Resumos
Este artigo aborda as finanças comportamentais, uma das inovações mais importantes e controversas em finanças, que confrontam o paradigma tradicionalmente aceito, baseado na moderna teoria financeira. Inicialmente realiza-se uma síntese de potenciais problemas de tomada de decisão, exemplificando-se alguns aspectos não racionais que constituem importantes paradoxos em finanças. Após uma discussão da teoria de prospecto, replicam-se numa amostra brasileira os experimentos seminais de Kahneman e Tversky. São discutidas diversas situações que violam premissas da teoria da utilidade esperada, base da teoria moderna de finanças. Os resultados empíricos mostram que se mantêm as evidências de diversos vieses de percepção em decisões, independentemente de aspectos relacionados com a evolução do mercado e com a cultura ou nacionalidade dos indivíduos. O distanciamento entre a teoria moderna de finanças e a prática em decisões financeiras sugere a abordagem das finanças comportamentais como uma alternativa
Finanças comportamentais; comportamento do investidor; teoria moderna de finanças; teoria da utilidade esperada; vieses cognitivos
This study discusses the Behavioral Finance, one of the most important and controversial innovations in finance, that confronts the traditionally accepted paradigm based on the Modern Finance Theory. Initially, a synthesis of potential problems of decision-making is carried through, with examples of some non-rational aspects that make up important paradoxes in finance. After a discussion of the prospect theory, the seminal experiments of Kahneman and Tversky are replicated in a Brazilian sample. Many situations that violate premises of the theory of the expected utility, base of the Modern Finance Theory, are presented. Empirical results show that evidences of many perception biases in decisionmaking are consistent, independently of aspects related with the evolution of the market and the culture or nationality of individuals. The separation between theory and practice in financial decisions suggests the Behavioral Finance as an alternative to explain attitudes of economic agents.
Behavioral finance; investor behavior; modern finance theory; expected utility theory; cognitive biases
FÓRUM
Paradoxos em finanças: teoria moderna versus finanças comportamentais
Herbert KimuraI; Leonardo Fernando Cruz BassoI; Elizabeth KrauterII
IUniversidade Presbiteriana Mackenzie
IIFEA-USP
RESUMO
Este artigo aborda as finanças comportamentais, uma das inovações mais importantes e controversas em finanças, que confrontam o paradigma tradicionalmente aceito, baseado na moderna teoria financeira. Inicialmente realiza-se uma síntese de potenciais problemas de tomada de decisão, exemplificando-se alguns aspectos não racionais que constituem importantes paradoxos em finanças. Após uma discussão da teoria de prospecto, replicam-se numa amostra brasileira os experimentos seminais de Kahneman e Tversky. São discutidas diversas situações que violam premissas da teoria da utilidade esperada, base da teoria moderna de finanças. Os resultados empíricos mostram que se mantêm as evidências de diversos vieses de percepção em decisões, independentemente de aspectos relacionados com a evolução do mercado e com a cultura ou nacionalidade dos indivíduos. O distanciamento entre a teoria moderna de finanças e a prática em decisões financeiras sugere a abordagem das finanças comportamentais como uma alternativa
Palavras-chave: Finanças comportamentais, comportamento do investidor, teoria moderna de finanças, teoria da utilidade esperada, vieses cognitivos.
ABSTRACT
This study discusses the Behavioral Finance, one of the most important and controversial innovations in finance, that confronts the traditionally accepted paradigm based on the Modern Finance Theory. Initially, a synthesis of potential problems of decision-making is carried through, with examples of some non-rational aspects that make up important paradoxes in finance. After a discussion of the prospect theory, the seminal experiments of Kahneman and Tversky are replicated in a Brazilian sample. Many situations that violate premises of the theory of the expected utility, base of the Modern Finance Theory, are presented. Empirical results show that evidences of many perception biases in decisionmaking are consistent, independently of aspects related with the evolution of the market and the culture or nationality of individuals. The separation between theory and practice in financial decisions suggests the Behavioral Finance as an alternative to explain attitudes of economic agents.
Keywords: Behavioral finance, investor behavior, modern finance theory, expected utility theory, cognitive biases.
Texto completo disponível apenas em PDF.
Full text available only in PDF format.
REFERÊNCIAS BIBLIOGRÁFICAS
ALLAIS, M. Le comportement de l'homme rationnel devant le risque: critique des postulats et axiomes de l'école Américaine. Econometrica, v. 21, p. 503-546, 1953.
BARBERIS, N.; HUANG, M. Mental accounting, loss aversion, and individual stock returns. Journal of Finance, v. 56, n. 4, p. 1247-1292, 2001.
BENARTZI, S.; THALER, R. Myopic loss aversion and the equity premium puzzle. Quarterly Journal of Economics, v. 110, n. 1, p. 73-92, 1995.
BURR, B. Behavioral finance: too interesting. Pensions and Investments, v. 18, p. 8, 1997.
De BONDT, W.; THALER, R. Does the market overreact?. Journal of Finance, v. 40, n. 3, p. 793-805, 1985.
EDWARDS, W. The theory of decision making. Psychological Bulletin, v. 51, p. 380-417, 1954.
FAMA, E. Efficient capital markets: a review of theory and empirical work. Journal of Finance, v. 25, p. 383-417, 1970.
FESTINGER, L.; CARLSMITH, J. M. Cognitive consequences of forced compliance. Journal of Abnormal and Social Psychology, v. 58, p. 203-210, 1959.
FESTINGER. L. A Theory of Cognitive Dissonance. Evanston, IL: Row, Peterson, 1957.
FUCHS, V. From Bismarck to Woodcock: The “irrational” pursuit of national health insurance. Journal of Law and Economics, v. 19, p. 347-359, 1976.
JENSEN, M. Some anomalous evidence regarding market efficiency. Journal of Financial Economics, v. 6, p. 95-101. 1978.
KAHNEMAN, D.; TVERSKY, A. The psychology of preferences. Scientific American, v. 146, p. 160-173, 1982.
KAHNEMAN, D.; TVERSKY, A. Prospect theory: an analysis of decision under risk. Econometrica, v. 47, n. 2, p. 263-291, 1979.
KAHNEMAN, D.; TVERSKY, A. The framing of decisions and psychology of choice. Science, v. 211, p. 453-458, 1981.
KING, M.; LEAPE, J. Wealth and portfolio composition: theory and evidence. Journal of Public Economics, v. 69, p. 155-193, 1998.
LOOMES, G.; SUGDEN, R. Regret theory: an alternative theory of rational choice under uncertainty. Economic Journal, v. 92, p. 805-824, 1982.
ODEAN, T. Are investors reluctant to realize their losses? Working paper. Graduate School of Management, University of California: Davis, 1998.
PROTHRO, J. W.; GRIGG, C. M. Fundamental principles of democracy: bases of agreement and disagreement. Journal of Politics, v. 22, p. 276-294, 1960.
SHEFRIN, H. M. Beyond Greed and Fear. Harvard Business School Press, 2000.
SHLEIFER, A. Inefficient Markets: An Introduction to Behavioral Finance. New York. Oxford University Press, 2000.
THALER, R. H. The end of behavioral finance. Financial Analysts Journal, p. 12-17, 1999.
TVERSKY, A. Elimination by aspects: a theory of choice. Psychological Review, v. 79, p. 281-299, 1972.
TOBIN, J. Liquidity preference as behavior toward risk. Review of Economic Studies, v. 25, p. 65-86, 1958.
WICKER, A. W. Attitudes versus actions: the relationship of verbal and overt behavioral responses to attitude objects. Journal of Social Issues, v. 25, p. 41-78, 1969.
Artigo recebido em 27.05.2004.
Aprovado em 14.09.2005.
Herbert Kimura
Professor da Universidade Presbiteriana Mackenzie. Doutor em Administração pela USP. Interesses de pesquisa nas áreas de derivativos, criação de valor, finanças comportamentais e finanças corporativas. E-mail: hkimura@mackenzie.com.br Endereço: Rua da Consolação, 896, 7º andar, sala 76, Consolação, São Paulo SP, 01302-907.
Leonardo Fernando Cruz Basso
Professor da Universidade Presbiteriana Mackenzie. Doutor em Economia pela New School for Social Research, New York. Interesses de pesquisa nas áreas de criação de valor, finanças comportamentais e finanças corporativas. E-mail: leonardobasso@mackenzie.com.br Endereço: Rua da Consolação, 896, 7º andar, sala 76, Consolação, São Paulo SP, 01302-907.
Elizabeth Krauter
Doutoranda em Administração na FEA-USP. Interesses de pesquisa nas áreas de criação de valor, finanças comportamentais e finanças corporativas. E-mail: ekrauter@usp.br Endereço: Rua Marina Crespi, 195, apto. 2203, Mooca, São Paulo SP, 03112-090.
- ALLAIS, M. Le comportement de l'homme rationnel devant le risque: critique des postulats et axiomes de l'école Américaine. Econometrica, v. 21, p. 503-546, 1953.
- BARBERIS, N.; HUANG, M. Mental accounting, loss aversion, and individual stock returns. Journal of Finance, v. 56, n. 4, p. 1247-1292, 2001.
- BENARTZI, S.; THALER, R. Myopic loss aversion and the equity premium puzzle. Quarterly Journal of Economics, v. 110, n. 1, p. 73-92, 1995.
- BURR, B. Behavioral finance: too interesting. Pensions and Investments, v. 18, p. 8, 1997.
- De BONDT, W.; THALER, R. Does the market overreact?. Journal of Finance, v. 40, n. 3, p. 793-805, 1985.
- EDWARDS, W. The theory of decision making. Psychological Bulletin, v. 51, p. 380-417, 1954.
- FAMA, E. Efficient capital markets: a review of theory and empirical work. Journal of Finance, v. 25, p. 383-417, 1970.
- FESTINGER, L.; CARLSMITH, J. M. Cognitive consequences of forced compliance. Journal of Abnormal and Social Psychology, v. 58, p. 203-210, 1959.
- FESTINGER. L. A Theory of Cognitive Dissonance Evanston, IL: Row, Peterson, 1957.
- JENSEN, M. Some anomalous evidence regarding market efficiency. Journal of Financial Economics, v. 6, p. 95-101. 1978.
- KAHNEMAN, D.; TVERSKY, A. The psychology of preferences. Scientific American, v. 146, p. 160-173, 1982.
- KAHNEMAN, D.; TVERSKY, A. Prospect theory: an analysis of decision under risk. Econometrica, v. 47, n. 2, p. 263-291, 1979.
- KAHNEMAN, D.; TVERSKY, A. The framing of decisions and psychology of choice. Science, v. 211, p. 453-458, 1981.
- KING, M.; LEAPE, J. Wealth and portfolio composition: theory and evidence. Journal of Public Economics, v. 69, p. 155-193, 1998.
- LOOMES, G.; SUGDEN, R. Regret theory: an alternative theory of rational choice under uncertainty. Economic Journal, v. 92, p. 805-824, 1982.
- ODEAN, T. Are investors reluctant to realize their losses? Working paper Graduate School of Management, University of California: Davis, 1998.
- PROTHRO, J. W.; GRIGG, C. M. Fundamental principles of democracy: bases of agreement and disagreement. Journal of Politics, v. 22, p. 276-294, 1960.
- SHEFRIN, H. M. Beyond Greed and Fear Harvard Business School Press, 2000.
- SHLEIFER, A. Inefficient Markets: An Introduction to Behavioral Finance New York. Oxford University Press, 2000.
- THALER, R. H. The end of behavioral finance. Financial Analysts Journal, p. 12-17, 1999.
- TVERSKY, A. Elimination by aspects: a theory of choice. Psychological Review, v. 79, p. 281-299, 1972.
- TOBIN, J. Liquidity preference as behavior toward risk. Review of Economic Studies, v. 25, p. 65-86, 1958.
- WICKER, A. W. Attitudes versus actions: the relationship of verbal and overt behavioral responses to attitude objects. Journal of Social Issues, v. 25, p. 41-78, 1969.
Datas de Publicação
-
Publicação nesta coleção
03 Fev 2011 -
Data do Fascículo
Mar 2006
Histórico
-
Aceito
14 Set 2005 -
Recebido
27 Maio 2004
