NO.PZ202206070100000103
问题如下:
Brian O'Reilly Case ScenarioBrian O’Reilly is a capital markets consultant for the Tennessee Teachers’ Retirement System (TTRS). O’Reilly is meeting with the TTRS board to present his capital market expectations for the next year. Board member Kay Durden asks O’Reilly about the possibility that data measurement biases exist in historical data. O’Reilly responds:
“One bias results from the use of appraisal data in the absence of market transaction data. Appraisal values tend to be less volatile than market determined values for identical assets. As a result, measured volatilities are biased downward and correlations with other assets tend to be exaggerated.”
Board member Arnold Brown asks O’Reilly about the use of high-frequency (daily) data in developing capital market expectations. O’Reilly answers, “Sometimes it is necessary to use daily data to obtain a data series of the desired length. Ironically, high-frequency data improves the precision of sample variances, covariances, and correlations but not the precision of the sample mean. High-frequency data are more sensitive to asynchronism across variables.”
Durden states that he recently read an article on psychological biases related to making accurate and unbiased forecasts. She asks O’Reilly to inform the board about the anchoringand prudence biases. O’Reilly offers the following explanation:
“The anchoring bias is the tendency for forecasts to be overly influenced by the memory of catastrophic or dramatic past events that are anchored in a person’s memory. The confirming evidence trap is the bias that leads individuals to give greater weight to information that supports a preferred viewpoint than to evidence that contradicts it.”
The board asks about forecasting expected returns for major markets, given that price earnings ratios are not constant over time and that many companies are repurchasing shares instead of increasing cash dividends. O’Reilly responds that the Grinold–Kroner model accounts for those factors and then makes the following forecasts for the European equity market:
The dividend yield will be 1.95%.
Shares outstanding will decline 1.00%.
The long-term inflation rate will be 1.75% per year.
An expansion rate for P/E multiples will be 0.15% per year.
The long-term corporate earnings growth premium will be 1% above expected real GDP growth.
Expected real GDP growth will be 2.5% per year.
The risk-free rate will be 2.0%.
选项:
A.for both.
B.only for the prudence bias.
C.only for the anchoring bias.
解释:
Solution
A is correct. Both of O’Reilly’s explanations are incorrect. His description of the prudence bias is incorrect—he is referring to the confirmation bias. The prudence bias is the tendency to temper forecasts so that they do not appear extreme or the tendency to be overly cautious in forecasting. His explanation of the anchoring bias is also incorrect. The anchoring bias is the tendency of the mind to give disproportionate weight to the first information it receives on a topic: initial impressions, estimates, or data, anchor subsequent thoughts and judgments.
B is incorrect. His description of the prudence bias is incorrect—he is referring to the confirmation bias.
C is incorrect. O’Reilly’s statement regarding the anchoring trap is incorrect. This is a description of availability bias.
A是正确的。奥莱利的两种解释都是不正确的。他对审慎偏差的描述是不正确的——他指的是确认偏差。审慎偏差是指为使预测不显得极端而调整预测的倾向,或预测时过于谨慎的倾向。他对锚定偏差的解释也是不正确的。锚定偏误是一种倾向,即大脑会对接收到的关于某个主题的第一个信息给予不成比例的权重:最初的印象、估计或数据,从而锚定随后的想法和判断。
B是不正确的。他对审慎偏差的描述是不正确的——他指的是确认偏差。
C是不正确的。奥莱利关于锚定陷阱的声明是不正确的。这是对可得性偏差的描述。
题干是不是误将prudent bias写成confirmation bias了?