nghip. ........................ 49 2

a. Thay i tn cng ty: ........................................................................................................49 b. Pht hnh c phiu v mua li: ......................................................................................... 49 c. C tc ............................................................................................................................... 49 2. nh hng ca ti chnh hnh vi trong qun tr doanh nghip. ..................................50 a. Khng t b d n km hiu qu ...................................................................................... 50 b. nh hng cm xc c nhn n cc la chn. .................................................................51 c. Hot ng u t ..............................................................................................................51 PH LC CC BI VIT NGHIN CU CC CUC KHNG HONG TI CHNH TON CU Bi 1: Bong bng v sp - i khng hong 1929 ............................................................1 Bi 2: Khng hong Hoa Tu-lp ..............................................................................................3 Bi 3: Bong bng v sp - Sp th trng chng khon 1987 ........................................4 Bi 4: Bong bng v sp - Bong bng South Sea ...............................................................6 Bi 5: "Bong bng" c phiu trn Nasdaq ...............................................................................9 Bi 6: Khng hong Kinh t Chu 1997 - Mt gc nhn ......................................................12 TI LIU THAM KHO

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Tiu lun: L thuyt Ti chnh hnh vi

GS.TS Trn Ngc Th

CHNG I LCH S V LUN IM RA I L THUYT TI CHNH HNH VI1. Lch s ra i L thuyt ti chnh hnh vi Trong vi thp nin gn y, mt khi nim ti chnh mi c nhc n nhiu v rt gn gi vi cc nh kinh t. l L thuyt v ti chnh hnh vi (Behavioral finance theory). Ngy nay, vic ng dng v nghin cu l thuyt ti chnh hnh vi tr thnh kh ph bin v cn gip nhiu nh u t ci thin ng k chin lc u t ca mnh Ti chnh hnh vi l mt phn ca ti chnh, nghin cu hiu v gii thch nhng biu hin mang tnh tm l ca con ngi trn th trng ti chnh, s dng nhng kin thc thuc phm tr tm l hc, x hi hc v ti chnh hc l gii nhng hnh vi bt thng ca nh u t m cha c l gii trong nn tng ca l thuyt truyn thng1. Nghin cu ti chnh hnh vi l nghin cu nh hng tm l ca nh u t v nhng h qu theo sau ln th trng ti chnh. Ti chnh hnh vi ng vai tr rt quan trng trong vic gii thch ti sao v lm th no th trng c th khng hiu qu.2 hiu su hn v L thuyt ti chnh hnh vi. Chng ta cn tm hiu s nt v lch s hnh thnh ca l thuyt ny? C th ni tng v L thuyt ti chnh hnh vi ra i rt lu nhng li c t nhiu ngi v nghin cu. Trc y, cc nh kinh t hc mun tch kinh t hc ra thnh mt ngnh khoa hc t nhin, m khoa hc t nhin th c gii thch bng cc quy lut, quy chun c phn kh khan. Sau cuc khng hong ti chnh 1987 v khng hong ti chnh 2008, dng nh ngi ta t du hi ln cc quy lut m trc gi chng ta ang nghin cu da trn ri ro v t sut sinh li vn d kh lnh lng. Khi nhc ti lch s ca L thuyt ti chnh hnh vi, ngi ta thng nhc ti khi u t nghin cu u tay ca nh tm l hc ngi Php, Jean-Gabriel De Tarde (1843 1904), v ng dng tm l hc vo khoa hc kinh t vi tc phm La psychologie conomique xut bn nm 1903 v George Charles Selden vi tc phm Psychology of the Stock Market xut bn nm 1912. Sau , mi ti nm 1973, ti chnh hnh vi mi c nhng bc tin ng k khi m hai nh tm l hc ti nng Amos Tversky v Daniel Kahneman a ra nhng thut ton sn c (availability heuristic) c lng tn sut nhm hay xc sut ca cc s kin bng thut ton ny. Tversky v Daniel Kahneman a ra 03 thut ton c ng dng nhiu trong vic a ra quyt nh trong tnh trng khng chc chn: Tnh i din representative: Khi ai yu cu nh gi xc xut m mt s vt hay s kin A ph thuc vo cch thc v mc xy ra ca s vt v s kin B, nhng xc sut

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Theory of Behaviroural Finance and its application to propery market Dr.Rohit Kishore, University of Western Sydney, Australia 2 Behavioural Finance Martin Sewell - 2007

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xy ra c nh gi bng mc m A l i din ca B, tc l mc ca A tng ng vi B Tnh sn c availability: Khi ai c yu cu nh gi tn sut ca nhm hay kh nng xy ra ca mt s kin, h lm vy bng cch lm n gin ha nhng trng hp hay s kin c th c mang ra bn lun. Ci neo v nhng nhn nh anchoring and judgement: Trong d tnh bng s hc, khi mt gi tr lin quan (mt ci neo) c sn, ngi ta bt u nh gi t mt gi tr ban u (the auchor) c iu chnh mang li gi tr cui cng. Gi tr ban u ny c th c ngh di dng cng thc hay c th l kt qu ca mt php tnh no .

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Sang nhng nm 1980, l thuyt ti chnh hnh vi c tho lun ri rc trong mt s nghin cu ca cc hc gi kinh t ni ting nh Nh kinh t hc ngi M - Richard H. Thaler vi nhng tho lun nh: s thiu ht ca chi ph c hi, tht bi trong vic b qua chi ph chm, hnh vi nghin cu, la chn khng la chn v hi tic (choosing not to choose and regret), t kim sot. Ngoi ra, ng cn cp n khi nim mental accounting tnh ton bt hp l, theo ngi ta c gng m t cc qu trnh m nh ngi ta tp hp, phn loi v nh gi nhng tc ng/hu qu kinh t. Sau , ng tip tc theo ui khi nim ny cng vi Werner F.M De Bondt cho ra hc thuyt mang tn hc thut v tnh ton bt hp l (mental accounting theory) Nm 1981, Tversky v Kahneman gii thiu mu hnh (framing), hai ng ch ra nhng tm l chnh chi phi nhn thc v cc vn a ra quyt nh, nh gi kh nng v kt qu gy ra ca nhng thay i v s thch c d bo trc trong cc tnh hung khc nhau m chng c sp t trc Trong thi gian ny, nh du cao im nht l tc phm nh gi di mc chc chn: cc thut ton, kinh nghim v xu hng c tnh lch lc (Judgement Under Certainty: Heuristic and Biases) xut bn nm 1982 ca Kahneman, Slovic v Tversky vi 35 chng m t nhng nhn nh khc nhau v thut ton v thnh kin h a ra. Nm 1988, nh du bng s kin Samuelson v Zeckhauser nu ra mt chui cc bng chng thc nghim v vic ra quyt nh v pht hin ra hin tng xu hng lch lc (status quo bias). l hin tng lch lc v nhn thc dn ngi ta thch nhng th cn li tng t hay nhng th thay i mt t c th nu h bt buc phi thay i kin ca mnh. Sang nm 1990, Kahneman, Knetch v Thaler cng bo co mt vi thc nghim m t tm l s mt mt loss aversion v hiu ng by n endownment effect tht bi ngay c trong th trng sp t vi nhng c hi hc v kt lun rng chng l nhng c tnh nn tng. Nm 1992, Banerjee pht trin mt m hnh n gin v hnh vi by n. Cng nm , Kahneman va Tversky cng b phn b sung l thuyt trin vng ca h bng l thuyt trin vng ly tin (cumulative prospect theory). H phng php lun mi ny tn dng

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tnh ly tin hn l mc quyt nh ring bit n s khng chc chn cng nh nhng ri ro k vng vi bt k mc h qu no. N cng tnh n mc tng thm khc nhau ca thu nhp v mt i.

Hnh: M t mc xc sut gia gi tr nhn c (w+) v gi tr mt i (w-) trong l thuyt trin vng ly tin Nm 1995, Grinblatt, Titman v Wermers phn tch hnh vi ca cc qu m (mutual fund)3, ng tm thy bng chng ca nhng chin lc u t n by (momentum strategies) v hin tng u c u c (hedge) Nm 1997, bng nghin cu thc nghim, Basu tm ra c tnh bo th (conservatism) m nh ng gii thch c v sao m th trng phn ng vi tin xu nhanh hn nhng tin tt. Sang nm 1999, Camerer v Lavallo tm thy mt cch thc chng rng s qu t tin (overconfidence) v s qu lc quan (optimism) dn n nhng li kinh doanh qu mc. Wermer (1999) nghin cu thm v u c (hedge) v nhn thy rng khuynh hng u c c du hiu tng cao nht trong giao dch nhng c phiu nh v nhng ngun tin c khuynh hng tng. Nm 2000, Rabin a ra nhng l l c tnh thuyt phc ch ra rng l thuyt th trng hiu qu l mt s gii thch hon ton ng nghi ng cho nhng ri ro khng mong mun (risk aversion) i vi nhng nguyn tc hin i. Lee v Swaminathan (2000) cng ch ra rng nhng khi lng giao dch trong qu kh c mi lin h quan trng gia n by (momentum) v chin lc gi (value strategies). N gip lm tng thch gia tc ng ca phn ng di mc (underreaction) v phn ng qu mc (overreaction)

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y l loi qu rt ph bin ti M, cng vi n cn c Hedge Fund tm dch l Qu ng v n thng l qu ni b gia cc nh giu, khng cng khai ra cng chng. Mc ch ca 02 qu ny dng u t chng khon, tri phiu, cng c th trng tin t, ti sn tng ng, . Thi hn ca cc khon gp vn thng tnh bng n v nm, ph bin t nht l 5 nm

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Cc nh kinh t hc bt u quan tm nhiu hn n ti chnh hnh vi v kinh t ton cu khi Robert Shiller xut bn quyn sch ni ting S m h bt hp l (Irrational Exuberance) nm 2000 (cun ti bn ln th 2 nm 2005 c cp nht thm bong bng nh t (housing bubble)) d bo chnh xc s sp ca th trng c phiu ton cu khng lu sau , to bc ngot ln cho nhng nh nghin cu ti chnh hnh vi lin tc a ra cc nghin cu mi. Ngoi ra trong nm 2000, Shleifer xut bn n phm rt ni ting (Inefficient Markets: An introduction to Behavioral Finance), trong xem xt L thuyt ti chnh hnh vi trong mi lin h vi L thuyt th trng hiu qu. Nm 2002, Gilovish, Griffin v Kahneman xut bn n phm ni ting v Ti chnh hnh vi (Heritics and Biases: The psychology of Instuitive Judgement). Cun sch l s kt hp hu ht nhng nhn t quan trng nht ca L thuyt ti chnh hnh vi. Trong cc tc gi nu ra 06 thut ton hay s tri nghim chung gm: s nh hng (affect4), tnh sn c (availability), tnh h qu (causality), tnh tri chy (fluency), tnh tng ng (similarity) v tnh bt ng (surprise) v 06 thut ton kinh nghim ring gm phn phi (attribution), thay th (substitution), s tn thng (outrage), nguyn mu (prototype), s tha nhn (recognition), la chn bng thch th (choose by liking) v la chn mc nh (choose by default). Trong tc phm ca cc tc gi, thay th 02 nhn t ca ti chnh hnh vi l Lch lc trong tnh hung in hnh- representativeness bng tnh phn phi v thay th (attribution-substitution) v s neo ko nhn nh (anchoring and judgement) bng thut ton hiu ng (the affect heuristic) Sau cuc i khng hong ti chnh ton cu nm 2008, m in hnh l cuc khng hong bong bng nh t ti M khin ngi ta phi quan tm nhiu n l thuyt ny nhm gii thch nhng hin tng bt thng ca kinh t m cc l thuyt trc y cha ch ra c

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Mt trong nhng tranh lun gay gt nht l l thuyt th trng hiu qu, l nhiu ngi li cho cuc khng hong ti chnh l do l thuyt th trng hiu qu v cng c quan im bo v n v ngi ta vn khng cho th trng l hiu qu (Meir Statman). Di y chng ta nghin cu v 03 tr ct ca th trng hiu qu t a ra lun im v ti chnh hnh vi. 2. Ba tr ct ca l thuyt th trng hiu qu (The efficient market hypothesis) lm ny sinh l thuyt ti chnh hnh vi (behaviour finance) Khng c lch s r rng v L thuyt th trng hiu qu, nhng ngi ta vn coi Eugena Fama5 l ngi khi u cho l thuyt ny, khi ng cho xut bn bi vit ni ting trn t tp tr The Journal4 5

The affect heuristic: Lin quan n s tt (goodness) v s xu (badness) Eugena Fama l mt nh kinh t hc ngi M, ng ni ting vi l thuyt danh mc u t (portfolio theory), nh gi chng khon.

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of Finance vi ta : Efficient Capital Markets: A Review of Theory and Empirical Work nm 1970. Tuy nhin, trong bi vit ca ng li dng t Xem li l thuyt (Review of Theory) ngha l ng da trn nhng l thuyt trc nghin cu, theo trang ti liu English Wikipedia cho rng l thuyt u tin v th trng hiu qu c khai sinh bi Louis Bachelier, mt nh ton hc ngi Php trong tc phm The theory of Speculation (1900). Vy th trng hiu qu l g? Th trng hiu qu c th c hiu nm na l ni m ti bt k thi im no, tt c cc thng tin mi u c nhng ngi tham gia th trng nm bt mt cch nhanh chng, thng tin nhanh chng c phn nh vo gi c th trn v cc nh u t phn ng mt cch ng n vi tt c thng tin sn c. Theo l thuyt ny th gi lun ng (prices are right6), v ng bng gi tr c bn (fundemental value7) ca ti sn . y chnh l tng chit khu ca dng tin k vng trong tng lai, nh u t phn ng mt cch chnh xc vi thng tin sn c, v t sut chit khu ph hp vi cc mu hnh la chn ph hp mt cch chun tc. V khng c chin lc u t no c th kim c nhiu tin hn mc li tc trung bnh iu chnh ri ro (risk-adjusted average returns). Khi nghin cu v l thuyt ti chnh hnh vi trong mi tng quan vi l thuyt th trng hiu qu, ngi ta tm ra 03 tr ct ca th trng hiu qu v 06 bi hc dn dt cho cc quyt nh v hnh vi cc nh u t khn ngoan trong mt s tnh hung nht nh c th b hoi nghi v tnh hiu qu ca n. Su bi hc ca th trng hiu qu l: 6 7

Bi hc 1: Th trng khng c tr nh (Markets have no memory) Bi hc 2: Hy tin vo gi th trng (Trust market prices) Bi hc 3: Hy c su (Read the entrails) Bi hc 4: Khng c cc o tng ti chnh (There are no financial illusions) Bi hc 5: Phng n t lm ly (The do it yourself alternative) Bi hc 6: xem mt c phn, hy xem tt c (Seen one stock, seen them all)

Page 1056 A survey of behavioral finance Nicolas Barberis (University of Chicago) Nguyn bn trong A survey of behavioral finance- Nicolas Barberis (2003), page 1056, This is the discounted sum of expected future cash flows, where in forming expectations, investors correctly process all available information, and where the discount rate is consistent with a normatively acceptable preference specifications. T normatively acceptable preference specifications c l tc gi m ch cc m hnh mang tnh chun tc xc nh t sut sinh li trong mi quan h ri ro v li nhun, nh CAPM, kinh doanh chnh lch gi (APT), cung cu th trng,Nh th, c th hiu gi tr c bn chnh l gi tr ni ti (Intrinsic value) ca cng ty hay ti sn da trn nhn thc c bn v gi tr thc ca n bao gm cc kha cnh ca doanh nghip, trong c nhng nhn t hu hnh v v hnh. Gi tr ny c th hoc khng th (may or may not) l gi tr th trng. Nh u t theo gi tr s dng cc cng c phn tch khc nhau tm gi tr ni ti vi hy vng tm kim khon u t m gi tr ni ti c sai lch vi gi th trng (current market value) (Theo t in investopedia.com)

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Ba tr ct ca l thuyt th trng hiu qu v gii hn ca n lm ny sinh l thuyt ti chnh hnh vi(8) L thuyt th trng hiu qu c ba gi nh chnh hay ba tr ct c k vng l khng th ph v ni. 2.1/ Tr ct 1: Nh u t khn ngoan (Rational Investors9): Rt kh c th a ra mt khi nim y nht v nh u t khn ngoan hay nh u t duy l. Nhng ta c th hiu nh u t khn ngoan l nhng nh u t nh gi chnh xc gi tr c bn ca chng khon v h cng phn ng hay x l mt cc ng n vi tt c thng tin. H l nhng con ngi hon ho. Bng nhng thut ton, nhng cng c nh m hnh CAPM, m hnh kinh doanh chnh lch gi (APT), m hnh danh mc u t ca Markowitz,. nh gi gi tr c bn ca ti sn, a n v gi tr c bn nu c vic nh gi sai xy ra. Nhng thc t, khng phi ai cng hon ho nh vy, c nhng nh u t phn ng bt thng trn th trng v l thuyt th trng hiu qu gi thit rng h phn ng khng c tng quan hay mi lin h no. Tuy nhin, th trng hiu qu cng nhn thy c mt s cc nh u t bt thng (irrational investors) v hnh ng ca h c gi thit tr ct 2. 2.2/ Tr ct 2: Cc sai lch khng tng quan Mt vi nh u t c th c cc hnh vi bt thng (cn c gi l nh u t bt thng irrational investors hay nh giao dch gy nhiu noise traders), tuy nhin nu nhng hot ng u t ny ch mang tnh ngu nhin, t pht (the random fashion) v khng tng quan vi nhau (uncorrelated). Th lin sau giao dch ca h s b loi tr bi cc nh u t khn ngoan (rational investors) v kt qu hot ng ca h khng nh hng n gi. Tnh logic ng sau gi nh ny l hot ng giao dch ca nh u t c tng quan km vi nhng ngi khc. Nu hnh vi ca con ngi l ngu nhin s khng c lo ngi v tnh hiu qu ca th trng, bi v giao dch ca h c th b loi tr. S khng gy ra mt nh hng ng k no n gi. Tuy nhin, chng ta s thy trong cc phn hai ca bi, cc nh tm l hc bng thc nghim ch ra rng cc nh u t bt thng vi phn on sai thng c xu hng chung ngha l ngi ta thng i chch khi s k vng ca mnh theo cng mt phng thc tng t nhau. Hay hnh vi bt thng ca h c tnh tng quan nhau th y l vn ng bn! N c th y gi xa hn na so vi gi tr c bn. Tuy nhin, trong th trng hiu qu vn tn ti tr ct 3 c th ha gii hoc ngn chn iu ny v a gi tr v gi tr c bn, gi tr thc ban u. l nghip v kinh doanh chnh lch gi.8

Tham kho Market Rationally: Efficient Market Hypothesis versus Market Anomalies Kadir Can Yalcin Page 2829 v Behavioral finance: Psychology, Decision-Making, and Markets Ackert & Deaves, page 105 112 9 Cm t irrational investors tm dch l nh u t bt thng hay nh u t bt hp l. H khng theo bt k quy lut no ca th trng nh nhng nh u t khng ngoan hay duy l (rational investors)

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2.3/ Tr ct 3: Kinh doanh chnh lch gi khng b gii hn Nu cc nh u t bt thng c hnh vi phi l, cc hot ng ny li c tng quan cao vi nhau. Th theo l thuyt th trng hiu qu, cc nh u t khn ngoan nhn thy c vic nh gi sai ny, h s dng nghip v kinh doanh chnh lch gi (arbitrage10), vi gi thit khng b gii hn kinh doanh chnh lch gi, iu chnh vic nh gi sai v xa b hnh ng bt thng ca nh u t. T , h va tm c li nhn va a gi chng khon b nh gi sai v trng thi gi tr thc ban u. Bng cch mua chng khon r v bn chng khon mc. Kt qu l th trng vn gi nguyn tnh hiu qu. Th trng hiu qu cho rng vic kinh doanh chnh lch gi n s khng tn chi ph v gnh chu ri ro. minh ho cho vic kinh doanh chnh lch gi hot ng nh th no, chng ta bt u vi v d 03 loi ng tin vi t gi ti thi im thng 05/2008 nh sau CP T GI / /$ /$ T GI DIN GII 159.3403 1 i c 159.3403 0.6455 1 $ i c 0.6455 x 1 $ i c x

Mc tiu ca chng ta l i USD sang JPY. C hai cch i trc tip t USD sang JPY theo t gi x ti thi im i. Vn ny s bnh thng v hu nh khng xy ra vn ln i gin tip thng qua EUR.

Vi cch i gin tip qua EUR, lc ny thao tc ln lt l Dng USD mua EUR vi t gi 1$ i c 0.6455 Sau , dng EUR mua JPY vi t gi 1 i c 159.3403 => Suy ra x (/$) = /$ * / = 0.6455 *159.3403 = 102.8543, tc 1$ i c 102.8543

Nu t gi /$ by gi l 100. Ngha l 1$ i c 100. Lc ny bn s lm g, tn dng sai lch ny? u tin bn vay hay lm g c la ($), gi d l 1USD. V bn dng 1USD ny i mua EUR vi t gi 0.6455 /$, sau dng EUR mua JPY vi t gi 159.3403 /, t gi thc ca bn l 102.8543 /$ Do vi 1USD i thng qua EUR mua JPY, bn c c 102.8543 , trong khi bn ch cn tn 100 i li 1USD ban u, ngha l bn li 2.8543.

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Theo t in investopedia.com nh ngha rng y l nghip v mua v bn ng thi mt ti sn to ra li nhun t s khc bit v gi. Ngha l mt giao dch m li nhun c to ra bng cch pht hin s khc bit v gi ca nhng cng c ti chnh tng ng hay y ht nhau, trn cc th trng khc nhau hay cc dng khc nhau. Kinh doanh chnh lch gi l kt qu ca th trng khng hon ho, n cung cp mt k thut m bo rng gi khng b nh sai trm trng so vi gi tr thc trong mt khong thi gian di.Nhm 4 TCDN m 1

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Ngha l c 1USD bn li c 2.8543 JPY. Nu s USD bn c cng ln th s tin JPY li ca bn nhn c s rt ln. C nh th bn s tr nn rt giu c sau khi bn i s tin li ny ra USD v tr li, gc (nu c).

V qu nhiu ngi nhn thy c hi ny, ngi ta lao vo kim tin, v t lm cho cung nh hn cu, ngi ta nhn ra gi tr thc v gi c iu chnh li gi tr c bn. Nhng thc t c gii hn cho hot ng kinh doanh chnh lch gi khng? V nu c 03 tr ct ny u b nh bi th ngi ta s hoi nghi v tnh hiu qu ca th trng. Bng nhng nghin cu thc nghim trn th trng ngi ta pht hin ra rng c nhng thi im c 03 tr ct ny khng th gii thch c thc t th trng. V i khi s nh gi sai ny khng nhng khng c iu chnh v gi tr c bn m n cn b y i rt xa, nhiu khi cng c xem l nguyn nhn ca cc cuc khng hong ti chnh. Qua hm trn dng nh l thuyt th trng hiu qu khng gii thch kt qu thc nghim trn th trng v dng nh th trng th c th hiu qu nhng con ngi th khng hiu qu, m ch th tham gia sth trng chnh l con ngi. Trc thc t ca cc cuc khng khong ti chnh v s ni lon ca th trng ti chnh ngi ta i hi mt l thuyt hay mt cng trnh nghin cu khc b sung cho th trng hiu qu v trong mt s trng hp nht nh (c trnh by trong Chng II) th th trng hiu qu khng cn pht huy tc dng ca n na. Nm 2002, ln u tin trong lch s gii thng Nobel kinh t c trao cho mt nh tm l hc, thay v trc y ch l cc nh kinh t hc, l Daniel Kahneman v s ng gp ca ng trong kinh t hc hnh vi nht l l thuyt trin vng (prospect theory), vi hp tc gip ca Amos Tversky. Hay tc phm ni ting ca Robert Shiller S m h bt hp l (Irrational Exuberance) (2000) d bo chnh xc s sp ca th trng ti chnh khng lu sau . T hng lot cc nghin cu v hnh vi con ngi trong th trng ti chnh c cng b v cm t ti chnh hnh vi (behaviour finance) c nhc n thng xuyn hn. Vi 03 lun im chnh ca mnh, l thuyt ti chnh hnh vi ch ra nhng gii hn nht nh ca 03 tr ct trong l thuyt th trng hiu qu v ch ra rng khng phi lc no th trng cng hiu qu. 3. Vy ti chnh hnh vi l g? Trc y, cc nh kinh t hc c khuynh hng tc ti chnh thnh mt b mn khoa hc t nhin, m khoa hc t nhin th c gii thch bng cc quy lut, cc nh kh khan, v tch n khi khoa hc x hi. Chnh v th m mt thi gian di, khi nim ti chnh hnh vi c t ngi quan tm n. Vy ti chnh hnh vi l g? Khi no th tc ng t hnh vi ca con ngi nh hng mnh m n vic nh gi sai? N gii thch, b sung cho th trng hiu qu ra sao? L thuyt ti chnh hnh vi, hay ti chnh hnh vi, c th c hiu mt cch dn d l l thuyt s dng cc nghin cu v tm l v hnh vi con ngi nhm l gii cc vn ti chnh.

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Hay hn lm hn: L thuyt ti chnh hnh vi l mt phm tr ca ti chnh, n nghin cu b sung cho nhng l thuyt ti chnh truyn thng (standard therories of finance11) bng vic gii thiu hnh vi tc ng n tin trnh ra quyt nh. Tri ngc vi quan im ca Markowitz v Sharp12, ti chnh hnh vi lin quan n c nhn v cch thc thu nhn, s dng thng tin. Nghin cu l thuyt ti chnh hnh vi gip hiu v d bo nhng dnh lu gia qu trnh ra quyt nh mang tnh tm l vi h thng ti chnh. C th din gii ti chnh hnh vi (Behaviour Finance) thng hnh nh sau thng qua cc yu t chi phi n n nh sau:

Hnh minh ha cc yu t tc ng n ti chnh hnh vi Tm l hc (Psychology): l ngnh khoa hc nghin cu hot ng, tinh thn v t tng ca con ngi (c th l nhng cm xc, ch v hnh ng). Tm l hc cng ch tm n s nh hng ca hot ng th cht, trng thi tm l v cc yu t bn ngoi ln hnh vi v tinh thn ca con ngi X hi hc (Sociology): l khoa hc v cc quy lut v tnh quy lut x hi chung vi c th ca s pht trin v vn hnh ca h thng x hi xc nh v mt lch s; l khoa hc v cc c ch tc ng v cc hnh thc biu hin ca cc quy lut trong cc hot ng ca c nhn, cc nhm x hi, cc giai cp, tn gio, vn ha v cc dn tc. Ti chnh (Finance): l phm tr kinh t, phn nh cc quan h phn phi ca ci x hi di hnh thc gi tr, c th i din bng cc m hnh, l thuyt ti chnh.

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11

L thuyt ti chnh truyn thng (standard therories of finance) bao gm nhng l thuyt v nguyn l mua bn (arbitrage) ca Miller v Modigliani, cc yu t danh mc ca Markowitz, l thuyt nh gi ca Sharpe, Lintner v Black, l thuyt v nh gi quyn chn ca Black, Scholes v Merton, .. chng u c xem xt trong th trng hiu qu v gii thch c tnh quy chun cao. 12 L mt nh kinh t ngi M ng ot gii Nobel v kinh t nm 1990 (cng vi M.Miller v W.F.Sharp). Cng vic quan trng m ng thc hin trong nhng nm 1950 t nn mng cho hc thuyt hin i v danh mc u t, m m hnh c nhc ti nhiu nht l m hnh CAPM (xem phn ph lc)

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Ba iu kin tn ti ca ti chnh hnh vi? L thuyt th trng hiu qu cho rng bt k s nh gi sai (mispricing) no xy ra trn th trng, th bng 03 tr ct trn ca th trng hiu qu s a gi v ng gi tr thc ca n. Nhng nu iu khng xy ra m xy ra ng thi 03 iu in sau ca ti chnh hnh vi th vic nh gi sai s tr nn trm trng hn thm ch gy ra khng hong ti chnh13: Tn ti hnh vi khng hp l Hnh vi bt hp l mang tnh h thng Gii hn kh nng kinh doanh chnh lch gi

Chnh 03 iu kin ny lm cho l thuyt ti chnh hnh vi (behaviour finance theory) vi nn tng c bn l th trng khng lun lun ng, t ra mt i trng ln i vi l thuyt th trng hiu qu, c s ca cc l thuyt ti chnh c bn trong sut 4, 5 thp k gn y. Cc trng phi v tm l hc v ng dng trong ti chnh hnh vi 14 C rt nhiu cc trng phi nghin cu v tm l hc nhng trong s kt hp ch yu gia tm l hc nhn thc (coginitive psychology) v tm l hc hnh vi (behavioral psychology) gy ra nhng hnh vi khng hp l, cu thnh l thuyt v ti chnh hnh vi. Trng phi chnh Tm l hnh vi Cc hiu ng chnh ng dng trong ti chnh

-Tin vo iu tht ra khng tn ti (magical Do John B.Watson thinking) sng lp nm 1913, nghin cu cc iu -a thch s chc chn (certainty effect) kin khin con ngi -L thuyt trin vng (prospect theory) s hnh ng theo mt cch no

Hiu ng a thch s chc chn v l thuyt trin vng lin quan n cc vn khng a thch ri ro v thch mo him khi b l hn khi ang li trong ti chnh

Tm l nhn thc Do Uric Neiser sng lp nm 1967, nghin cu v cch m suy ngh ca con ngi iu khin hnh vi ca h

-Hi chng t tn (touchy feely syndrome), l y l trng phi ng gp ln cho thuyt nui tic (regret theory) ti chnh, ngoi nhng hiu ng -Mu thun v nhn thc (cognitive cp trn, hiu ng mu thun v nhn thc, b p chi ph b ra, l dissonance) thuyt tic nui gip gii thch v sao -nh ngha hp, tnh ton bt hp l chng ta thng nm gi mi cc khon l v c l lin tc. -B p chi ph b ra Hi chng t tn gii thch chng ta -Qu t tin c xu hng t nh gi cao c phiu -Lch lc trong nhn thc v qu kh m mnh chn u t. (hindsight bias) khng nh qu mc

13

Bi vit nghin cu Ti chnh hnh vi Nghin cu ng dng tm l hc vo ti chnh H Quc Tun (2007), trang 10 14 Bi vit nghin cu Ti chnh hnh vi Nghin cu ng dng tm l hc vo ti chnh H Quc Tun (2007), trang 12

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(confirmatory bias)

Hiu ng lch lc trong nhn thc v qu kh hay khng nh qu mc cng ging nh hi chng qu t tin, lm chng ta nhn xt rng mnh c kh nng d on th trung tt y l trng phi c tc ng rt ln n cc l thuyt ti chnh, a ra cc lun im v sao chng ta c th mc sai lm t nhiu tnh hung khc nhau, c bit cc l thuyt phn khng, l thuyt c on sai, v hiu ng t thuyt phc, thuyt phc a ra nhiu gii thch kh d cho cc hiu ng by n v nguyn nhn hin tng nh gi sai ko di

L thuyt cu trc -Hiu ng thuyt phc (persuasion effect) hnh thc (Gestait -Hiu ng t thuyt phc (seff-persuasion) theory) -Lch lc do tnh hung in hnh Do Max Werrtheirmer sng -Xu hng t bo v (ego-defensive attitude) to t 1912, nghin -Hiu ng c on sai (false consensus cu cch chng ta effect) suy din t nhng d liu chng ta nhn -L thuyt phn khng (somatic market theory) c

Phn tm hc (Psycho-analysis) Do Sigmund Freud sng lp u th k 20, nghin cu v cc loi bnh tm thn

Chng ta qu lo lng v vic c th b -Hi chng hoang tng (paranoid personality la hay c th sai lm, hay chng ta qu ch n vic c thnh cng hay disorder) khng, u s nh hng n quyt -Qu ch n bn thn nh ca chng ta trong kinh doanh chng khon. V vy, trng phi (narcissistic personality disorder) ny cng c ng gp trong vic gii -Hi chng phin mun, bi quan (depressed thch hnh vi nh u t, t nhng personality disorder) gii thch v ri lon tnh cch (personality isorder)

Trong cc trng phi tm l gii thch hnh vi ca con ngi y kt hp vi cc ti liu di y, nhm s tp chung vo mt s cc hiu ng hay tm l gip gii thch khi no th tn ti 03 iu kin ca ti chnh hnh vi Cc ngun ti liu chnh dng lm c s l thuyt cho bi Trong bi nhm s dng rt nhiu ti liu khc nhau nghin cu, trong cc ti liu chnh di y c s dng nhiu nht gm: Human Behavior And The Efficiency of The Financial System (2001) Robert J Shiller Behavioral Finance And the change of investor behavior during and after the speculative bubble at the end of the 1990s (2002) Bi vit nghin cu A survey of Behavioral Finance ca Nicolas Barberis, t trang 1071 n trang 1074 Sch Behavioral Finance: Psychology, Decision-Making, and Markets, Ackert & Deaves

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Sch Advance in Behavioral Finance, vol II, Richard H. Thaler, page 79 102 (Part II) ca Andrei Sheleifer v Robert W.Vishny Bi vit nghin cu Ti chnh hnh vi Nghin cu ng dng tm l hc vo ti chnh H Quc Tun -2007 Bi vit nghin cu The noise trader approach to finance Andrei shleifer and Lawrence H.Summers. -1990` Behavioral Finance And the change of investor behavior during and after the speculative bubble at the end of the 1990s, Malena Johnson, Henrik Lindblom & Peter Platan, 2002

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CHNG II BA LUN C V L THUYT TI CHNH HNH VI2.1 Hnh vi khng hp l C rt nhiu trng phi tm l hc nghin cu v con ngi nh l Tm l hc hnh vi, Tm l hc cu trc, Phn tm hc, Tm l hc nhn vn, Tm l hc nhn thc, Tm l hc hot ng, trong tm l hc hnh vi v tm l hc nhn thc gip a ra nhiu lun im gii thch hnh vi bt hp l ca con ngi trong x hi nht l trong th trng ti chnh. Nhn thc sai lch s dn n hnh vi sai lch, nhng hnh vi sai lch th cha chc do nhn thc sai, m c th do tnh ch quan trong hnh vi ngi thc hin. Tm l hc hnh vi do John Broadus Watson (1878 1958) ngi M ch trng khng m t hay ging gii v cc trng thi thc ca con ngi, m ch cn nghin cu hnh vi ca h l . Hnh vi c quan nim l tng s cc c ng b ngoi c ny sinh p li mt kch thch hay mong mun no ca con ngi Tm l hc nhn thc: i din sng gi cho trng phi ny l Jean Piaget (1896 - 1980). i tng nghin cu ca Tm l hc nhn thc l hot ng nhn thc ca con ngi trong mi quan h vi mi trng, vi c th v no b. Trng phi ny pht hin c nhiu s kin khoa hc c gi tr t ti mt trnh mi nh tri gic, tr nh, t duy, ngn ng.

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C rt nhiu cc biu hin v hnh vi sai lch hay bt thng ca con ngi gip gii thch hnh vi ca cc nh u t bt hp l hay phi l trn th trng, nhng trong phn ny chng ta ch tp trung v mt s cc biu hin thng thy nht. 2.1.1 L thuyt trin vng (prospect theory) y l mt l thuyt mi c Daniel Kahneman v Amos Tversky a ra khi cc ng nghin cu thc nghim bng cc m hnh m t v quyt nh c thc hin trong iu kin c mc ri ro v pht trin thnh mt l thuyt mi l thuyt trin vng. y l l thuyt m u ca ti chnh hnh vi v l c s cho nhng l thuyt sau . L thuyt trin vng c coi l m hnh nh gi ha hn nht trong vic gii thch cc nhn t c bn tc ng ln th trng chng khon. Cc nghin cu thc nghim pht trin nn m hnh l thuyt trin vng: Vn 1: Gi s bn phi chn la gia hai quyt nh hin hu sau: Quyt nh 1: P1($240) v P2 (0.25, $1,000)

Chn la P1: chn chn c $240. Hoc P2: tham gia tr chi may ri, nu may mn bn c $1000 (xc sut l 75%), khng may mn bn s khng c g c (xc sut cho trng hp ny l 25%).

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Quyt nh 2: P3(-$750) v P4(0.75, -$1,000)

Chn la P3: chn chn mt $750. Hoc P4 : tham gia tr chi may ri, nu may mn bn khng mt g c (xc sut 25%), khng may th bn b mt $1000. Kt qu nghin cu cho thy: C 84% cu tr li chon P1 i vi quyt nh 1: chn chc chn c $240 ph hp vi s e ngi ri ro. V 87% chn P4 i vi quyt nh 2: chn tham gia tr chi may ri ph hp vi s a thch ri ro, hay tm l lm liu ca cc nh chi bi. Kt lun 1: Con ngi i khi th hin s e ngi ri ro v i khi li th hin s a thch ri ro. Ty thuc vo bn cht ca trin vng m h ngh ti. Vn 2: Quyt nh 1: Gi s bn giu c $300: bn s chn la P5($100) v P6(0.5,$200) Chn P5: bn chc chn c $100+$300=$400. Chn P6: may mn bn c $200+$300=$500 (xc sut 50%), khng may mn bn khng thay i g c, vn c $300 nh lc u (xc sut 50%). Quyt nh 2: Gi s bn giu c $500, bn s chn gia P7(-$100) v P8(0.5, -$200)

Chn P7: bn chc chn cn li $400 (sau khi mt $100). Chn P8: may mn bn gi nguyn s tin ban u $500 (xc sut 50%), khng may mn bn ch cn $300 (tc mt $200). Kt qu nghin cu cho thy: - C 72% chn P5 th hin s e ngi ri ro - V 64% chn P8 th hin s a thch ri ro. Cho thy, thi i vi ri ro khng tng ng vi vic c v mt. Khi c th ngi ta e ngi ri ro hn, cn khi mt th ngi ta thng thch ri ro hn, ngha l s thay i ca mc ti sn h thc s nhn c, chng khng phi gi tr ti sn (mc giu c) cui cng. Con ngi nh gi kt qu da trn mt im tham chiu, im tham chiu ny thng l mc ti sn ban u. Trong khi , l thuyt hu dng k vng gi nh con ngi nh gi kt qu da trn mc giu c cui cng. Kt lun 2: Vic nh gi cc trin vng ca con ngi ph thuc vo vic li hay l so vi mt im tham chiu (reference point). im tham chiu ny thng l mc ti sn ban u (original value).

Vn 3: Vi x bng bao nhiu s cho chng ta thy s khc nhau gia P9(0) v P10(0.5,x,$25) Kt qu nghin cu cho thy: P9 l chc chn. Vi P10, x= $61, ln hn gp hai ln tr tuyt i ca khon mt (-$25).

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Trong mt tr may ri, vi vic mt i $25, i hi phi nhn c $61 thy khng c s khc nhau gia vic chp nhn hay khng chp nhn tr chi may ri. V iu ny cho thy con ngi e ngi s mt mt. Kt lun 3: Con ngi e ngi mt mt (thua l) v mt mt ln hn c, v tm l mt mt thng nng hn ci nhn c. Hnh nh m t s la chn ca con ngi trong l thuyt trin vng15

Trong hnh ny ngi ta nh gi hm gi tr thng qua (i) (ii) (iii) im tham kho hay im tham chiu. (reference point) Hm gi tr lm (concave) min li v li ra (convex) min l im tham chiu ch mang tnh cht tham kho tch hm gi tr ra thnh hai min: min li (gains) v min l (losses)

iu ny ni ln Thi i vi ri ro khng tng ng vi vic c v mt. Tc l, ngi ta c khuynh hng s mt mt (loss aversion) hn trong min li v chp nhn ri ro hay lm liu hn trong min l. Hm gi tr c xc nh di dng li v l lin quan n im tham chiu, ch khng phi di dng gi tr ti sn tuyt i cui cng.

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Chng hn nh tnh hung ngi chi bi bc. Khi h li, h thng c khuynh hng ngh chi sm, chc chn c tin. Khi h l, h thng c khuynh hng lm liu hn, chi tip v chp nhn ri ro l hn, vi hi vng tm li c vn.

15

Bi vit Prospect Theory: An anlaysis of decision under risk, Kahneman v Tversky (Thng 3/1979), page 279 v A survey of behavioral finance , Nicholas Barberis, 2003, page 1070

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L thuyt trin vng ny c th dn n mt hiu ng, l s tnh ton bt hp l (mental accouting) Tnh ton bt hp l (Mental Accounting) Tnh ton bt hp l l mt phn trong l thuyt trin vng. N m t khuynh hng ca mi ngi trong vic t nhng s kin c th vo nhng tnh ton bt hp l da trn thi quen hi hi, thi quen thin cn (Shiller, 1998). tng chnh di quan im v s tnh ton bt hp l (mental accounting) l ngi ta c khuynh hng phn chia nhng loi tr chi khc nhau vo tng mng/ti khon ring bit v b qua s tng tc gia chng. Chng hn nh16 mt gia nh phn chia tin cho n ung thnh 02 phn ring bit, phn chi ti nh v phn n cui tun ti nh hng, v khng t chng trong mt mi lin h. Khi chi tiu cho n ti nh, h thng khng mua hi sn cao cp (tm hm chng hn) v ngh rng n mc v ch n tht bnh thng; nhng khi n ti nh hng, ngi ny li gi tm hm, thay v n mt ba tht bnh thng (gi tht r hn gi tm hm). V ngi ch nh sai lm ch, h kin quyt tch ri tng khon ring bit, khon no ra khon , khng c dng cho nhau thm ch mt trong hai ci m tin. iu c th dn n s tnh ton sai lm, thay v nht quyt khon no ra khon y, khng c dng ln ln, ci no ht tin ri th thi. Ngi ch nh c th dng an sen chng, chng hn khi khon tin cho chi tiu mua n hng ngy ht, h c th mn tm khon tin t vic dnh cho i nh hng (n tm hm) sau hon tr li tin cho phn tin dnh cho n nh hng ny. Lm cho ng ch ch ng hn trong ngun tin. S tnh ton bt hp l (mental accounting) gip gii thch c rt nhiu hin tng nh la chn ngc vi s thch (preference reversals), tm l s thua l (loss aversion), hiu ng phn b ti sn. Tnh ton bt hp l cn th hin rt r khi ngi ta c tm l thc hin lnh bn ngay khi mang li li nh v tr hon bn ngay khi xut hin nhng khon l nh. Hay c th l gii hiu ng ny bng hiu ng t la di (s rng nu bn m b l s cm thy bn thn ra quyt nh km), v hiu ng tic nui (l bn ri gi ln th sao). Tnh ton bt hp l c th l kt qu ca vic tin tt b nm vo sau tin xu (good money being thrown after bad money) bng vic tip tc hot ng mo him trong tnh trng l vi hi vng rng s hi phc s xy ra vo mt lc no . Tuy nhin, nh hiu ng sau y m tm l lm liu vi ri ro/mt mt ca con ngi c hn ch. l s t iu chnh (self-control) T iu chnh (Self-Control) S t iu chnh lm gim nh tnh ton bt hp l v tm l chp nhn ri ro hn trong min l. Chng hn, bng cch thit lp cc ti khon ring bit v xem xt mc gii hn chi tiu (Thaler v Shefrin, 1981). Glick (1957) ni rng s min cng (relunctance) thc hin ct l cu thnh vn t kim sot (self control), ng nhn nh nhng nh u t chuyn nghip l nhng ngi c xu hng li ca h i tip17. Vn t kim sot l to thnh mt vn thit yu. Vn ca nh u t l th hin s t kim sot ng ti khon ca h ti mc l. Hay nh trng hp ngi ch nh trn, h khng chc c tnh ton ca mnh c hp l hay khng, h s cn nhc v iu chnh li tng s tin h c v mt. 2.1.2 S tri nghim hay thut ton (Heuristics) v xu hng lch lc (Bias)

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Trch lc trong bi vit Ti chnh hnh vi Nghin cu ng dng tm l hc vo ti chnh, H Quc Tun, tp tr Pht trin kinh t thng 07/2007, trang 11 12 17 y l mt trong rt nhiu quan im u t ca cc nh u t. Mt quan im khc nh ct l sm v li nhun tip tc (Cutting losses and riding winners) hay t l gia li nhun v ri ro (risk-reward ratio)

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Lun im 1 th trng hiu qu l th trng khng c tr nh cho rng, th trng s khng ghi nh s vic ngy hm nay phn nh vo gi ca chng khon ngy mai. Nhng thc t th mc gi ngy hm qua vn c ghi nh trong u con ngi, v nhng s vic din ra trong qu kh cng vy. M con ngi b nh hng bi nhiu yu t, tm sinh l, nhn thc, mi trng sng Nhng iu ny, nh hng t nhiu n tm l, nhn thc v hnh vi con ngi. Nhn thc ng dn n hnh vi ng (ngc li th cha chc ng), m nhn thc l mt qu trnh phn nh t duy, tr tu ca con ngi thng qua qu trnh lu di ca s tri nghim cuc sng chnh h. S tri nghim cuc sng mi ngi l khc nhau, v th h c th a ra nhng cch nhn nhn vn khc nhau. Hn na, tm l con ngi cng nh hng nhiu ti quyt nh ca h, ngi vui lc quan th nhn vn theo hng khch quan, thoi mi hn. Ngi c tm trng bun, bi quan th nhn vn theo hng tiu cc hn. Chnh v th, n nh hng n vic nh gi sai v mong mun iu chnh vic nh gi sai ny v ng gi tr ni ti ca mt ti sn no . Di y l nhng nghin cu ca nhm v cc thun ton, s tri nghim hay t nghim (heuristics) v nhng xu hng lch lc (bias). Tri nghim hay thut ton (heuristics) v xu hng lch lc (Bias) Mt s ch trch nhm vo cc m hnh c in trong kinh t v ti chnh l chng thng c xy dng nh th ngi ra quyt nh c mt b nh RAM18 khng gii hn. Mt ngi ra quyt nh nh vy lun xem xt tt c thng tin c lin quan v a ra c s la chn tt nht trong mi tnh hung ca mt qu trnh c gi l ti u ho c rng buc. Nhng con ngi bnh thng l khng hon ho v mt s m hnh i hi qu nhiu thng tin. Vn nghin cu tip theo l cch thc con ngi a ra cc quyt nh trong bi cnh thng tin v thi gian b gii hn trong mt th gii khng chc chn. Vn ny bt u bng cc tho lun v mt s gii hn nht nh trong nhn thc c th dn n nhng k vng khng hp l trong cc m hnh. Nhn thc v b nh khng phi l b lc thng tin chnh xc, v cch m thng tin c trnh by c gi l bi cc ca vn , nh hng nh th no n vic tip nhn thng tin. Bi v nhiu thng tin rt kh x l nn con ngi s dng cc ng tt (shortcut) hoc tri nghim (heuristic) ca chnh mnh cn gi l phng php da vo kinh nghim) a ra nhng quyt nh hp l. a/ S quen thuc v cc tri nghim c lin quan Tip theo s khm ph mt lot cc tri nghim c lin quan khin con ngi th hin s a thch khng lin quan n cc nh gi khch quan. Con ngi thng cm thy an tm vi nhng iu quen thuc (familiar). Con ngi khng thch s m h v thng tm cch n trnh cc ri ro khng c b p. Con ngi c khuynh hng gn lin vi nhng ci g h bit hn l nhng iu xa l.18

RAM l mt khi nim thng thy trong tin hc dng ch mt b nh tm thi cho vic s l cc thng tin.

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Con ngi lng trnh tip nhn nhng sng to mi mc d h bit rng vic tip cn nhng sng to mi ny l ng gi. Tt c nhng iu trn cho thy con ngi c khuynh hng tm kim s an tm.

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S quen thuc (familiar) Con ngi ta thng c khuynh hng phn ng lp li vi nhng tnh hung m h cm thy quen thuc. Bi v, tm l con ngi thng cm thy an tm vi nhng iu quen thuc (familiar) v ght s ri ro v m h. Ri ro v s m h lm cho h khng cn cm gic an tm, v s ng vc bao trm tm tr h. Tt c nhng iu trn cho thy con ngi c khuynh hng tm kim s an tm v m lng vi ci g h bit hn l ci xa l. Chng ta c th thy trong cuc sng, bn sn sng ni chuyn ngy m tt c cc loi t c nhn cho n x hi vi bn b, ngi thn, nhng khi gp ngi l iu s hn ch li, bn tr n co cm hn, tr nn phng th hn. Cn kinh t th sao? Mt v d v khong cch v vn ha v ngn ng: U T

TRONG NC

CNG VN HA NGN NG

NC NGOI

Khi nghin cu x hi hc, ngi ta ch ra rng cng mt quc gia tng vng min khc nhau th tp qun u t khc nhau h thng u t vo chnh cc cng ty ni h sng. Mt v d m Mark Grinblatt v Matti Keloharju chng minh v ngn ng v vn ha. Phn Lan c hai th ting chnh thc l Phn Lan v Thy in, nghin cu ch ra rng, sau khi kim sot cc yu t khc c lin quan, cc nh u t Phn Lan thch u t vo cc cng ty ngn ng chung l ting Phn Lan, cc nh u t Thy in th thch cc cng ty c ngn ng chung l ting Thy in, cn cc cng ty song ng th c xp hng gia hai nhm u t. i vi vn ngn ng cng ty th cng ty ni ting Phn Lan thch CEO l ngi Phn Lan cn vi Cng ty Thy in th ngc li. y l xu hng chung, cc nh u t t chc cng khng th thot khi xu hng ny. y l mt hnh thc ca s quen thuc, i theo li mn, n to nn mt tm l s hu v cm thy c s hu, cm thy thn thuc. N to nn mt li th thng tin, chng ta c th trc tip gim st v tip cn thng tin ni b. Sai lm ch, h b cm s quen thuc ca h li trong phm vi nh, m b qua cc cng ty khc, c th l mi l vi h, nhng n tt hn nhiu cc cng ty quen thuc ca mnh.

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E ngi s m h (ambiguous aversion) Con ngi thng d dng chp nhn tham gia mt cuc chi nu h cm thy am hiu, ngha l, nu h cm thy kh nng chin thng v cm thy e ngi vi s m h. Chip Heath v Amos Tversky tin hnh mt th nghim trong bc u tin l kim tra nhng ngi tham gia bng mt lot cc cu hi kin thc ph thng c nhiu s la chn (c bn la chn). Mi cu hi c nhiu s la chn c nh gi mc nim tin, trong mi la chn c sp xp theo mc chc chn t 100% n 25%. Vi bn cu tr li, mc t tin 25% n thun ch l s suy on. Gi s mt ngi tham gia c mc t tin 60% (tnh trung bnh qua cc cu tr li). Sau ngi ny s c ngh la chn tham gia vo mt trong hai tr chi sau: mt tr chi m phn thng ngu nhin vi xc sut 60% v mt tr chi th hai m s nhn c phn thng nu tr li chnh xc cu hi c la chn ngn nhin. S la chn gia t cc c k nng so vi t cc ngu nhin nh l mt phng trnh ca xc sut tr li ng

Hnh trn cho thy kt qu ca cuc th nghim. Khi mi ngi cm thy h c kh nng chin thng trong cc cu hi, h c khuynh hng la chn mt tr chi c kh nng ginh chin thng hn l mt la chn tr chi ging nh kiu x s, may ri. iu ny c chng minh bi h s tng quan dng gia xc sut tr li ng v t l phn trm la chn loi t cc c kh nng thng (competence bet). Ly trng hp c xc sut t nh gi l 35% lm v d. L do ngi chi a thch hnh thc c cc ngn nhin hn (xc sut c c phn thng l 35%) v khi kh nng hiu bit l khng cao, bn thc s khng bit iu g bn bit v iu g khng bit (ngha l, mc d phng on tt nht ca bn l xc sut 35% bn s tr li ng cu hi, nhng khng chc chn rng y c phi l xc sut ginh c phn thng hay khng). C mt s v d cho thy thi thn trng vi s m h l hnh vi cm xc hn l tri nghim. Tht ra, n phn nh xu hng ca cm xc, c th l s s hi, nh hng n vic la chn trong cc tnh hung c ri ro.

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Mc d mc ch tt nht ca cc nh th nghim, vn c s lo s rng s m h c th gy ra vic bp mo. Tm l e ngi s m h l mt phn trong s quen thuc, ngi ta s s m h khng chc chn vi nhng ci mi, l v khng tm hiu su. Dn n b qua nhng c hi tt, m i khi rng chu ng vi ci sn c, quen thuc, d bit rng n khng cn tt na. Tri nghim a dng ho (diversification heuristic) Tri nghim a dng ho (diversification heuristic) c ngha l con ngi thng t c gng khi ng trc cc la chn khng loi tr ln nhau. Mt hnh vi thng thy cc ba tic buffet l dng th nhiu mn n khc nhau (hoc tt c), vi gi thit bn ch c chn 1 ln cho tt c cc mn n cng lc, ngha l c s gii hn v thi gian. Vic ch chn mt hoc hai loi mn n, to nn ri ro l bn n phi mn khng thch hoc b st mn a thch. V thng ngi ta chn mi mn mt cht. Nhng hnh vi tng t nh vy c pht hin bi Itamar Simonson19, ng rng nhng ngi mua sm thng a thch la chn nhiu mt hng (chng hn nh cc loi sa chua khc nhau) khi h phi mua nhiu sn phm cho tiu dng trong tng lai, so vi trng hp h ch mua mt loi a thch cho mi quyt nh chi tiu. Simonson kt lun rng c nhng yu t nht nh tc ng n cc hnh vi nh trn. u tin, nhiu ngi a thch c nhiu mt hng v nhiu sn phm mi la chn. S thch ny c th hin r hn khi ngi mua mun mua nhiu mt hng. Th hai, nhng s thch trong tng lai bao hm vi s khng chc chn. By gi ti c th thch hn sa chua mm xi hn sa chua du nhng ti khng bit s thch loi no trong tun ti?. Mt l do cui cng cho vic tm kim s a dng ho l lm cho s la chn ca bn tr nn n gin hn, do tit kim thi gian v hn ch mu thun trong quyt nh. Mt v d khc gy bt ng l ca Benartzi v Thaler (2001) khi h ghi nhn qua th nghim khi cho mt s ngi N la chn u t trn s tin tit kim ca h, kt qu l ng pht hin ra rng ngi ta phn b u tin ca mnh cho N la chn (quy tc 1/N). Ban u, h thy rng vic phn b nh vy l ng, v nhiu ngi nhanh chng p dng quy tc 1/N (a dng ho u t kiu n gin nht, phn b theo t l 1/N s tin vo N loi hnh u t) mt cch th ng, trong khi nu phn tch k, h s u t theo nhng quy tc khc (nh chia phn no vo c phiu, phn no vo chng khon thu nhp c nh, phn no cho ti sn t ri ro, phn no cho ti sn nhiu ri ro, t sut sinh li hay tu vo iu kin c th ca th trng, ). Khng thch s thay i v hiu ng coi trng ti sn s hu Vic thch gi nguyn tnh trng hin ti cng xut pht t vic tm kim cm gic an tm. Con ngi khng thch s thay i, lo s rng liu bc i tip theo c tt hn so vi hin ti. Do , con

19

Itamar Simonson l gio s v marketing, ng gc ngi Ireal, ging dy ti trng Stanford University, M

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ngi c khuynh hng tip tc nm gi ci m h ang s hu hn. S qu cao ci mnh ang c, m v tnh h thn tng ha ci mnh c, m chm chp hay ng vc nhng thay i mi. b/ Tnh hung in hnh (representativeness) v cc xu hng lch lc lin quan (relative representativeness) Trong mt s nghin cu ca Amos Tversky v Daniel Kahneman ch ra rng c 3 loi tri nghim gm: tnh hun in hnh (representativeness), s c sn (availability) v neo quyt nh (anchoring) c th dn ti lch hng trong hnh vi con ngi. Mc d cc loi tri nghim ny thng cung cp nhng cu tr li hp l cho cc quyt nh sp ti ca nh u t nhng i khi chng cng lm cho chng ta sai lm. Lch lc do tnh hung in hnh (Representativeness) Lch lc do tnh hung in hnh (Representativeness), thng c din t mt cch n gin l xu hng khng quan tm nhiu n nhng nhn t di hn, m thng t nhiu quan tm n nhng tnh hung in hnh ngn hn trong qu kh. Tversky v Kahneman (1974) a ra mt nh ngha hn lm hn cho tnh hung ny l ngi ta nh gi xc sut xy ra ca nhng s kin trong tng lai da vo mc tng t vi mt tnh hung in hnh no xy ra. im quan trng l ngi ta thng ch quan tm n mt tnh hung in hnh ca mt giai on ngn thay v quan tm n mt mu hnh in hnh trong mt giai on di (iu ny gi l lut s quan st nh, law of small numbers20), ngha l h quy kt nhng mu hnh hay nhng s kin rt him khi xy ra (lut quan st s nh) thnh nhng mu hnh chun cho tt c (lut quan st s ln) v ly lm c s cho h a ra quyt nh. Hay ni cch khc h ang nhm ln p dng lut quan st s ln cho mt mu c s lng nh, m tng rng l lut quan st s ln. Nu sai lm ny din ra trong cc nh u t nh l v tn sut thp th s khng l vn g, nhng nu n lp i lp li vi tn xut nhiu hn, mnh m hn th s thnh mt con s khng khip, nh hng rt ln n th trng. Chng hn cho rng iu kin trong nm 2007 ca nn kinh t Vit Nam tng ng vi giai on ny trong nm 2006 nhiu hn l ging vi nm 2001 th ng nhin s cho rng xc sut gi c phiu cn ln na l cao hn xc xut gi c phiu s gim. Nhng nu nhn cho mt giai on 2000-2006, ngi ta s thy th trng lc ln, lc xung, khng phi ln mi khng ngng, th s c nh gi khc v xc sut tng, gim. Tri nghim sn c (availability heuristics), tc th (recency bias) v ni tri (salience bias) Theo tri nghim c sn (availability heuristics), nhng s kin c gi l d dng nhn thc c cho l d xut hin. Mc d tn sut xut hin v s d nh l c tng quan vi nhau nhng thc t l s d nh b nh hng bi nhiu yu t khc. Bn c th d dng ngh ra c nhiu ch bt u bng k t k hn k t k v tr th ba ca t ? Gi nh rng v bn nhanh chng ngh ra20

C th tham kho thm trong ti liu The strong law of small number ca Richard K Guy vi 35 mu hnh v d v lut cc s nh v phn phi Poisson trong sch vit bi Ladislaus Bortkiewicz v phn phi Poisson, c xut bn nm 1898. V th, mt s cho rng phn phi Poisson nn c gi l phn phi Bortkiewicz.

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nhiu t bt u bng k t k hn nhng t bt u bng k t k v tr th ba ca t. V kt qu l h cho rng c nhiu t bt u bng k t k ny mc d thc t l c kh t t bt u bng k t k. Nhiu v d kiu nh trn c chng minh trong s sn c ca d liu nh hng n nh gi xc sut bng quan st. Mt v d khc da trn nhng nh gi tnh t k (egocentric). Trong mt nghin cu v cc cp v chng, c ngi chng v ngi v c hi v mc chia s ca h i vi nhng cng vic vt trong gia nh (chng hn nh i ch hoc lau nh). Kt qu l v cho rng mnh ng gp 60% v chng cng cho rng mnh cng chia s 60% cng vic . Khng c g ngc nhin, con ngi c khuynh hng nh li nhng hnh vi ca chnh h tt hn ngi khc v tht d nh li nhng g m chng ta lm hn l nhng g ngi khc lm, nn h thng c lng v nh gi qu mc v bn thn. C hai yu t to nn s c sn (availability). Khi mt vn no xy ra gn y, n chc chn d c nh n hn. Thut ng c s dng l lch lc tc th (recency bias). Khi cc s kin c ngn cch tm thi, s kin xut hin th cui cng l d nh nht. S ni tri cng c tc ng n s tri nghim sn c ( y l thut ng s lch lc ni tri salience bias). Quan st mt v tai nn my bay va mi xy ra. S kin ny xut hin nhiu trn cc phng tin truyn thng v d dng nhn ra v vic kinh hong chnh l s ni tri. Kt qu loan truyn ca cc phng tin truyn thng v s kin ny khin cho mt s ngi, t nht l tm thi, c lng qu mc v kh nng ti din s vic tng t v khin h n trnh i li bng my bay. iu ny cng l gii trong tm l hc bng tr nh c hnh thnh do s lp i, lp li cc s kin trong u con ngi hoc trong cc quan st nhiu ln ca h. S neo vo (Anchoring) S neo vo m t trng hp trong ngi ta s dng mt s hoc gi tr nh mt im khi u, c bit n nh l mt im neo (anchor), v iu chnh thng tin cho n khi t c mt gi tr c th chp nhn c (Epley & Gilovich, 2005). im khc nhau bt u ra cc c tnh khc nhau, m thin v cc gi tr ban u. Chng ti gi hin tng ny l neo u." Tversky v Kahneman (1974). Gi tr ban u t to ra bng cch tham gia xy dng cc vn hay l kt qu ca vic tnh ton mt phn, hoc c th c cung cp bi mt th nghim hoc cc ngun khc bn ngoi. iu chnh xy ra khi s dng mt im neo t to ra. Thng qua nghin cu, cc nh tm l hc kt lun rng mi ngi c xu hng iu chnh khng y v h ngng iu chnh mt khi h t n mt phm vi nht nh cc gi tr chnh ng (Epley, Keysar, Van Boven, & Gilovich, 2004). V vy, c tnh ca h c xu hng nm gn pha neo phm vi ca h. Gregory Northcraft v Magaret Neale tin hnh nghin cu Experts, amateurs, and real estate: An anchoring and adjustment perspective on property pricing decisions (1987) xem c hay khng vic neo quyt nh c th xy ra trong qu trnh nh gi bt ng sn. Hai nhm chuyn gia bt ng sn c la chn ngu nhin v c dn n mt ngi nh vi yu cu nh gi ngi nh .

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H c dn i xem ngi nh v nhn c mt lng thng tin xc nh nh nhau, gm c gi nim yt ca ngi nh. im khc nhau duy nht gia hai nhm ny l nhm I c a gi nim yt vo khong $65,900, trong khi nhm II c a gi nim yt vo khong $83,900. Mc nh gi trung bnh ca nhm I vo khong $67,811, v ca nhm II l khong $75,190. Tnh ton ny c th c tm tt trong bng sau: Gi nim yt v mc nh gi: Gi nim yt thp Mc nh gi thp Gi nim yt cao Mc nh gi cao S tin $65,900 $67,811 $83,900 $75,190

R rng, cc chuyn gia nim yt bt ng sn b neo vo gi nim yt m h c a ra trc . V s tht l thiu xt nu nghin cu v hnh vi bt hp l ca con ngi m chng ta khng nghin cu v chnh tm l con ngi, bi l con ngi l ch th ca th trng. Bn cnh cc yu t v t duy, nhn thc hnh vi th tm l con ngi nh hng rt ln n quyt nh v cc vn v ti chnh. 2.1.3/ Tm l con ngi (Psychological Human) Nh nu phn trn, tm l con ngi cng nh hng nhiu ti quyt nh ca h, ngi vui lc quan th nhn vn theo hng khch quan, thoi mi hn. Ngi c tm trng bun, bi quan th nhn vn theo hng tiu cc hn. Di y l nhng tm l chnh nh hng n vic ra quyt nh ca con ngi. L thuyt tic nui (regret theory) Tm l ca con ngi l cm thy au kh, hi tic v lm sai, thm ch l li sai nh. H cm thy rt hi hn v quyt nh m n gy ra kt qu xu. Nu ai mong rng c th trnh ni au ca s hi hn, h c th thay i hnh vi ca h theo cch m i khi l bt hp l. L thuyt v hi tic c th gip gii thch nhn t m nh u t tr hon bn chng khon ang gim gi tr v thc gic bn chng khon khi n ang tng gi. (Shefrin v Statman, 1985). L thuyt c th c gii thch nh vic m ch nh u t trnh bn chng khon ang gim gi khng to ra li m h lm hay l cch m h trnh cm gic hi hn. H bn chng khon m ang ln khng cm gic hi tic v khng bn n nu gi sau ny gi li gim. Hnh vi ny c ghi nhn khi dng khi lng giao dch bi Ferris, Haugen v Makhija (1988) v odean (1996).

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Tm l s mt mt (loss aversion)21 Theo Kahnemann v Tversky th hm gi tr th hin ng khng cn xng gia gi tr m ngi ta t cho phn nhn c v phn mt i. Nhng bng chng thc nghim ca Kahneman v Tversky ch ra rng gi tr mt i 1$ th nng gp 02 ln gi tr nhn c $1. Hay ngi ta s bun gp i nu mt i 1$ so vi vic nhn c 1$ li. iu ny cng c din t trong hin tng m ngi ta c khuynh hng nh cc nhiu hn khi l, h c khuynh hng nm gi ci l vi hi vng gi s c hi phc. Trong tm l s mt mt l tm l s mt mt thin cn, Samuelson (1963) m phng n bng mt v d khi ng lm mt th nghim nh. ng yu cu ng nghip ca mnh chi mt tr t cc nh hoc l anh ta nhn c 200$ vi xc sut 0.5, hoc l mt 100$ vi xc sut 0.5. Kt qu l ngi ng nghip ny khng tham gia vn ny, nhng anh ta li c mt trm ln. Vi 100 ln c nh vy, tng gi tr thng k vng ca anh ta l 5000$, v hu nh anh ta khng c mt mt bt k khon tin no. Hnh ng nh vy, c Benartzi v Thaler (1995) gi l tm l s mt mt thin cn (myopic loss aversion) . l s kt hp gia tnh nhy cm i vi mt mt hn l nhn c v khuynh hng nh gi thu nhp mt cch thng xuyn. Tm l ca nh u t i khi c th hin trong tm l thin cn, thiu tm nhn, v h nhn nhn s vic t mt pha v b qua iu g c th xy ra, v vy nh u t ch ln k hoch cho mt thi k nm gi no thi (Bodie et all, 2000). Hai gi nh ca tm l s mt mt thin cn (myopic loss aversion) c kim nghim. u tin, nh u t th hin tm l s mt mt thin cn bng vic sn lng chp nhn ri ro nu h nh gi gi tr u t ca h t thng xuyn hn. Th hai, tt c nhng thu nhp tng ln hn ch mt mt, nh u t s chp nhn ri ro nhiu hn. Tm l s mt mt thin cn cng ch ra rng mi ngi c xu hng nhy cm hn vi mt mt ti sn hn gi tr tng ln. Tm l s mt mt (loss aversion) c th gip gii thch xu hng nh u t nm gi chng khon l hn trong khi li c khuynh hng bn chng khon li qu sm. Shefrin v Statman (1985) gi s kin ny l thng bn sm v l chi lu (selling winners too early and riding losers too long) nh l mt hiu ng tm l. Qu t tin (overconfidence) v phn ng thi qu hay bi quan (overreaction or underreaction): Cha kha quan trng ca nhn t hnh vi v c l l khm ph mnh m nht trong tm l hc v nh gi cn hiu th trng bt hon ho (market anomaly) l s t tin thi qu (overconfidence). Mi ngi c khuynh hng thi phng ti nng ca mnh v nh gi thp kh nng xy ra ca mt kt qu xu c th xy ra m h khng kim sot c. S kt hp gia t tin thi qu v tnh lc quan lm cho ngi ta nh gi qu cao kh nng tri thc ca h, nh gi thp ri ro v thi phng kh nng ca h trong vic kim sot tnh hnh, m n dn n vic giao dch qu ln v bong bng u c. S t tin ln trong con ngi anh ta th ri ro v t tin thi qu cng ln (the greater21

Da ch yu vo Theoretical Framework (chng 3) ca ti liu ca Malena Johnson, Henrik Lindblom & Peter Platan, Behavioral Finance And the change of investor behavior during and after the speculative bubble at the end of the 1990s, 2002

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confidence a person has in himself, the more risk there is of overconfidence). iu ny rt d xy ra khi m ngi ta khng c thng tin tt. Mt iu ng ngc nhin l c mi lin h gia t tin thi qu v ti nng. March v Shapira (1987) ch ra rng nhng nh u t thng nh gi qu cao kh nng thnh cng bi h ngh rng h l chuyn gia. De Bont v Thaler 22(1985) ch ra rng ngi ta c khuynh hng phn ng thi qu i vi nhng thng tin khng mong i hay n tng. Qu t tin c biu hin theo nhiu hnh thc khc nhau. Bn cnh s c lng sai miscalibration, nhiu ngi khng thc t khi ngh rng kh nng v hiu bit ca h th trn trung bnh - better than average effect. o tng kim sot- illusion of control th lm cho ngi ta tin rng h c kh nng kim sot tnh hung tt hn nhng g h c th. Lc quan qu mc- excessive optimisim phn nh cm gic tin rng mi th th tt p hn so vi thc t vn c ca s vic. S c lng sai- miscalibration: L mt khuynh hng ngi ta phng i tm hiu bit ca bn thn- mt ngi c hi nhiu cu hi vi khong tin cy X %, sai s thng k mu s c gim thiu nu s cu hi nhiu th vic c lng ng m ch rng vi khong tin cy xp x X% s cha cu tr li chnh xc cho cc cu tr li . Thc t, t l s ngi a ra khong tin cy cha cu tr li ng thng thp hn X%. Nu mt ngi c hi mt lot nhng cu hi th t l tr li ng thng thp hn mc tin cy X% cho trc. iu ny c dn chng bng phng php kim tra s c lng. V d nh, ngi ta c hi mt cu hi v c cung cp cc cu tr li. c th l la chn ng sai hoc dng nhiu la chn. Tip h c hi v s chc chn i vi cu tr li ca mnh. Nu ai tr li rng mc trung bnh v s chc chn trong cc cu tr li ca mnh khong 70%, trong khi thc t ch t 55% th h s c cho l t tin qu mc. Nhn chung, nhng nghin cu v S c lng ch ra rng khong tin cy m cc c nhn a ra l qu hp dn n nhng cu tr li ng nm trong khong tin cy thng t hn khong tin cy hm . Hiu ng tt hn trung bnh- better than average effect: Trong cc cu hi kho st, rt nhiu ngi nh gi kh nng ca h tt hn trung bnh Mt yu t lm cho ngi ta tin rng kh nng ca bn thn trn mc bnh thng l do nhng nh ngha chnh xc v s thng minh hay nng lc c bit li khng r rng. Theo l t nhin, trong thm tm, con ngi thng ngh d l nhng g lm cho h c v gii nht. V d: Mt nh nghin cu kho st mt mu sinh vin, bo co rng 82% sinh vin t cho l mnh thuc nhm 30% nhng ngi li xe an ton nht. kha cnh ng vin, vic tin rng bn li xe tt hn trung bnh mang n s t tin. kha cnh nhn thc, tiu ch thnh tch d dng in vo tm tr l nhng g m bn gii nht.

22

De Bondt, Werner. Tin s ti trng i hc Wisconsin ti Madison

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o tng kim sot- illusion of control Mt biu hin khc ca t tin thi qu l o tng kim sot (illusion of control). Con ngi ngh rng h c kh nng kim sot tnh hung hn l thc t c th. Hi chng o tng v quyn kim sot tnh hung ny dn n vic nh u t nh gi qu cao nhng c phiu ang mt gi trong danh mc u t ca mnh, hoc n cng lm cho anh ta nhn thy mt xu hng khng tn ti hay chp nhn mua c phiu v d on mc gi ca n s tt trong tng lai, bt chp thc t l gi thay i trong tng lai hon ton khc gi thay i trong qu kh. Qu lc quan- excessive optimisim Qu lc quan hin din khi con ngi nh gi cc xc sut cho cc kt qu thun li/bt li cao hn/thp hn da vo tri nghim lch s hoc nhng phn tch suy lun. C 1 dng c gi l sai lm trong k hoch- planning fallacy: l vic ngi ta thng ngh h c th hon thnh k hoch sm hn thc t vi tt c cc chi ph pht sinh u c tnh n. Trong thc t, chng ta khng th thc hin cc mc tiu c bn trong ngn hn v vic chi vt k hoch lun ph bin. S kt hp gia t tin thi qu v tnh lc quan lm cho ngi ta nh gi qu cao kh nng tri thc ca h, nh gi thp ri ro v thi phng kh nng ca h trong vic kim sot tnh hnh, m n dn n vic giao dch qu ln v bong bng u c. S t tin ln trong con ngi anh ta th ri ro v t tin thi qu cng ln (the greater confidence a person has in himself, the more risk there is of overconfidence)

C phi con ngi u qu t tin nh nhau? Nghin cu ch ra con ngi thng hi qu t tin trong lnh vc chuyn mn ca h Mc thiu t tin th hin qua mt phn ca nhn khu hc nam gii t tin thi qu hn n gii Gio dc c phi l cch tt gim bt s qu t tin?. Ta khng bit th g ngoi tr s thiu hiu bit ca bn thn- Greek Socrates

C phi con ngi lun qu t tin? C phi mi trng nh nhau s a n nhng khuynh hng tm l ging nhau khng? Con ngi c lun qu t tin khng? S qu t tin c thc s l mt trng thi tm l n nh, c th o lng khng?

V l thuyt th cc iu ny c th xy ra, s qu t tin ca cc c nhn c mi tng quan vi nhau khi kt qu l nh nhau vi mi bi kim tra.

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Nhng nhn t ngn cn s iu chnh? Khuynh hng t quy kt: L thuyt v s quy kt nghin cu cch con ngi lm cc quy kt nhn qu. Lch lc t quy kt (self-attribution bias): Quy kt nhng thnh cng hoc kt qu tt p cho kh nng bn than li nhng tht bi cho cc iu kin ngoi tm kim sot. Gia tng s qu t tin

Khuynh hng nhn thc mun (hindsight bias): Khuynh hng a ngi ta n nhng suy ngh l ngi ta bit n t lu ri sau khi c kt qu. Thng xy ra vi nhng s kin c ni dung hm cha cm xc, o c hay ph thuc vo mt qu trnh tng tng trc khi kt qu c bit.

Khuynh hng t xc nhn (confirmation bias):

Khi bn tin vo iu g th bn c gng tm bng chng cng c thm nim tin ca mnh m khng bn tm n nhng bng chng khc. Phn ng gi vi thng tin l thit yu cho hnh vi th trng. Theo nghin cu ca Barberis khm ph ra rng ngi ta c xu hng phn ng hi ht trn gi i vi nhng loi thng tin nh thng bo li nhun v phn ng mnh/thi qu vi gi vi mt chui thng tin tt hay xu. V cng qua thc nghim ngi ta thy rng phn ng hi ht tng quan dng vi nhng loi thng tin mang tnh cht thng bo. Phn ng hi ht ny thng c lin quan n mt tm l bo th (consevatism). Tm l bo th (convervatism) Tm l bo th m ch mt hin tng tm l m ngi ta ng vc bt k thng tin mi v a ra qu nhiu i trng n kh nng xy ra trc c ca cc s kin trong mt tnh hung xy ra trc hoc nh sn mu hnh. Edward (1968) kt lun rng ngi ta ly u t hai n nm quan st lm mt quan st c gi tr lm thay i kin ca anh ta. Theo , ngi ta s chm thay i kin ca mnh hn. V th, ngi ta s mt nhiu thi gian hn trc khi kt lun v khuynh hng xy ra tip theo. Tm l bo th ging nh mt ro cn v hnh, ngn ngi ta thay i quan im/ kin ca mnh trc nhng ci mi. Tm l bo th thng i km vi phn ng thi qu hay hi ht l mt trong nhng nguyn nhn gy ra mt xu hng, ng lc v cc b no . Khi iu kin thay i (thng tin mi v trin vng nn kinh t chng hn) ngi ta thng c xu hng chm phn ng vi nhng thay i , v gn nhn nh ca mnh vi mt tnh hung chung trong mt giai on di hi trc . Tc l khi c tin nn kinh t suy gim, h cho rng kinh t km i ch l tm thi, di hn vn l i ln, m khng

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nhn thy c th tin pht i tn hiu mt chu k suy thoi nhiu nm bt u23. Chng hn, khi c tin nn kinh t suy gim, h cho rng kinh t km i ch l tm thi, di hn vn i ln, m khng nhn thy c th tin pht i tn hiu mt chu k suy thoi nhiu nm bt u 2.2 Hnh vi khng hp l mang tnh h thng Nu ch mt nh u t n l c hnh vi khng hp l, th nh hng ca giao dch ca nh u t ny ln gi c phiu trn th trng l khng ng k (cho d l t chc u t ln th nh hng cng rt hn ch nu ch n c mt mnh). Ch khi hnh vi khng hp l l mang tnh h thng (ngha l mt nhm nhiu nh u t c cng mt hnh vi khng hp l nh nhau) th khi y vic nh gi sai s xut hin v c th bt u ko di. Mt nghin cu ca Rober Shiller24 v hnh vi c tnh u c v x hi hc. ng nhn mnh rng: u t vo cc ti sn mang tnh u c l mt hot ng x hi. Cc nh u t dnh mt phn ng k thi gian rnh ca h bn lun v u t, c sch v u t hay bn tn v nhng thnh cng hay tht bi ca ngi khc trong u t. V th, c th ni nhng quyt nh ca nh u t (bao gm c gi ca ti sn u c) s b nh hng bi tro lu x hi. Thi hay phong cch dng nh s thay i theo nhiu ch ph bin khc nhau: chng hn nh ch v thc phm, qun o, y t hay chnh tr. Nhng thay i trong thi thng xy ra rng ri hn v thng xut hin m khng c bt k l do hp l r rng no. Thi hay phong cch lin quan n u t cng s thay i mt cch t nhin hoc theo phn ng x hi vi mt s s kin c ghi nhn rng ri. Ngi ta ni chung l kh tin bn b, mi quan h ng nghip hn l thng tin i chng. Nhng phng tin truyn thng nh tivi, radio, c kh nng lan truyn thng tin nhanh nhng n vn cha c kh nng chng to ra hnh vi ch ng vn cn hn ch. Giao tip gia cc c nhn vi nhau l mt trong nhng giao tip x hi nht m con ngi c th. Trong s nhng ngi c hi iu g cun ht h u tin khi u t vo mt cng ty, th ch c 6% tr li l bo tr v thi gian. (Shiller v Pound, 1986). Thm ch nu mt ngi c rt nhiu, th s quan tm v hnh ng ca h xut hin tng ng vi giao tip mang tnh c nhn. Ri ro mang tnh h thng ny hm c s tn ti ca hiu ng by n. Tuy nhin hnh vi by n, khc vi cc loi thut ton hay s tri nghim khc ch n dn dt ngi ta lc hng khi h theo khuynh hng chung ca th trng. Tc l hnh ng theo m ng, khi cc nh u t khng tht s c lp na. C ba l do gii thch cho hnh vi ny ca con ngi. Th nht, l p lc tun theo x hi. Hu ht mi ngi u mun ha ng v c chp nhn bi x hi thay v b rung b, do h thng c x theo hnh vi ca m ng. Khi p lc ln ti mc buc phi tun theo th mt ngi thay i quan im ring khng phi ch v

23

Trch nghin cu Ti chnh hnh vi nghin cu ng dng tm l hc vo ti chnh H Quc Tun Tp tr pht trin 2007 24 Trch t Behavioral Finance: Psychology, Decision-Making, and Markets, Ackert & Deaves, page 106-107

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anh ta thc s tin vo quan im m ng m ch l vic thay i quan im ring d hn vic thot ra khi x hi Th hai, l tr tu m ng. Ngay c khi bn tin rng hnh ng ca m ng l sai, bn vn thc hin theo h bi tin rng h c thng tin g m bn cha bit. Khi ngi ta b ng u vi nhng nh gi ca mt nhm ln, h c khuynh hng thay i nhng cu tr li sai ca h. H ngh n gin rng tt c nhng ngi khc khng th sai hay m ng lun ng. Th ba, l p lc t chnh nh u t. H hoi nghi v kh nng ca mnh v c phn qu tin vo kh nng ca m ng. Mu thun trong la chn ca h nn theo m ng hay tch lp vi m ng, kt qu l h thin v m ng. H bn theo tm l by n bi h c an i rng nu mnh mt tin th nhng ngi khc cng s mt.

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Hnh vi by n c 02 loi Hnh vi gng p (enforced herd behavior hay not voluntarily). Chng hn, mi ngi cm thy khng th thng c m ng, nn trnh b dm chn m h gng p theo m ng. Hnh vi t nguyn (voluntary): Th hin nhng ngi khn ngoan nht, h tham gia vo hnh vi by n ch yu vi mc ch u c mang tnh c nhn mang tnh li dng, khi h a vo ti khon o trong u mnh quan im/nh gi ca ngi khc, v thm tr h bit vic hnh x trong by n l sai hay khng c c s.

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Hnh vi bt hp l, d l hnh vi c nhn hay hnh vi ca nhm, u gy ra s xo trn trong th trng, ngi ta gi hin tng ny l nhng k no lon th trng hay nhng ngi giao dch nhiu (noise traders25). Mt nh u t thiu thng tin ni b, h thng hnh ng mt cch thiu l l da trn li n nh th h ang nm bt thng tin . 2.3 Gii hn kh nng kinh doanh chnh lch gi trn th trng ti chnh26 Nh trnh by phn u, mt trong nhng khi nim nn tng trong ti chnh l kinh doanh chnh lch gi (arbitrage), n c hiu nh l hot ng mua v bn ng thi mt loi ti sn nh nhau trn hai th trng khc nhau nhm thu li nhun t s khc bit v gi (Sharpe and Alexander, 1990). Theo l thuyt th nhng hot ng nh vy yu cu khng gii hn vn v ri

25

L thuyt v Noise traders tm dch l l thuyt v k no lon th trng, l tng c gii thiu bi De Long et al (1990) v nghin cu sau bi Shleifer v Vishny (1997), trong nu ra ri ro ca k no lon th trng lm sai lch gi lm cho vic kinh doanh tr nn kh khn v xu i. 26 Tham kho chnh ti sch Behavioral Finance: Psychology, Decision-Making, and Markets, Ackert & Deaves, page 112 118, Advance in Behavioral Finance, vol II, Richard H. Thaler, page 79 102 (Chapter 2) ca Andrei Sheleifer v Robert W.Vishny v A survey of Behavioral Finance, Chng 18, Nicolas Barberis, page 1056 1064 v bi vit Ti chnh hnh vi Nghin cu ng dng tm l hc vo ti chnh H Quc Tun -2007 v The noise trader approach to finance Andrei shleifer and Lawrence H.Summers. -1990

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ro(27). Khi nh kinh doanh chnh lch gi mua chng khon/ti sn gi thp v bn chnh n th trng c gi cao hn, anh ta s nhn ngay li nhun do hot ng ny. Kinh doanh chnh lch gi ng vai tr quan trng trong vic phn tch th trng chng khon, bi v nh hng ca n lm cho gi chng khon b nh sai tr v gi tr c bn (fundamental value) v gi cho th trng hiu qu. V ti sao trong thc t vn c nhng trng hp nh gi sai, m kinh doanh chnh lch gi khng th a n v gi tr c bn c? Mt gii thch c chp nhn rng ri trong trng phi ti chnh hnh vi l c 2 dng nh gi sai: mt dng l thng xuyn xy ra v c th kinh doanh chnh lch gi c, mt dng l khng th xy ra, ko di v khng th kinh doanh chnh lch gi c (ni mt cch khc, kh m xc nh c khi no mc nh gi sai t ti gii hn trn hay di v iu chnh li). Nu tham gia chnh sa kiu nh gi sai dng 2 th rt d ri vo trng thi tin mt, tt mang, Chng ta cng xem xt v d v gi tr c phiu Ford: Gi s gi tr c bn ca Ford l $20/c phiu. Tng tng rng lc ny nhng nh u t khng khn ngoan (irrational traders) tr nn qu bi quan v trin vng tng lai m m ca Ford, v bn ngay c phiu Ford vi gi $15. Lc ny, theo l thuyt th trng hiu qu (gi tt EMH) th nhng nh u t khn ngoan (Rational traders) thy y l c hi hp dn v gi thp hn gi tr c bn ($20) v mua chng vi mc gi hi. Vi p lc mua c phiu Ford ca cc nh u t khn ngoan s lm cho c phiu Ford tr li gi tr c bn ca n ($20).

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Nhng ti chnh hnh vi khng hon ton ng tnh vi quan im ny bi l khi nhng c hi u t hp dn xy ra th tht kh tin rng chng khng b li dng mt cch nhanh chng. V ti chnh hnh vi cho rng khi m s sai lch gi mt cch d di th cc chin lc c thit k iu chnh gi c th phi bao gm c ri ro v chi ph, chnh iu ny lm cho kinh doanh chnh lch gi tr nn km hp dn hn. Do , khng hn mi lc th vic kinh doanh chnh lch gi l khng ri ro v khng tn ph nh quan im ca th trng hiu qu. Kt qu l vic nh gi sai khng c iu chnh nh k vng ban u. Chng ta s tm hiu ngay sau y vi 03 vn chnh c nhiu nh nghin cu ti chnh hnh vi a ra v gii hn kinh doanh chnh lch gi khng gii thch c, lm cho vic nh gi sai tr nn trm trng hn, l ri ro c bn (fundamental risk), chi ph thc hin (implementation costs) v ri ro t nhng nh giao dch nhiu hay ri ro nh u t bt hp l (noise trader risk)

27

Advance in Behavioral Finance, vol II, Richard H. Thaler, page 79

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a/ Ri ro c bn (fundemental risk)28: Theo nghin cu ca Andrei Shleifer and Lawrence H.Summers (1990) th hai ng cho rng c 02 loi ri ro lm cn tr hot ng kinh doanh chnh lch gi, l Ri ro c bn (fundamental risk) v Ri ro v gi khi bn li trong tng lai (the source risk comes from unpredictability of future resale price). Hai loi ri ro ny tm chung li mun m ch tm l ca nhng nh kinh doanh chnh lch gi thua ngay trn chnh quyt nh ca mnh. Vi thng tin hin c, h nhn thy gi chng khon ang qu cao v h bn chng ngay kim li. Nhng sau , li c nhng thng tin mi tt hn, mc k vng v gi cn cao hn na, h chu ng tm l mt mt do chnh quyt nh ban u ca mnh. Tm l s mt mt ny lm cn tr nh kinh doanh chnh lch gi ban u. Dn n kinh doanh chnh lch gi khng xy ra. Theo nghin cu ca Nicholas Barberis (2003) th ng ch ra rng trong tnh hung khi mt ngnh cng nghip b nh gi sai, th ch cn mt chng khon b nh gi sai th dn n vic cc chng khon thuc ngnh cng b nh gi sai. Hay chng khon m mnh ngha l nh gi ng cng cha chc 100% n ng gi tr c bn. b/ Chi ph thc hin (implementation costs) Mt vn cch tip cn ny l hng triu nh u t nh khng hn ai cng c kin thc v thng tin thc hin hot ng kinh doanh chnh lch gi. Chnh v khng c kin thc chuyn su c th xc nh c thi im kinh doanh chnh lch gi nn cc nh u t ny thng gi tin ca mnh cho mt t chc hoc cc c nhn chuyn nghip u t dm h. iu ny lm ny sinh vn v mi quan h i din (agency relationship), pht sinh mt chi ph l chi ph giao dch. Andrei Shleifer v Vishny khi nghin cu v gii hn ca hot ng kinh doanh chnh lch gi ng a ra 01 v d v tri phiu th Bund 29 (loi tri phiu c) giao dch trn hai sn London (Anh) v Frankfurt (c). Gi s rng cc hp ng k hn (futures contracts30) tri phiu ny hon ton ging nhau trong tt c cc iu khon (ngha l chng c th thay th hon ton cho nhau). V gi s tnh hung rng gi hp ng k hn London cao hn gi ti th trng Frankfurt. Phn ng trc vic ny mt nh kinh doanh chnh lch gi s bn hp ng ny ti th trng Anh v mua mt hp ng k hn ti Frankfurt. Vi th trng giao sau (futures market)31, ngi ta phi ng mt khon k qu hay mt khon tin m bo thc hin hp ng (good faith money32). Gi s hp ng London tng ln v hp ng28

Trch t trang 113-114 sch Behavioral Finance: Psychology, Decision-Making, and Markets, Ackert & Deaves v trang 03 - The noise trader approach to finance Andrei shleifer and Lawrence H.Summers. -1990, page 21 29 C th nghin cu su hn bng s ti ti liu Advance in Behavioral Finance, vol II, Richard H. Thaler, trang 79-80 30 T futures contract cn c ni gi l forward contract hay le contrat terme (Php), ti Vit Nam th thng gi l hp ng k hn v hp ng giao sau. 31 Theo investopedia.com nh ngha th trng giao sau (futures market) l th trng mua bn u gi m trong nhng ngi tham gia mua hoc bn hng ha hay cc hp ng giao sau (futures contracts) nhn hng ha vo mt ngy c th trong tng lai (a specified future date). y, cc bi nghin cu ca cc tc gi ang mun m ch n cc phi sinh ti chnh nh hp ng giao sau (Futures), hp ng quyn chn (Option), hp ng hon chuyn li

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Frankfurt i xung, ng rng bn phi ng thm tin cho c hai th trng duy tr trng thi giao dch. Nu bn c tin b vo duy tr trng thi ca mnh, gi d n thi gian o hn bn vn nhn c tin vi xc sut l 100%. Tuy nhin, nu bn khng cn tin duy tr trng thi na, bn c th hoc phi xoay tin b vo hoc chm dt v tr ca mnh ti mc l. iu ny s nh nhng hn nu l tin ca bn hay bn khng b gii hn v vn, bn phi xoay tin b vo hoc mt tin ngay c khi bn chc chn 100% nhn c mc li khi n hn hp ng. Tuy nhin iu ny khng cn n gin na, nu bn ang qun l tin ca ngi khc. H c quyn thu bn v cng c quyn sa thi bn nu bn khng t c mc k vng ca h. ng gc ca bn, bn nhn vo gi tr tng lai bn nhn c vi xc sut 100% l thng ch cn duy tr trng thi giao dch thi, nhng gc ngi giao tin hay ng ch, h quan tm n ti sn ca mnh ngy cng m i hn n gi tr nhn c trong di hn di hn. V vn l khng ai bit chnh xc khi no vic nh gi sai chm dt (ngn hn hay di hn) v ng ch khng phi np thm tin na?. Nn h khng cn tin tng giao tin cho bn na, kt qu l bn phi rt v th ca mnh trong trng thi l, cng vi b sa thi. Chnh hai iu ny (c ng ch v ngi kinh doanh chnh lch gi) lm cho ngi ta khng cn mn m vi kinh doanh chnh lch gi na. Gi khng c iu chnh nh mong mun ban u. Ngoi ra, trong th trng cn c nghip v mua bn khng chng khon33, iu g s xy ra nu bn khng c c phiu bn? iu ny ng ngha vi vic rng nh kinh doanh chnh lch gi s nhanh chng thot khi v th bn khng ca h trc thi hn, d h khng mun iu . Owen Lamont v Richard Thaler, a ra nghin cu thc nghim ca mnh v hin tng cng ty 3Com v Palm. Ngi ta c th mua trc tip c phiu Plam hoc gin tip mua c phiu 3Com. V t l 1.5 c phiu Palm i c 03 c phiu 3Com. Khi giao dch ln u, Palm c bn vi gi 95.06$ v 3Com bn vi gi $81.81. Lc ny gi 3Com r qu, ngi ta bn Palm v iu qu d thy, nhng tht ng kinh ngc, vic nh gi sai li ko di trong nhiu thng. Thc t, l do ca vic nh gi sai tr nn trm trng hn dng nh l do khng c c phiu Palm bn khng, lm cho cc nh u t khn ngoan khng th tn dng c kinh doanh chnh lch gi. c/ Ri ro t nhng nh u t bt hp l (noise trader risk) Ri ro t nhng nh u t bt hp l c gii thiu bi De Long, Shleifer, Summers v Waldmann (1990) v c nghin cu su hn bi Shleifer v Vishny (1997), l mt ri ro m vic nh gi sai c pht hin bi cc nh kinh doanh chnh lch gi b lm xu i trong ngn hn.

sut (Swap) ngy cng c s dng rng ri trn ton th gii nh l nhng cng c phng chng v ngn chn ri ro. 32 Good faith money l khon tin m ngi mua phi np vo m bo rng anh/ch ta c nh thc hin hp ng. Thng th khon tin ny c tnh theo t l phn trm. Khon tin ny cn c gi l margin. Chng hn nh vi th trng nh ca, ngi mua nh phi np mt ph t cc (a depositing money), khi iu ny c thc hin, th ngi bn bit rng ngi mua s thc hin vic mua bn ny. (theo investopedia.com) 33 Bn khng c th c hiu l giao dch trong nh u t t lnh bn chng khon khi khng c chng khon trong ti khon. lm c iu ny, h phi vay chng khon ca ngi khc khi gi ang cao bn, v khi gi xung thp hoc ht thi hn cho mn th nh u t phi mua li chng khon tr li cho ngi cho mn.

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Gi s th trng ch c 02 nhm ngi tham gia l: Nhm th nht l nhng ngi kinh doanh chnh lch gi (abitrageurs), vi s hiu bit tt v hnh ng khn ngoan. Nhm th hai l nhng ngi hnh ng khng theo quy lut no, tm gi l nh u t bt thng (irrational investors hay noise traders).

Chnh s tn ti nhm ngi th hai ny, c l do h thiu nng lc chuyn mn, nn h phn ng da trn suy tnh c nhn trc cc bin ng ca gi c, v c khuynh hng u t da trn t sut sinh mong i trc mt trong ngn hn, hay xu hng u t theo thng tin ni b, thng tin gy nhiu th trng hn l u t theo gi tr thc, gi tr ni ti ca ti sn. Theo Delong v cc cng s cho rng s xut hin nhng nh u t bt hp l ny lm cn tr nhng nh kinh doanh chnh lch gi, bi h lm cho gi c bin ng mt cch kh on v khng lin quan n dng thng tin hay mt quy lut no. Nhng giao dch mang tnh ngu nhin theo cm tnh ny ca nh u t bt hp l (noise traders) y gi tr ti sn ra xa gi tr c bn ca n, lm cho vic kinh doanh chnh lch gi ca cc nh u t khn ngoan khng th thc hin c v s iu chnh gi khng cn tc dng na, gi c sai lch cng ln ra thay v co hp li. i lc cc nh u t khn ngoan h cn li dng hnh vi ca cc nh u t ny nhm tm kim li nhun thay v mc ch ca h l iu chnh gi v gi c bn ban u. Trn y l nhng tm hiu v l thuyt ti chnh hnh vi, chng ta s tm hiu tip theo cc ng dng ca n trong vic gii thch cc hin tng lin quan n hnh vi con ngi trn th trng chng khon v ng dng trong qun tr doanh nghip.

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CHNG III CC BIU HIN TI CHNH HNH VI TRN TH TRNG CHNG KHON VIT NAM1. S nt s ra i v pht trin ca th trng chng khon Vit Nam: Sau nhiu nm chun b v ch i , ngy 11-7-1998, Chnh ph k Ngh nh s 48/CP ban hnh v chng khon v TTCK chnh thc khai sinh cho Th trng chng khon Vit Nam ra i. Cng ngy, Chnh ph cng k quyt nh thnh lp Trung tm Giao dch Chng khon t ti TP.HCM v H Ni. Vic chun b cho TTCKVN thc ra do U Ban Chng khon Vit Nam ra i bng Ngh nh 75/CP ngy 28-11-1996. Trung tm Giao dch Chng khon TP.HCM (TTGDCK TP.HCM) c thnh lp theo Quyt nh s 127/1998/Q-TTg ngy 11-7-1998 v chnh thc i vo hot ng thc hin phin giao dch u tin vo ngy 28-7-2000. Sau khi TTGDCK TP. H Ch Minh i vo hot ng c khong 6 nm, n nm 2005, TTGDCK H Ni cng c a vo hot ng. n nay, cc TTGDCK ny c chuyn i thnh cc S Giao dch Chng khon: S Giao dch Chng khon TP. H Ch Minh (HOSE) v S Giao dch Chng khon H Ni (HNX). K t nhng ngy u mi a vo hot ng vi ch vi cng ty nim yt n nay quy m th trng gia tng vt bc. C th tm chia qu trnh pht trin ca th trng chng khon thnh 4 giai on: Giai on 1: 2000- 2005 : Giai on chp chng bit i ca th trng chng khon. S ra i ca th trng chng khon Vit Nam c nh du bng vic a vo vn hnh Trung tm giao dch chng khon Tp.HCM ngy 20/7/2000 v thc hin phin giao dch u tin vo ngy 28/07/2000. thi im lc by gi, ch c hai doanh nghip nim yt hai loi c phiu (REE v SAM) vi s vn 270 t ng v mt s t tri phiu Chnh ph c nim yt giao dch. T cho n 2005, th trng lun trong trng thi g gt, loi tr cn st nm 2001 (ch s VN index cao nht t 571.04 im sau 6 thng u nm nhng ch trong vng cha y 4 thng, t thng 6 n thng 10, cc c phiu nim yt mt gi ti 70% gi tr, ch s VN index st t 571.04 im vo ngy 25/04/2001 xung ch cn khong 200 im vo thng 10/2001. Trong 4 thng hong lon ny, trong khi nhiu nh u t tho chy khi th trng th mt s nh u t khc vn bnh tnh bm tr mua bn v tip tc kim c li nhun, trong 5 nm ch s Vn- index lc cao nht ch c 300 im, mc thp nht xung n 130 im. L do chnh l t hng ha, cc doanh nghip nim yt cng nh, khng ni ting, khng hp dn nh u t. Ngy 8/3/2005 Trung tm giao dch chng khon H Ni (TTGDCKHN) chnh thc i vo hot ng. Giai on tnh ng dn xut hin t nm 2005 khi t l nm gi ca nh u t nc ngoi c nng t 30% ln 49%.

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Trong 5 nm u tin, dng nh th trng khng thc s thu ht c s quan tm ca ng o cng chng v cc din bin tng gim ca th trng cha to ra tc ng x hi m rng c th nh hng ti s vn hnh ca nn kinh t cng nh ti cuc sng ca mi ngi dn. Giai on 2: T nm 2006 n cui nm 2007: Th trng chng khon Vit Nam trong giai on bong bng u c: Chng ta hy xem xt th xem din bin ca th trng chng khon giai on gi l nng nht, k t khi thnh lp, vi nhng bin ng ht sc bt ng m ngay c cc nh nghin cu th trng cng khng th no on trc c.Mt s d liu v qu trnh pht trin ca th trng chng khon Vit Nam t 2000 n 2007 Thi gian 2000 2001 2002 2003 2004 2005 2006 2007 Thi gian 2000 2001 2002 2003 2004 2005 2006 2007 Ti khon nh u t 2.908 8.780 13.607 16.486 21.600 29.065 110.652 312.139 1 2 6 18 25 Cng ty qun l qu Cng ty chng khon 7 8 9 12 13 14 55 78 Vn ha TT (t ng) 986 1.570 2.436 2.370 4.516 9.598 237.276 492.900 Cng ty nim yt 5 10 20 22 26 41 195 253 % GDP 0,28% 0,34% 0,48% 0,39% 0,63% 1,21% 22,70% 40,00%

Gi tr giao dch bnh qun phin (t ng) 1,4 6,85 4,58 12,14 79,55 111,90 401,84 1.562,21

(Ngun: y ban Chng khon)

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Mc thi gian k t u nm 2006 c coi l mang tnh cht pht trin t ph, to cho th trng chng khon Vit Nam mt din mo hon ton mi vi hot ng giao dch si ng ti c 3 sn. S giao dch Tp.HCM, Trung tm giao dch H Ni v th trng OTC. Vi mc tng trng t ti 60% t u n gia nm 2006 th trng chng khon Vit Nam tr thnh im c tc tng trng nhanh th 2 th gii, ch sau Dim-ba-bu. V s bng dy ca th trng non tr ny ngy cng thu ht cc nh u t trong v ngoi nc. Trong khong t gia n cui nm 2006, tnh trng u t vo c phiu nc ta ngy cng mnh m, c nhng nh u t c kin thc v hiu bit ln nhng ngi chi chng khon theo phong tro, qua y TTCK vo tnh trng nng, hin tng bong bng l c tht. S lng cc nh u t mi tham gia th trng ngy cng ng, tnh n cui thng 12/2006, c gn 120,000 ti khon giao dch chng khon c m, trong gn 2,000 ti khon ca nh u t nc ngoi. S ti khon giao dch t hn gp 3 ln nm 2005 v 30 ln so vi 6 nm trc. Cui 2006, cng vi s tng trng mnh ca th trng chng khon theo k vng WTO, dng vn u t gin tip nc ngoi vo nhiu, doanh nghip ng k ln sn hng lot, s lng cng ty chng khon tng ln t bin. Hng ngy c khong 80 100 cng ty c c

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Tai Chinh Hanh Vi - Behavior Finance