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1、±±±±±±±±±±±±±±±±±±±BEHAVIORALINVESTING±±±±±±CHAPTER±±±±19±±±±±19.1INTRODUCTIONInthischapterweconsiderbehavioralinvesting,theattempttoenhanceportfolioperformancebyapplyinglessonslearnedfrombehavioralfinance.BasedonChapter13,itmightseemthattheprocessisaneasyone.Therewediscussedevi-dencethatmoment
2、umandreversal,aswellasthevalueadvantage,werewellsup-portedempirically,bothindifferentsampleperiodsandindifferentnationalstockmarkets.Moreover,theseanomaliesalsohadafirmbehavioralfoundationbasedontheoreticalmodels.Improvingportfolioperformancebytiltingtowardstocksembodyingtheseattributesseemsapp
3、ropriatebasedonthisevidence.WebegininSection19.2bylookingatseveralreasonswhymattersarenotassimpleasonemightinitiallybelieve:anomalyattenuation,stylepeergroups,andstyleinvesting.Inthefollowingsection,wediscusshowinvestorscanfurtherim-proveperformance,notjustbycapitalizingonanomaliesinisolation,b
4、utbybothcombiningthemandbyincorporatingotherscreens.InSection19.4,wemovebe-yondthistoexploremultiplescreens.Inthepenultimatesection,weconsiderstylerotation,theattempttotimestylereturns.Finally,inSection19.6,weaskwhetherthereisanyevidencethatbehavioralinvestingcanleadtoreturnenhancement.19.2ANOM
5、ALYATTENUATION,STYLEPEERGROUPS,ANDSTYLEINVESTINGWilliamSchwert,writingin2002,showedthatanumberofanomalies,oncere-1portedintheacademicliterature,eitherattenuatedorfullydisappearedafterward.Hecitedasexamplesthesmall-firmeffect,theJanuaryeffect(thetendencyforre-turnstobehigherinthemonthofJanuary),
6、theweekendeffect(thetendencyforreturnstobeloweronMonday),andthevalueadvantage.Doesthatmeanthatmanagersshouldneverexpectpersistenceinanomalies?Anomalydissipationisexactlywhatweexpecttohappeninaworldthat,thoughnotalwaysperfectlyefficient,hasatendencytomoveinthatdirectionviaremedialarbitrageactivi
7、tyonceinformationisdisseminated.Anomalies,however,thathave335336CHAPTER19beenarguedtoberiskfactors,inparticularvalueandfirmsize,shouldnotdisap-pear,because,underariskstory,theyarenotanomaliesatallbutratherfaircom-pensationforriskb
