Morte da economia comportamental?

 

Jason Hreha escreveu um artigo com o chamativo título de “The death of behavioral economics” (A morte da economia comportamental) O principal ponto considerado por Hreha é o fato de que a aversão a perda está sendo “questionado” por pesquisas mais recentes.

Parte do debate conduzido por Hreha está no método empregado pelos criadores/divulgadores do conceito. Hreha questiona fortemente as referências usadas por Kahneman e Tversky, assim como a forma como fizeram a pesquisa. Há uma boa resposta a estas acusações no Astral Codex e minha sugestão é a leitura https://astralcodexten.substack.com/p/on-hreha-on-behavioral-economics dos argumentos apresentados no longo texto existente lá. Como Hreha cita uma pesquisa de Gal e Rucker recente, Scott Alexander, do Astral, rebate com alguns bons argumentos. A pesquisa de Gal e Rucker parece indicar que a aversão a perda seria consequência de outros viéses, especialmente o efeito propriedade (ou efeito dotação) e o status quo. Mas os pesquisadores não dizem que a aversão não existe, mas somente que talvez não seja a principal explicação para o que ocorre na prática.

Você não pode usar este artigo (Gal e Rucker) para argumentar que “a economia comportamental está morta”. Na melhor das hipóteses, o artigo prova que a aversão à perda é melhor explicada por outros conceitos econômicos comportamentais. Mas você não pode se livrar completamente da economia comportamental.

Mesmo as críticas que indicam que os experimentos foram realizados com estudantes de graduação, foram rebatidos por outros experimentos, realizados com pessoas que possuem elevada renda e mesmo assim possuem aversão a perder pequenas quantias.

O outro ataque de Hreha é sobre as cutucadas. O foco é o fato de que as cutucadas possuem um efeito pequeno, de 1,5%. Alexander argumenta que 1,5% pode ser pequeno em certas situações, mas quando o Uber usa as cutucadas, 1,5% sobre 10 bilhões significa 100 milhões, o que é muito dinheiro. Quando você considera 1,5% sobre 90 milhões de pessoas que não querem vacinar ou são preguiçosos demais, são 1,4 milhão de vacinados.

É normal que críticas irão surgir contra os conhecimentos que temos hoje da economia comportamental (ou das finanças comportamentais). Mas é necessário distinguir entre uma crítica sem fundamento, de uma revisão científica bem feita. Parece não ser o caso das considerações de Hreha.

Cutucadas (Nudge) funcionam? Uma meta-análise parece indicar que sim

Desde que o conceito de cutucão (nudge) apareceu no livro de Thaler e Sunstein, diversas aplicações foram realizadas e os efeitos reportados em artigos científicos. O processo de meta-análise corresponde a um grande "resumo" dos estudos para tentar verificar se existe um padrão nos resultados. Em 2019 um estudo com cem pesquisas mostrou que as cutucadas produzem resultados em 62% dos casos, mas que alguns tipos de intervenções não tiveram o sucesso esperado.

Um ano depois outro estudo concluiu que as cutucadas produzem resultados que são estatisticamente significativos. Agora uma pesquisa publicada com 455 situações, de 214 artigos, mostram que as cutucadas afetam o comportamento das pessoas. Este efeito muda conforme o tipo de situação, assim como em 15% dos casos as cutucadas podem ou não dar resultado ou provocar um comportamento oposto ao pretendido. O sucesso ou insucesso pode ser resultado de um maior ou menor processamento da informação ou valores e objetivos individuais. 

Uma situação interessante é que as cutucadas relacionadas com alimentos produzem mais efeito que as cutucadas na área de finanças. 

Um típico problema do estudo de meta-análise é o viés da publicação. Ou seja, estudos com resultado positivo são publicados e estudos com resultado negativo ou sem resultado não são aceitos para publicação. O artigo de 2022 constatou que este viés existe no sentido de publicação de resultados positivos. Em termos práticos, o percentual de eficiência das cutucadas deve ser visto com ressalva. 

Pesquisa original: Mertens, S., Herberz, M., Hahnel, U. J. J. , & Brosch, T. (2022). The effectiveness of nudging: A meta-analysis of choice architecture interventions across behavioral domains. PNAS.

Via aqui

Foto: Goodman

Erro de previsão?

 Carls Sunstein é o conhecido co-autor de Nudge. Há quase um ano ele escreveu um artigo para Bloomberg (conforme lembra Jason Collins no seu blog):

Sunstein desprezou o risco do Covid. Seria um erro de previsão ou o assunto é mais sério? Collins lembra que com o tempo Sunstein foi "mudando" sua opinião, sem reconhecer o erro da análise feita em fevereiro. 

O artigo de Collins traz algumas considerações importantes e interessantes sobre a chamada economia comportamental. Se tiver condições, irei retornar à ele. 

Marketing é a Economia Comportamental Original

O famoso autor Philip Kotler, da área de marketing, escreveu (via aqui) um texto defendendo a ideia que a chamada economia comportamental foi precedida pelo marketing social. Segundo ele,

O campo do marketing classifica e explica a grande variedade de comportamentos humanos há mais de 100 anos. Os profissionais de marketing se basearam nas disciplinas de psicologia, sociologia, antropologia e psicologia social para descrever as grandes variedades de comportamento humano. Os profissionais de marketing ficaram fascinados com exemplos de comportamento "irracional". Por que muitas pessoas continuam seu hábito de fumar quando sabem que isso reduzirá sua vida? Por que as famílias pobres têm tantos filhos que os manterão e a seus filhos pobres? Por que um CEO decide adquirir um concorrente mesmo quando ele sabe que mais da metade de todas as fusões fracassa. (...) Poderíamos ter chamado isso de “economia comportamental” porque sempre estávamos preocupados em equilibrar o lado da demanda e o lado do custo desses esforços.

Imagem: aqui

Contabilidade - há um grande interesse da contabilidade pelo campo comportamental. Várias pesquisas são realizadas para tentar entender como o ser humano se comporta diante da informação contábil, por exemplo. 

Keynes: o verdadeiro pai das Finanças Comportamentais

In 1978 the financial economist Michael Jensen wrote: “I believe there is no other proposition in economics which has more solid empirical evidence supporting it than the efficient market hypothesis.” If it is possible to “jinx” a scientific hypothesis, Professor Jensen may have done it. Consider the history since that time.

First, there was the crash in stock prices in October 1987. The late 1990s saw a spectacular rise and fall in technology stocks. The irrational exuberance shifted to real estate, leading up to the peak in August 2006, followed by a crash that helped cause the global financial crisis. Even former chairman of the Federal Reserve Alan Greenspan apologised: “Those of us who have looked to the self-interest of lending institutions to protect shareholders’ equity — myself especially — are in a state of shocked disbelief.”

Many other economists who were ardent supporters of the efficient market hypothesis (EMH) have also been surprised by recent history but there is one man who would not have been “shocked”: John Maynard Keynes.

Keynes is remembered for his view that governments should spend money in recessions to regain full employment, an argument made famous in The General Theory of Employment, Interest, and Money (1936). Few, however, realise that Keynes was a true forerunner of behavioural finance. Had more people, including Greenspan, studied the chapter of The General Theory on financial markets, the crisis might have been avoided.

Keynes thought markets had been more “efficient” at the beginning of the 20th century, when managers owned most of the shares in a company and knew what it was worth. As shares became more widely dispersed, “the element of real knowledge in the valuation of investments by those who own them or contemplate purchasing them . . . seriously declined”.

By the time of The General Theory, Keynes had concluded that markets had gone crazy. “Day-to-day fluctuations in the profits of existing investments, which are obviously of an ephemeral and non-significant character, tend to have an altogether excessive, and even an absurd, influence on the market.”

To buttress his point, he noted the fact that shares of ice companies were higher in summer months when sales are higher. This fact is surprising because in an efficient market, stock prices reflect the long-run value of a company, and do not rise in good seasons. Recent academic studies show this pattern is still true.

Keynes was also sceptical that professional money managers would perform the role of the “smart money” that EMH defenders rely upon to keep markets efficient. Rather, he thought they were more likely to ride a wave of irrational exuberance than to fight it. One reason is that it is risky to be a contrarian. “Worldly wisdom teaches that it is better for reputation to fail conventionally than to succeed unconventionally.”

Instead, Keynes thought that professional money managers were playing an intricate guessing game. He likened it to a common newspaper game “in which the competitors have to pick out the six prettiest faces from 100 photographs, the prize being awarded to the competitor whose choice most nearly corresponds to the average preferences of the competitors as a whole: so that each competitor has to pick, not those faces that he himself finds prettiest, but those that he thinks likeliest to catch the fancy of the other competitors, all of whom are looking at the problem from the same point of view . . . We have reached the third degree where we devote our intelligences to anticipating what average opinion expects the average opinion to be. And there are some,

I believe, who practise the fourth, fifth, and higher degrees.” I believe Keynes’s beauty-contest analogy remains an apt description of how financial markets work, as well as of the key role played by behavioural factors.


[...]

Autor: Richard Thaler- Continua aqui

Genética e a taxa de poupança

Economists have long theorized about why people save. The most-famous theory, the so-called “life-cycle” theory of savings put forward by Nobel Prize-winning economist Franco Modigliani in the 1950s, said—to put it crudely—that people save when they’re young to finance their lives when they’re old. It sounded reasonable. And it was hugely influential for decades.

And it was wrong. “Exhaustive attempts to explain actual saving patterns with Modigliani’s basic life-cycle hypothesis proved entirely unsuccessful,” said a paper surveying the history of economic thinking about saving, published by the Federal Reserve Bank of Minneapolis in 2003.

[...]

Researchers Henrik Cronqvist and Stephan Siegel constructed a measure of savings by essentially tracking the changes in the net worth of the twins between 2003 and the end of 2007. They found that identical twins—who share the exact same genes—are significantly more similar in their savings behavior than fraternal twins. In fact, they conclude that genetic differences explained roughly 33% of the variations in individual savings rates.”We and many other financial mainstream economists had just not thought about it,” Siegel says of the paper’s findings. “Because it’s slightly outside the mainstream way we think of human behavior in terms of finance and economics.”

It might not be outside the mainstream for long. Increasingly, economists are beginning to dip their toes into the field of genetics. For instance, a paper published in the Journal of Finance in 2010 found that genetics accounted for roughly 25% of the individual variation in risk-taking seen in financial portfolios. And the the emerging field even has its own portmanteau: Genoeconomics.
Fonte: aqui

Comportamento dos pobres e desenvolvimento econômico

A BAT and a ball cost $1.10 between them. The bat costs $1 more than the ball. How much does each cost? By paying attention to how people actually think, behavioural economics has qualified some of the underlying assumptions of classical economics, notably that everyone is perfectly rational. In fact, the mind plays tricks, dividing up $1.10 (in this example) neatly into $1 and 10 cents, rather than correctly into $1.05 and 5 cents. People also tend to copy others and often prefer to co-operate rather than compete. For these reasons, some of the simplifying assumptions of economics are not always correct: people do not act in every instance in their long-term self-interest; they do not weigh up all the costs and benefits before taking a decision.

Many of the insights of behavioural economics were based on studies of American university students and other privileged folk. But they apply with greater force to the poor—both the poor in rich countries and the more numerous inhabitants of developing ones. Behavioural economics therefore has profound implications for development. The new “World Development Report”, the flagship publication of the World Bank, considers them.

As the report shows, the poor are more likely than other people to make bad economic decisions. This is not because they are irrational or foolish but because so much is stacked against them. They are more likely to lack the basic information needed to make good choices, such as which fertiliser to use or when to apply it. They are more likely to live in societies which hold mistaken or harmful views, such as that girls should not go to school.

Conventional economic thinking assumes the poor will want to earn their way out of poverty. But as studies from countries as different as Ethiopia and France show, poverty makes people feel powerless and blunts their aspirations, so they may not even try to improve their lot. When they do, they face obstacles everywhere. They have no margin for error, making them risk averse. If they do not know where their next meal is coming from, saving and investing for the future is hard. George Orwell said, “Within certain limits, the less money you have the less you worry.” He was wrong. The poor are subject to exceptional levels of stress: childhood sickness is more likely to be life-threatening; crop failure can lead to destitution. And stress makes good decision-making harder. Above all, the poor lack the institutional framework which, in the West, improves decisions. Everywhere, people underestimate the benefits of education and save too little for their retirement. But children in the West go to school as a matter of course; pension systems make some savings automatic. Poor countries provide few such props.

All this helps explain why the poor stay poor; why (for example) subsistence farmers do not buy fertiliser or put children into secondary school, though they would benefit from doing so. More important, though, behavioural economics provides a different way of thinking about some of the problems of poverty.
Traditional development programmes stress resources and markets. People are poor, the argument goes, because they lack resources: not just money but roads, clinics, schools and irrigation canals. The job of development is to provide those things. And since resources also need to be allocated properly, prices have to be right. So a lot of development is about freeing prices and making markets more efficient.

A behavioural approach to development is different. It focuses on how decisions are made and how they can be improved. For example, in Bogotá a conditional-cash transfer programme paid mothers a monthly stipend if they took their children to school. Attendance during the school year was good but re-enrolment rates were low. A shift in the timing of the hand-out—withholding a part of the regular payment until just before the start of the school year—boosted enrolment sharply. This makes little sense in conventional economic terms: going to school is so beneficial that families should not need extra incentives and the overall sum available did not change. Yet the pay-off was substantial.
Actions like this sound marginal. Economists should be paying attention to the details of policy anyway. It may not seem to amount to a profoundly different approach—but it actually might.

A tweaking revolution

Some small-scale policies turn out to be far from marginal. A programme in Jamaica in the 1990s taught mothers of chronically malnourished toddlers how to play with them in such a way as to encourage greater verbal and physical skills—a behavioural tweak. Twenty years later, the average earnings of these children (among the most deprived in the country) were higher than those of children who had not been malnourished, and far higher than malnourished children who were not part of the programme. Paying attention to how the poor actually think would also imply big changes to financial-inclusion policies, encouraging financial products that people want to buy.

Moreover, development experts have their biases and blind spots, like anyone else. In principle, behavioural development could sit happily alongside the traditional sort. In practice, the two will compete for resources and professional attention.

A behavioural approach to poverty is not new. The World Bank has long had a behavioural unit. The Poverty Action Lab at the Massachusetts Institute of Technology has championed randomised control trials to test tweaks to policy. But by making this the subject of its main annual publication, the Bank has brought behavioural economics into the mainstream of development. It is likely to prove a challenge to traditional ways of combating poverty, as well as a complement to them.

Fonte: aqui

Efeitos do Socialismo no comportamento humano

“UNDER capitalism”, ran the old Soviet-era joke, “man exploits man. Under communism it is just the opposite.” In fact new research suggests that the Soviet system inspired not just sarcasm but cheating too: in East Germany, at least, communism appears to have inculcated moral laxity.

Lars Hornuf of the University of Munich and Dan Ariely, Ximena García-Rada and Heather Mann of Duke University ran an experiment last year to test Germans’ willingness to lie for personal gain. Some 250 Berliners were randomly selected to take part in a game where they could win up to €6 ($8).

The game was simple enough. Each participant was asked to throw a die 40 times and record each roll on a piece of paper. A higher overall tally earned a bigger payoff. Before each roll, players had to commit themselves to write down the number that was on either the top or the bottom side of the die. However, they did not have to tell anyone which side they had chosen, which made it easy to cheat by rolling the die first and then pretending that they had selected the side with the highest number. If they picked the top and then rolled a two, for example, they would have an incentive to claim—falsely—that they had chosen the bottom, which would be a five.

Honest participants would be expected to roll ones, twos and threes as often as fours, fives and sixes. But that did not happen: the sheets handed in had a suspiciously large share of high numbers, suggesting many players had cheated.

After finishing the game, the players had to fill in a form that asked their age and the part of Germany where they had lived in different decades. The authors found that, on average, those who had East German roots cheated twice as much as those who had grown up in West Germany under capitalism. They also looked at how much time people had spent in East Germany before the fall of the Berlin Wall. The longer the participants had been exposed to socialism, the greater the likelihood that they would claim improbable numbers of high rolls.

The study reveals nothing about the nature of the link between socialism and dishonesty. It might be a function of the relative poverty of East Germans, for example. All the same, when it comes to ethics, a capitalist upbringing appears to trump a socialist one.

Fonte: aqui

Lembrei desta frase do João Ubaldo Ribeiro numa entrevista para a revista Veja em 2006 falando sobre o Brasil:

Veja – Não é um exagero dizer que a corrupção reina no Brasil?

Ubaldo –Nós vivemos num ambiente de lassitude moral que se estende a todas as camadas da sociedade e que esse negócio de dizer que as elites são corruptas mas que o povo é honesto é conversa fiada. Nós somos um povo de comportamento desonesto de maneira geral, ou pelo menos um comportamento pouco recomendável.

Viés da Mídia: uma questão de causa e efeito

Consumers of the news, both from television and print, sometimes feel that they are getting not just the facts but also a sizable dose of ideological spin. Yet have you ever wondered about the root cause of the varying political slants of different media outlets?

That is precisely the question that a young economist, Mathew Gentzkow, has been asking. A professor at the Booth School of Business at the University of Chicago, Mr. Gentzkow was recently awarded the John Bates Clark Medal by the American Economic Association for the best economist under the age of 40. (Full disclosure: As one of the association’s vice presidents, I was among those who voted to give him this award.) His main contributions have been to our understanding of the economics of the media industry.

One of his research articles, of which he was a co-author with Jesse Shapiro, a University of Chicago colleague, studied the political slant of more than 400 daily newspapers nationwide. The first step in their analysis, which was published in 2010, was simply to measure the slant of each paper. But that itself was no easy task.

When you listen to Sean Hannity of Fox News and Rachel Maddow of MSNBC, for example, you probably have no trouble figuring out who leans right and who leans left. But social scientists like Mr. Gentzkow and Mr. Shapiro need more than subjective impressions. They require objective measurement, especially when studying hundreds of news outlets. Here the authors were devilishly clever.

CreditClockwise from left: Damon Winter/The New York Times, Shawn Thew/European Pressphoto Agency, Jae C. Hong/Associated Press, Logan Mock-Bunting for the New York Times

Mr. Gentzkow and Mr. Shapiro went to the Congressional Record and used a computer algorithm to find phrases that were particularly associated with the rhetoric of politicians of the two major political parties. They found that Democrats were more likely than Republicans to use phrases like “minimum wage,” “oil and gas companies” and “wildlife refuge.” Republicans more often referred to “tax relief,” “private property rights” and “economic growth.” While Democrats were more likely to mention Rosa Parks, Republicans were more likely to mention the Grand Ole Opry.

With specific phrases associated with political stands, the researchers then analyzed newspaper articles from 2005 to determine which papers leaned left and which leaned right. (They looked only at news articles and excluded opinion columns.) That is, they computed an objective, if imperfect, measure of political slant based on the choice of language.

To confirm the validity of their measure, Mr. Gentzkow and Mr. Shapiro showed that it was correlated with results from subjective surveys of readers. For example, both the computer algorithm and newspaper readers rated The San Francisco Chronicle as a distinctly liberal paper, and The Washington Times and The Daily Oklahoman as distinctly conservative ones. Both measures put The New York Times as moderately left of center and The Wall Street Journal as moderately right.

With a measure of political slant in hand, the researchers then analyzed its determinants. That is, they examined why some papers write in a way that is more consistent with liberal rhetoric while others are more conservative.

A natural hypothesis is that a media outlet’s perspective reflects the ideology of its owner. Indeed, much regulatory policy is premised on precisely this view. Policy makers sometimes take a jaundiced view of media consolidation on the grounds that high levels of cross-ownership reduce the range of political perspectives available to consumers.

From their study of newspapers, however, Mr. Gentzkow and Mr. Shapiro, find little evidence to support this hypothesis. After accounting for confounding factors like geographic proximity, they find that two newspapers with the same owner are no more likely to be ideologically similar than two random papers. Moreover, they find no correlation between the political slant of a paper and the owner’s ideology, as judged by political donations.

So, if not the owner’s politics, what determines whether a newspaper leans left or right? To answer this question, Mr. Gentzkow and Mr. Shapiro focus on regional papers, ignoring the few with national scope, like The Times. They find that potential customers are crucial.

If a paper serves a liberal community, it is likely to lean left, and if it serves a conservative community, it is likely to lean right. In addition, once its political slant is set, a paper is more likely to be read by households who share its perspective.

Religiosity also plays a role in the story, and it helps Mr. Gentzkow and Mr. Shapiro sort out cause and effect. They find that in regions where a high percentage of the population attends church regularly, there are more conservatives, and newspapers have a conservative slant. They argue that because newspapers probably don’t influence how religious a community is, the best explanation is that causation runs from the community’s politics to the newspaper’s slant, rather than the other way around.

The bottom line is simple: Media owners generally do not try to mold the population to their own brand of politics. Instead, like other business owners, they maximize profit by giving customers what they want.

These findings speak well of the marketplace. In the market for news, as in most other markets, Adam Smith’s invisible hand leads producers to cater to consumers. But the findings also raise a more troubling question about the media’s role as a democratic institution. How likely is it that we as citizens will change our minds, or reach compromise with those who have differing views, if all of us are getting our news from sources that reinforce the opinions we start with?

Greg Mankiw

Quando uma bolha é uma bolha?

Bubbles have become a major focus of discussion in today's financial markets. But very few people actually define what they mean when describing this financial phenomenon.  

In a recent Harvard Business Review blog post, Markus Brunnermeier, an economist at Princeton University and a member of the Institute for New Economic Thinking’s Advisory Board, had a go at it. Brunnermeier defines the leading characteristics of bubbles thusly:

"Bubbles are typically associated with dramatic asset price increases followed by a collapse. Bubbles arise if the price exceeds the asset’s fundamental value."

Well, that's part of it.  It certainly describes a characteristic of bubbles - namely that they represent a massive fundamental departure from the asset's underlying value.  

But does that give us everything?

Bubbles also are about trend following behavior that develops positive feedback effects. Larry Summers and colleagues wrote a famous paper in 1990 that set out in simple terms this kind of trend following feedback dynamic. Didier Sornette has recently done the same, though in a very, very complicated way.

Even though households have learned something from the two 50% bear markets in recent memory, in light of the recently rising stock market many now feel compelled to play the game. Money managers were taught the same lesson regarding potential loss from those two bear markets, and they also are now worried that the Fed will take the punchbowl away. But they, too, feel pressured by the past rising trend in stock prices to “play the game.”

It is this feedback effect from a steeply rising trend in past stock prices that is the hallmark of a bubble. In the United States, we are in an incipient bubble stage in which households and money managers are tentative, cynical, self-aware trend chasers. It is the unwavering corporate net purchase of equities regardless of valuations that hold these less resolute players in the game.

There is another important feature of bubbles - namely, that the acceleration of price as the object of the bubble (whether it be equities, bonds, real estate, Dutch tulips, or dotcom companies) goes way beyond the asset's underlying value as the bubble itself matures and intensifies.

This is something the French economist Maurice Allais has analyzed. Allais noted that when the rate of past price appreciation in a market is rising not only does the memory of the rate of appreciation rise in a lagged fashion, but the market's collective memory becomes shorter. Which means that in each successive time period a higher and higher weight in the effective memory is given to the most recent and higher rate of change instance. This mechanism makes the adaptively based expected return explosive.

I think that this idea also seems to be behaviorally familiar.  Now when you put all of these plausible mechanisms together you can make an adaptive model very explosive. That is what happened in the 1990s and is one reason why the bubble went parabolic even though the real interest rate was always above the historic average and money and credit did not grow faster than nominal GDP overall for the first eight years of the ten-year bubble. Now all this modeling focuses on the dynamics of euphoric return expectations.

But there is also a parallel dynamic based on adaptive behavior that focuses on the prospective risk of loss, which can be measured via downside volatility. That adds to the rate of ascent of expectations ofrisk adjusted returns, as opposed to just euphoric returns. 

There is a reductio ad absurdum that captures the reality of this behavioral effect. Suppose that stock prices begin to go up every day, initially perhaps by very little, but every day. Then people with adaptive behavior will come to think there is less and less risk of a price decline and therefore a loss. If the pattern of no downside action persists for a period equal to the effective memory of market participants they will eventually come to believe that stocks cannot go down. If people think they cannot lose they will not sell. In a market where some will buy but where no one will sell, prices must levitate forever.

Now, the most astounding fact about the great bubble decade of the 1990s was that there were 84 months in a row in which the market did not fall by more than ten percent. The previous high in this figure was 28 months. So naturally people began to think that not only were returns so high that you could become rich quick by participating in the stock market; but there was seemingly no risk in chasing such quick riches.

I only mention this because while I think the economics literature from Keynes onward is very good on the propensity of markets to greatly overshoot and undershoot the fundamentals, economics per se does not adequately explain what makes the dynamics of bubbles more than an overshoot. In other words, what makes them recursive, explosive, parabolic?  That is the difference between real bubbles and mere waves of pessimism and optimism that move markets all the time even when there is no rational basis.

To get a full measure of this one has to enter into the realm of psychology and neuroscience. That’s where the definition lies. Bubbles, like so much else, are too important to be left to the realm of economics alone.

Fonte: aqui

Behavioral Economics for Dummies

A série de livros “for dummies” é muito interessante para aqueles que desejam iniciar num determinado assunto ou para os que gostariam de uma abordagem mais palatável do tema. O texto é carregado de piadinhas, o que faz com que a leitura seja bastante agradável. E é acompanhada por desenhos humorísticos que permite que o tempo passe fácil com a obra.

Comprei o livro Behavioral Economics for Dummies, de Morris Altman, com esta expectativa. Tenho também muitas obras sobre o assunto, mas até hoje não consegui ler um livro que tenha uma estrutura dos temas mais relevantes didática. A obra de Altman divide o assunto em cinco partes, com vinte capítulos no total.

Entretanto a obra é uma grande decepção. O texto não é “leve”, como outros da série “for Dummies”, o assunto não é apresentado de forma agradável ao leitor, existem poucos cartoons para animar a obra e a estrutura realmente não é boa. Por exemplo, o tema “neuroeconomia”, um assunto recente na área, aparece no capítulo 3, bem no início do livro. A última parte do livro, uma lista de “top tens” deveria ser atrativa, mas não atrai.

Em resumo, se você deseja conhecer o assunto, tente outro livro. O de Kahneman pode ser uma boa alternativa. Ou quem sabe qualquer um do Dan Ariely. Mas evite este.

Parceiros do blog:
Amazon Brasil
Americanas
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Neurociência, teoria dos jogos e chimpanzés

Influência do idioma na propensão à poupança

Keith Chen, professor associado da escola de negócios de Yale, testa a hipótese que as diferenças entre os idiomas em relação a construção de estruturas gramaticais para o presente e futuro afetam a taxa de poupança dos falantes de cada língua. Abaixo o resumo da pesquisa que será publicada na American Economic Review:

Languages differ widely in the ways they encode time. I test the hypothesis that languages that grammatically associate the future and the present, foster future-oriented behavior. This prediction arises naturally when well-documented effects of language structure are merged with models of intertemporal choice. Empirically, I find that speakers of such languages: save more, retire with more wealth, smoke less, practice safer sex, and are less obese. This holds both across countries and within countries when comparing demographically similar native households. The evidence does not support the most obvious forms of common causation. I discuss implications for theories of intertemporal choice.

Estamos sempre à espera de conexões causais

Até recentemente, a nossa percepção de risco e a maneira como tomamos decisões eram consideradas mais da alçada da estatística. A psicologia cognitiva, porém, com sua ênfase em processos mentais, aproximou as noções de percepção e julgamento do campo da resolução de problemas, obtendo com isso resultados surpreendentes. No livro Judgment under uncertainty: heuristics and biases (1974), o israelense-americano Daniel Kahneman reviu, em parceria com Amos Tversky, diversas teorias sobre como tomamos decisões em momentos de incerteza. Eles concluíram que a difundida tese de que as pessoas se decidem com base em estatísticas e probabilidade não era verdadeira na prática. As pessoas fundamentam suas decisões em “regras gerais”, exemplos específicos ou pequenas amostras. Por consequência, os julgamentos podem ser muitas vezes equivocados, pois se baseiam em informações que ocorrem à mente com probabilidades reais.

Kahneman e Tversky perceberam que esse método de resolver problemas com base em experiência tinha um padrão t: tendemos a superestimar a probabilidade de coisas que tem pouca chance de acontecer (como um acidente de avião) e a subestimar a probabilidade do que tem muita chance de ocorrer (como bater o carro quando se dirige alcoolizado).

Esses achados fomentaram a teoria da perspectiva de Kahneman e Tversky, divulgada em 1979, e levaram à criação de um campo de estudo associado à psicologia: a economia comportamental.

Fonte: O Livro da Psicologia - as grandes ideias de todos os tempos.

Armadilhas comportamentais do Black Friday

Eis algumas armadilhas comportamentais do Black Friday (aliás, das compras):

But among the most potent reasons no sane person should participate in Black Friday is this: It is carefully designed to make you behave like an idiot.

The big problem with Black Friday, from a behavioral economist's perspective, is that every incentive a consumer could possibly have to participate — the promise of "doorbuster" deals on big-ticket items like TVs and computers, the opportunity to get all your holiday shopping done at once — is either largely illusory or outweighed by a disincentive on the other side. It's a nationwide experiment in consumer irrationality, dressed up as a cheerful holiday add-on.

As Dan Ariely explains in his book, Predictably Irrational, "We all make the same types of mistakes over and over, because of the basic wiring of our brains."

This applies to shopping on the other 364 days of the year, too. But on Black Friday, our rational decision-making faculties are at their weakest, just as stores are trying their hardest to maximize your mistakes. Here are just a few of the behavioral traps you might fall into this Friday:

This applies to shopping on the other 364 days of the year, too. But on Black Friday, our rational decision-making faculties are at their weakest, just as stores are trying their hardest to maximize your mistakes. Here are just a few of the behavioral traps you might fall into this Friday:

The doorbuster: The doorbuster is a big-ticket item (typically, a TV or other consumer electronics item) that retailers advertise at an extremely low cost. (At Best Buy this year, it's this $179.99 Toshiba TV.) We call these things "loss-leaders," but rarely are the items actually sold at a loss. More often, they're sold at or slightly above cost in order to get you in the store, where you'll buy more stuff that is priced at normal, high-margin levels. 

[...]Implied scarcity: This is when a store attempts to drum up interest in an item by claiming "limited quantity" or "maximum two per customer," which makes us think we're getting something valuable when we may not be. It's a staple of deceptive marketing, and at no time in the calendar year is it in wider use than on Black Friday. (There is also actual scarcity on Black Friday — when stores carry only a 50 or 100 of an advertised doorbuster item — which also introduces a risk that you'll be 51st or 101th in line and waste your time entirety. Both are bad.)

Confirmation bias: As Derek Thompson points out, many shoppers neglect to factor in the non-cash costs of their Black Friday trip — gas, parking, warranties, and rebates. (To say nothing of the vacation time lost to waiting in lines.) Shoppers want to believe they save money by going out on Black Friday, so they use only their per-item savings in calculating the benefits of their trip. But on a net basis, it's often not a very good deal.

Irrational escalation: This behavioral quirk is also known as the "sunk cost fallacy," and it means that people are bad at knowing when to give up on unprofitable endeavors. This happens a lot on Black Friday. If you've already made the initial, bad investment of getting up at 2 a.m., driving to the mall, finding parking, and waiting in line for a store to open, you'll be inclined to buy more than you initially came for. (Since, after all, you're already there, and what's another few hundred dollars?)

Pain anesthetization: One of my favorite pieces of shopping-related research is a 2007 paper called "Neural Predictors of Purchases" [PDF] which used fMRI scans of shoppers' brains to show how deeply irrational the purchasing process is. Researchers found that if a shopper saw a price that was lower than expected, his medial prefrontal cortex (the part of the brain responsible for decision-making) lit up, while higher-than-expected prices caused the insula (the pain-registering part) to go wild. That brain activity had a strong correlation to whether or not the shoppers ended up buying the products or not.

Economists typically think of consumer choice as dispassionate cost-benefit analysis by rational market actors — a bunch of people saying to themselves, "Will having this $179.99 TV now create more pleasure than having the $179.99 in my bank account to do other things in the future?" — but the 2007 study shows that shoppers don't actually behave that way at all. In fact, they're choosing between immediate pleasure and immediate pain.

[...]The problem, of course, is that those methods of short-term anesthetization often carry long-term consequences — like astronomically high interest rates and hidden fees.

Post-purchase rationalization: When we've bought something expensive, we tend to overlook its flaws or defects in order to justify our decision. On Black Friday, the investment is more than just financial — we've emotionally invested in the post-holiday ritual of standing in line with friends or family and enduring cold, dark misery for the shot at cheap electronics. 

[...]Of course, just by telling you to stay home on Black Friday, I may be triggering your reactance bias (the tendency to do the opposite of what someone tells you) and making you want to go bargain-hunting even more. In which case, good luck. You'll need it.

Novos negócios, desoneração tributária e aversão à perda

Artigo de Richard Thaler: Making Risk-Taking Riskier Will Hurt Startups

A recurring theme of this year’s presidential campaign is the need to encourage the formation of new businesses. Republicans in general, and Mitt Romney in particular, have stressed that the best way to stimulate such startups is via low tax rates on high-income earners.

Romney wants to cut top rates by 20 percent, maintain the favorable treatment given to capital gains and dividends, and completely eliminate the estate tax, which currently only kicks in on estates in excess of $5 million for an individual or $10 million for a (heterosexual) married couple.

In other words, this is a strategy that emphasizes maximizing the after-tax returns if and when you hit it big. Yet if you think about the way most new businesses are started, it should be clear that these tax incentives have very little to do with the decisions facing most new entrepreneurs.

The typical business startup (think Joe the Plumber) begins with an initial stake that has been saved or borrowed, and 97 percent of small-business owners make less than $250,000 a year. It is a good bet that when Bill Gates, Steve Jobs and Larry Page were creating their new businesses in their proverbial garages, they weren’t giving much thought to the tax rate they would have to pay if they struck it rich. Rather, they were hoping their startups would survive, something that less than half of new businesses succeed in doing.

Loss Aversion

Research in behavioral economics shows that when people consider risky propositions, they are especially concerned about the downside. Roughly speaking, people weigh losses about twice as heavily as gains, a phenomenon called “loss aversion.”

So if we really want to encourage risk takers and job creators, we should concentrate on what will happen to them in the all-too-likely event that their brilliant idea doesn’t pan out and the new venture flops.

One might think that Romney, an expert on new businesses, would be particularly insightful on this topic. But it turns out that the most sensible thoughts I have heard on this issue were not from him, another business executive, or an economist for that matter. They were from Jon Stewart on “TheDaily Show.” Here is a portion of what Stewart said (profanity deleted) in a recent interview with my University of Chicago colleague Austan Goolsbee:

“What we need to do in this country is make it a softer cushion for failure. Because what they say is the job creators need more tax cuts and they need a bigger payoff on the risk that they take. … But what about the risk of, you’re afraid to leave your job and be an entrepreneur because that’s where your health insurance is? … Why aren’t we able to sell this idea that you don’t have to amplify the payoff of risk to gain success in this country, you need to soften the damage of risk?”

This is exactly right. Someone who leaves a big company to start her own business is bearing not only the risk of losing all of her investment, but also her health insurance. One benefit of health-care reform is that people will still be able to get insurance while they are starting their new business, or after it fails, even if they have a pre-existing condition.

The essence of Stewart’s idea goes to the heart of why our economy is largely organized around limited-liability public corporations. When successful entrepreneurs decide to take their businesses public, they are selling some of the upside to other shareholders in return for making sure that they can’t lose all their wealth if something at the company goes wrong.

So-Called Reform

What about smaller startups that don’t begin their lives as corporations? One thing that would help stimulate this sort of business creation is making sure that a business bankruptcy is not ruinous to the entrepreneur’s family. But the Republican- sponsored bankruptcy “reform” law of 2005 changed the rules in the opposite direction. For someone who uses a credit card to help open a bakery or landscaping business, this law raised the cost of failure. Maybe this is what people mean by the phrase “job-killing” legislation.

A more generous safety net, not just the continued access to health insurance but also downside protections such as unemployment insurance, can stimulate job creation in another way. The owners of many successful small businesses treat their employees as if they were family members, and some actually are. Such owners may be more reluctant to hire new employees if these safety nets are not in place.

This brings us back to Jon Stewart’s point. Cutting taxes on high-income earners is unlikely to be the most cost-effective way of stimulating new business startups. If entrepreneurs who hit it big have to pay the same tax rate on their capital gains as on their ordinary income, they are unlikely to give up on their dreams. When people are contemplating starting a new enterprise, the last thing they are worried about is the tax rate their heirs might have to pay if they die as billionaires. But if they aren’t sure they can provide health insurance and a home to live in for their family should they fail, they may play it safe.

(Richard H. Thaler is a professor of behavioral science and economics at the University of Chicago Booth School of Business. He is the co-author, with Cass R. Sunstein, of “Nudge.” The opinions expressed are his own.)

Efeito Primazia

The Economist
First is best
Aug 24th 2012, 10:00 by M.S.L.J.


Is this the first article you read today? If so, there’s a good chance you’ll enjoy it. The order in which people experience things affects their opinion of them: they tend to like the first option best.

This is the result of a new study by Dana Carney of Berkeley’s Haas School of Business and Mahzarin Banaji of Harvard University. To test their hypothesis, the researchers conducted a series of experiments. In one volunteers were shown pictures of two violent criminals and then asked which one deserved parole. Most felt more merciful towards the first mugshot they were shown (different volunteers saw different villains first).

This bias affects commercial decisions, too. Asked which type of chewing gum they preferred, 68% of respondents at a railway station in Boston picked the first stick they were offered. In another experiment, volunteers more often wanted to buy a car from the first salesperson they met rather than the second.

In their paper, entitled “First is Best”, the authors contend that the first option in a series will be “consistently preferred” if the chooser is under time pressure or slightly distracted. Thanks to mobiles, meetings and toddlers that pretty much describes modern life for many people.

Clever companies have noticed, and compete to bump whatever they are selling to the front of the queue. That is why the first slot in an advertisement break on television costs more than the second; it’s roughly 10-15% pricier, according to Jonathan Allan, sales director at Channel 4, a British broadcaster. It is also why an ad that introduces a rival’s product first, even in order to disparage it, may well backfire. Advertising firms themselves like to go first when pitching for an account. “It sets the benchmark for everybody else,” says Bridget Angear of AMV BBDO, an advertising agency.

Being first matters even more online. People are lazy and few bother to scroll through dozens of pages of search results, says Kate Devine of mysinglefriend.com, a dating website. The site uses this observation to reward its most avid customers. When a belle enters search criteria for her beau, possible matches appear in an order determined by the last time these logged on to the site. This is good for traffic, but the keenest suitors may not prove the most suitable.

Badoo, another dating service, locates other users nearby so as to encourage spontaneous meetings. People can pay Badoo £8.49 ($13.46) per month for the privilege of appearing top in a list of users in the area, but rankings will drop as others pay too.

The most important place to be first is on Google’s rankings, which explains why it is under increasing pressure to make its search algorithm more open. The online giant recently started punishing websites that infringe copyright by listing them further down. This may not blast the pirates out of the water, but it will force them to work harder for their booty.

Efeito Primazia II

Haas Newsroom
July 2, 2012
The Advantages of Being First


UNIVERSITY OF CALIFORNIA, BERKELEY’S HAAS SCHOOL OF BUSINESS – How people make choices depends on many factors, but a new study finds people consistently prefer the options that come first: first in line, first college to offer acceptance, first salad on the menu – first is considered best.

The paper, “First is Best,” recently published in PLoS ONE by Dana R. Carney, assistant professor of management, University of California, Berkeley’s Haas School of Business, and co-author Mahzarin R. Banaji, professor of psychology, Harvard University.

In three experiments, when making quick choices, participants consistently preferred people (salespersons, teams, criminals on parole) or consumer goods presented first as opposed to similar offerings in second and sequential positions. The authors say their findings may have practical applications in a variety of settings including in consumer marketing.

“The order of individuals performing on talent shows like American Idol. The order of potential companies recommended by a stockbroker. The order of college acceptance letters received by an applicant. All of these firsts have privileged status,” says Carney. “Our research shows that managers, for example in management or marketing, may want to develop their business strategies knowing that first encounters are preferable to their clients or consumers.”

The study found that especially in circumstances under which decisions must be made quickly or without much deliberation, preferences are unconsciously and immediately guided to those options presented first. While there are sometimes rational reasons to prefer firsts, e.g. the first resume is designated on the top of the pile because that person wanted the job the most, Carney says the “first is best” effect suggests that firsts are preferred even when completely unwarranted and irrational.

The study’s first experiment asked 123 participants to evaluate three groups: (a) two teams, (b) two male salespersons, and (c) two female salespersons. First, participants were asked to join one of the two teams and were introduced to the Hadleys and the Rodsons. Immediately following the introduction, they decided which team to join. Next, participants were told they were buying a car and introduced to two male salespersons: Jim and Jon. Immediately following the introduction, they selected the salesperson from whom they preferred to buy a car. Finally, participants were told they needed to re-make their car-buying decision and that they would be introduced to two new salespersons; this time, female: Lisa and Lori. After sequential introduction they, again, decided which person they’d like to buy a car from.

When asking participants about their choices, the researchers asked about choice in two ways: conscious/deliberate choice, which was self-reported (i.e.., “I prefer Lisa to Lori”), or they completed a reaction-time task adapted from cognitive psychology in which participants’ automatic, unconscious preference for each option was assessed (i.e. “good,” “better,” “superior”). Regardless of whom people said they preferred, on the unconscious, cognitive measure of preference, participants always preferred the first team or person to whom they were introduced.

To test the choice preferences of consumer goods, the researchers asked 207 passengers at a train station to select one of two pieces of similar bubble gum in a “rapid decision task” or choosing within a second of seeing the choices (using psychologist Daniel Kahneman’s theory on ‘thinking, fast and slow’). Once again, the result was the same: when thinking fast, the bubble gum presented first was the preferable choice in most cases.

Researchers considered the salespeople and the gum relatively positive stimuli, without controversy. In order to test their theory with negatively charged options, Carney and Banaji asked another group of 31 participants to choose between pairs of convicted criminals and decide which one was more worthy of parole instead of prison. After viewing mug shots of two 29 year-old criminals known to have committed the same violent crimes with similar features and facial expressions, again, when “thinking fast,” participants judged the first criminal presented as more worthy of parole.

If order matters, why? Carney contends the proven “primacy has power” theory may provide the best answers. The paper cites, “a preference for firsts has its origins in an evolutionary adaptation favoring firsts …” For example, in most cases, humans tend to innately prefer the first people they meet: a mother, family members. In addition, those preferences are associated with what’s safe. Carney says the historic concept of the established “pecking order” also supports their findings that people find “first is best.”

Efeito Primazia III

Why First is Best
Roger Dooley
Forbes
22/08/2012


If you sell products or services, you probably have a product that you’d like to sell more of. Maybe it’s the one the produces the highest level of customer satisfaction or the fewest returns. Maybe it’s more profitable than other items in the line. Maybe it represents a great value for your customers but they overlook it. Here’s one key to selling more of that item: be sure your customer sees it FIRST!

New research from Berkeley and Harvard scientists underscores what we know from past research: humans have an inherent preference for the first choice they see. This phenomenon is called the primacy effect.

It’s fascinating that this effect occurs across many different domains. The first experiment in the latest batch had subjects evaluate photos of “salespeople” – pairs of males, females, and teams. When the subjects were asked about their preferences in a questionnaire, they showed no difference in their evaluation of each pair. But, using an implicit association test, a technique to measure subconscious preferences, there was a significant difference in favor of the first-viewed person or team. (For more on implicit association, see The Secret Voter in Your Brain.)

The second experiment showed subjects two similar brands of bubble gum. When given a chance to think about their choice, the subjects chose each brand about half the time. But, when instructed to choose quickly, 62% chose the first-viewed item and only 38% chose the second.

Both experiments indicate a bias toward the first item seen. This bias doesn’t overwhelm all other considerations, and the more a person thinks about a choice the less significant it will be. Still, to use my pet terminology, it’s a NeuroNudge that could help a customer finalize a choice.

As I described in Order Effect Affects Orders, primacy has been shown to be important in comparing similar products. Austrian researchers studied “recommender systems,” i.e., systems that help consumers choose the best product for their needs. Subjects were shown images and descriptions of tents that had various differences in configuration, closures, waterproofing, etc. The tents were displayed in random order. What they found was startling: the subjects did indeed prefer one tent over the rest, by a factor of 2.5 times. The surprise was that this preference wasn’t for one particular tent design; rather, the subjects greatly preferred whichever tent they saw first.

Brainy Takeaway

The lesson from all of this research is that leading with your most attractive product will help nudge customers toward purchasing that product. You can accomplish that with showing the products sequentially, by placing the desired product first on a multi-product display, or by drawing visual attention to that product so that it is viewed first.

Note that this is a nudge, not a big shove. The more the customer deliberates, the weaker the effect will be. And, sometimes, other strategies may work better – showing a customer an expensive product first to produce a price anchor, then a product that is similar but less expensive that will seem more of a bargain and be the likely choice. There’s also the recency effect, which can cause a preference for the last item seen if there’s a delay between viewing the items and the choice is made immediately after seeing the last one.

Still, purchase decisions often come down to small differences and subconscious leanings – in most cases, you should lead with your best option.

Entrevista com Eugene Fama

Eugene Fama é um economista norte-americano considerado o "pai das finanças modernas" e reconhecido por suas contribuições teóricas e empíricas para a Hipótese dos Mercados Eficientes (HME). Separadamente , Paul Samuelson e Fama propuseram os fundamentos da teoria que, posteriormente, ficou conhecida como HME. Em 1965, Samuelson afirmou que não existem estratégias capazes de gerar ganhos anormais no mercado, enquanto Fama propôs que os preços incorporam toda a informação relevante. Ou seja, as ideias se complementam, pois se os preços refletem toda a informação disponível, os agentes econõmicos não conseguirão obter ganhos anormais.

Destarte surgiu o paradoxo dos Mercados Eficientes , expressão cunhada por Peter Bernstein, que afirma que se todos os agentes considerassem que o mercado é eficiente, não existiria sentido buscar ganhos anormais, ou seja, não seria possível "bater o mercado". Ora, se isso fosse verossímel, eles iriam se posicionar de forma passiva diante do mercado.E, por consequência, o mesmo deixaria de ser eficiente e, por exemplo, não existiria sentindo em estudar análise de balanço. Em suma, a HME necessita de indíviduos céticos e desconfiados quanto à suas proposições ,e talvez por isso, torne-a interessante e instigante, ao menos para os acadêmicos, que se "divertem" realizando uma série de testes. É uma proposição assaz venerável que, em breve, talvez, proporcione o Nobel de Economia para E. Fama.

Em 1991, Fama afirmou que a HME considera que os preços do mercado refletem toda a informação disponível, até o ponto em que, os custos marginais de aquisição da informação não superem os benefícios marginais.

Toda teoria é uma supersimplificação da realidade ,e como tal, não é perfeita, mas não deve ser descartada. Aliás,a hipótese por si só não é testável,pois deve ser empiricamente testada em conjunto com algum modelo de precificação de ativo ou modelo de equilíbrio. Entretanto, o inverso também é verdadeiro. Ou seja, grande parte dos modelos de risco-retorno não pode ser testado sem considerar a eficiência do mercado. Tudo o que foi dito neste parágrafo é conhecido como joint hypothesis problem.

Apesar de ser falha, controversa e com inúmeras limitações, a HME ainda é útil para o entendimento do mercado de capitas, o retorno dos ativos financeiros e a dinâmica dos preços. Vários estudos em economia e finanças tratam dessa hipótese, então para maiores detalhes técnicos e material bibliográfico consulte o seguinte site: Efficient Markets Hypothesis.

Na entrevista, Fama comenta sobre a Hipótese dos Mercados Eficientes, a evolução das finanças, as possíveis causas da crise financeira de 2008 , o artigo My Life in Finance e alguns temas sobre macroeconomia. Destaquei alguns pontos, mas recomendo a leitura e/ou audição da entrevista na íntegra.

Inicialmente, Fama explica o que é um mercado de capitais eficiente e de forma clara e objetiva trata das três formas de testes que utilizou para testar a HME: fraca, semi-forte e forte.É interessante observar que ele se "arrependeu" de ter utilizado essa nomenclatura (taxonomia), pois estava apenas tentando categorizar os testes que realizava nos anos 70. Não obstante, essa taxonomia tornou-se clássica e ainda é citada em muitas pesquisas.

Russ: And so when we say markets are efficient, what do you mean by that?

Guest: What you mean is that prices at any point in time reflect all available information.

Russ: Now that idea--what's the distinction between the weak form and the strong form that people talk about?

Guest: Two words that I used in 1970 that I came to regret. Because I was trying to categorize various tests that were done. So, I called weak form tests, tests that only used past prices and returns to predict future prices and returns. And I called semi-strong form tests, tests that used other kinds of public information to predict returns, like an earnings announcement or something like that. And then I called strong form tests, tests that look at all available information;

Russ: And empirically, where do we stand today, do you believe and what has been established about those various hypotheses?

Guest: Well, believe it or not, the weak form one has been the one that has been subject to the most, what people call anomalies, in finance. Things that are inconsistent with either market efficiency or some model of risk and return. The big one at the moment is what people call momentum--prices seem to move in the same direction for short periods of time. So, the winners of last year tend to be winners for a few more months, and the losers tend to be losers for a few more months.

In the strong form tests, Ken French and I just published a paper called "Luck Versus Skill in Mutual Fund Performance," and basically looked at performance of the whole mutual fund industry--in the aggregate, together, and fund by fund, and try to distinguish to what extent returns are due to luck versus skill.

And the evidence basically says the tests it's skill in the extreme. But you've got skill in both extremes. That's something people have trouble accepting. But it comes down to a simple proposition, which is that active management in trying to pick stocks has to be a zero sum game, because the winners have to win at the expense of losers. And that's kind of a difficult concept. But it shows up when you look at the cross section of mutual fund returns, in other words the returns for all funds over very long periods of time. What you find is, if you give them back all their costs, there are people in the left tail that look too extreme and there are people in the right tail that look too extreme, and the right tail and left tail basically offset each other. If you look at the industry as a whole; the industry basically holds a market portfolio. That's all before costs. If you look at returns to investors then there is no evidence that anybody surely has information sufficient to cover their costs.

Em seguida, comenta sobre a posição dos investidores acerca da eficiência do mercado. É de fato o trecho mais interessante.

Russ: A friend of mine who is a hedge fund manager--before I made this call I asked him what he would ask you, and he said, well, his assessment is that efficient markets explain some tiny proportion of volatility of stock prices but there's still plenty of opportunity for a person to make money before markets adjust. And of course in doing so, make that adjustment actually happen and bring markets to equilibrium. Somebody has to provide the information or act on the information that is at least public and maybe only semi-public. What's your reaction to that comment?

Guest: That's the standard comment from an active manager. It's not true. Merton Miller always liked to emphasize that you could have full adjustment to information without trading. If all the information were available at very low cost, prices could adjust without any trading taking place. Just bid-ask prices. So, it's not true that somebody has to do it. But the issue is--this goes back to a famous paper by Grossman and Stiglitz--the issue really is what is the cost of the information? And I have a very simple model in mind. In my mind, information is available, available at very low cost, then the cost function gets very steep. Basically goes off to infinity very quickly.

Russ: And therefore?

Guest: And therefore prices are very efficient because the information that's available is costless.

Russ: But what's the implication of that steep incline? That information is not very--

Guest: It doesn't pay to try to take advantage of additional information.

Russ: It's not very valuable.

Guest: No, it's very valuable. If you were able to perfectly predict the future, of course that would be very valuable. But you can't. It becomes infinitely costly to do that.

Russ: So, your assessment, that you just gave me of the state of our knowledge of this area, I would say remains what it's been for some time--that at the individual certainly there is no return to--prices reflect all publicly available information for practical purposes for an individual investor.

Guest: For an individual investor? Even for an institutional investor.

Russ: Correct. So, what proportion of the economics and finance areas do you think agree with that?

Guest: Finance has developed quite a lot in the last 50 years that I've been in it. I would say the people who do asset pricing--portfolio theory, risk and return--those people think markets are pretty efficient. If you go to people in other areas who are not so familiar with the evidence in asset pricing, well, then there is more skepticism. I attribute that to the fact that finance, like other areas of economics, have become more specialized. And people just can't know all the stuff that's available.

Russ: Sure.

Guest: There's an incredible demand for market inefficiency. The whole investment management business is based on the idea that the market is not efficient. I say to my students when they take my course: If you really believe what I say and go out and recruit and tell people you think markets are efficient, you'll never get a job.

Russ: Yes, it's true. And so there's a certain bias, you are saying, to how people assess the evidence.

Guest: There's a bias. The bias is based, among professional money managers, the bias comes from the fact that they make more money from portraying themselves as active managers.

Posteriormente, faz uma excelente crítica sobre as causas da crise financeira de 2008 e o fetiche contemporâneo por bolhas de ativos:

I was going to ask you about the current crisis.

Guest: I have some unusual views on that, too.

Russ: I'd say that the mainstream view--and I recently saw a survey that said--it was an esteemed panel of economists; you weren't on it but it was still esteemed, both in finance and out of finance. And they asked them whether prices reflected information and there was near unanimity. Some strongly agreed; some just agreed. But there was also near unanimity that the housing market had been a bubble.

Guest: The nasty b-word.

Russ: Yes; and was showing some form of what we might call irrationality.

Guest: Okay, so they had strong feelings about that, getting mad about the word bubble.

Russ: Why?

Guest: Because I think people see bubbles with 20-20 hindsight. The term has lost its meaning. It used to mean something that had a more or less predictable ending. Now people use it to mean a big swing in prices, that after the fact is wrong. But all prices changes after the fact are wrong. Because new information comes out that makes what people thought two minutes ago wrong two minutes later. Housing bubble--if you think there was a housing bubble, there might have been; if you had predicted it, that would be fine; but the reality is, all markets did the same thing at the same time. So you have to really face that fact that if you think it was a housing bubble, it was a stock price bubble, it was a corporate bond bubble, it was a commodities bubble. Are economists really willing to live with a world where there are bubbles in everything at the same time?

Russ: And your explanation then of that phenomenon?

Guest: My explanation is you had a big recession. I think you can explain almost everything just by saying you had a big recession. A really big recession.

...Guest: Okay, but it wasn't just housing. That was my point when we started. The same thing was going on in all asset markets.

Russ: Well, the timing isn't quite identical for all asset markets, right? The stock market--the housing market starts to collapse I think around early-mid-2006. Guest: It stops rising, right.

Russ: And then begins a steady decline.

Guest: That decline was nothing compared to the stock market decline.

Russ: But when did that happen? Guest: I don't know the exact timing. Russ: It's not around then. It's later.

Guest: The onset of the recession started with the collapse of the stock market. The recession and the collapse of the stock market, the corporate bond market, all of that basically coincides. But that also coincides with the collapse of the securitized bond market.

Russ: Mortgage-backed securities.

Guest: The subprime mortgages and all of that. Russ: Well, yes; that happens through 2007, 2008. I guess there is some parallel. So, you are going to reverse the causation.

Guest: I'm not saying I know. What I'm saying is I can tell the whole story just based on the recession. And I don't think you can come up with evidence that contradicts that. But I'm not saying I know I'm right. I don't know. I'm just saying people read the evidence through a narrow lens.

Russ: Yes, they do. Confirmation bias.

Guest: And the rhetoric acquires a life of its own; so there are books written that basically all say the same thing about the crisis.

Russ: And you are arguing that they have essentially cherry-picked the data.

Guest: Well, they just look at pieces of the data and the fact that the housing market collapsed is taken to be the cause; but the housing market could collapse for other reasons. People don't just decide that prices aren't high any more. They have to look at supply and demand somewhere in the background.

Russ: We did have people holding second and third homes who didn't have the income and capability of repaying the first one.

Guest: Sure. Standards were relaxed. But then you have to look on the supply side, the lending side. The people who were lending to these people had the information.

Em determinado momento , o economista é questionado sobre as finanças comportamentais. É oportuno lembrar que esta faz parte das finanças "tradicionais" , pois fornece subsídios para sua melhor compreensão. Em outras palavras, é uma teoria complementar e não substituta do que já existia antes. Veja a crítica de Fama:

Russ: But let's go back to finance. There's been a big trend in recent years towards what's called behavioral finance. What's your assessment of that?

Guest: I think the behavioral people are very good at describing microeconomic behavior--the behavior of individuals--that doesn't seem quite rational. I think they are very good at that. The jump from there to markets is much more shaky.

Russ: Explain.

Guest: There are two types of behavioral economists. There are guys like my friend and colleague Richard Thaler, who are solidly based in psychology, reasoned economics but he's become a psychologist, basically, and he is coming from the research in psychology. Now there are other finance people who are basically what I call anomaly chasers. What they are doing is scouring the data for things that look like market inefficiency, and they classify that as behavioral finance.

Russ: They don't tell you about the times they can't find the anomaly.

Guest: Exactly. In all economics research, there is a multiple comparisons problem that never gets stated.

Russ: A multiple what?

Guest: The fact that the data have been used by so many other people and the people using it now use it in so many different ways that they don't report, that you have no real statistical basis to evaluate and come to a conclusion.

Guest: Right. I've had people say to me that the people who do this anomaly stuff, when they come and give a paper and I'll say, when you do this, that, or the other thing, and they'll say Yes. And I'll say, why don't you report it? And they'll say it wasn't interesting.

Em seguida, Fama diz o que pessoas inteligentes deveriam conhecer sobre finanças e comenta sobre a importância do paper e da equação de Black- Scholes para as ciências econômicas. Num recente artigo publicado no jornal The Guardian, Ian Stewart discute a equação e suas possíveis consequências nefastas para a economia mundial. É uma análise interessante e muito questionável, que está presente em seu novo livro:17 Equations That Changed the World .

Guest: I'm obviously going to be biased. I think all of our stuff on efficient markets would qualify. I think there is a lot of stuff in the corporate area, corporate governance and all of that, a huge field--that has penetrated to the practical level. The Black-Scholes option pricing paper in view is the most important economics paper of the century.

Russ: Why?

Guest: Because every academic, every economist whether he went into finance or not, read that paper. And it created an industry. In the applied financial domain. What else can claim that? So, I think we've learned a lot about risk and return. Some of it is intuitive. But there is a lot of stuff on which stocks are more or less risky. A lot of stuff on international markets.

Por fim, fala sobre suas perspectivas futuras para as pesquisas em finanças , dá um recado aos cientistas, fala um pouso sobre sua tese de doutorado e comenta sobre o artigo, autobiografia e bibliografia: My Life in Finance.

Guest: Oh, absolutely. What I say to my students is: I'm showing you the stuff that people have done in the last 30 years, but in 20 years, it may all be irrelevant; so the best I can do is to train you about how to think about these things, so you can absorb stuff that comes along in the future that may overturn what's there now. That's what makes this profession fun, I think--the fact that stuff can get overturned.

Russ: Of course, if we only have the illusion of understanding, or what Hayek called the pretense of knowledge, we could be doing some dangerous and stupid things under the guise of thinking we are making progress. So, you do have to be careful. Where do you think in the near future finance is going?

Guest: Oh, gee, I don't know. That's part of the fun of it. You just don't know. I wouldn't have been able to predict 30 years ago the stuff that evolved during those intervening 30 years. No way.

Russ: It's kind of a random walk.

Guest: I don't think it pays to think about it very much. There's so much serendipity in what happens in research. My best stuff has always been--I didn't start thinking about writing a great paper. I started thinking about a little problem; it just kept working in circles into a bigger problem. Or had offshoots that were related. I've beaten many topics to death, with the consequence I've got a lot of recognition; what started as a little thing developed into something much bigger. That's not a predictable process. Lots of little things end up as nothing.

Russ: And?

Guest: A student comes to me, a Ph.D. student, and says: I want to write a great paper. You can't start out to do that. You have to pick a problem and hope it works out into something that will get you a job, and hopefully a good one. But if you start saying: I want to come up with a great topic, you won't come up with anything.

Russ: You recently wrote a very nice essay, "My Life in Finance," that gives an overview of some of your contributions and some of your thinking along the way and all those little problems. You started out by talking about your thesis topic, where you had five ideas and Merton Miller said four of them weren't very good. Did you ever go back to any of those four?

Guest: No, actually. Merton was incredible. He had a great eye for stuff that would work and wouldn't work. I went to Belgium for two years to teach, and I came back and showed him the stuff I'd been working on, and I think he discarded like 8 out of 10 things. He was right on all of them.

Russ: Such is life.

Guest: It taught me that nobody can work in a vacuum. You really need colleagues around you to enrich your work. You get credit for it in the end, but there are a lot of inputs from other people that go into it in the meantime.