5º congresso value investing brasil · predictably irrational, revised and expanded edition: the...
TRANSCRIPT
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www.cvib.com.br
5º Congresso Value Investing Brasil13 de junho de 2012
Finanças Comportamentais e o investimento em valor
Marcelo Sá Earp | First Value Capital
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Finanças Comportamentais e o Investimento em Valor
Congresso Value Investing Brasil 2012
Marcelo Sá Earp Marcelo Gerbassi
Philipe Biolchini, CFA
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Introdução: Finanças Comportamentais e o Investimento em Valor
Finanças Comportamentais
Investimento em Valor
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História das Finanças Comportamentais e a Hipótese de Eficiência de Mercado
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Psychology of the Stock Markets – G.C. Selden - 1912
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Security Analysis – Benjamin Graham and David Dodd - 1934
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Introdução: Finanças Comportamentais e o Investimento em Valor
“The investor’s chief problem – and even worst enemy – is likely to be himself.” Benjamin Graham
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Finanças Comportamentais: História
Daniel Kahneman Nobel 2002
Amos Tversky
1970
1980
1990
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Ilusão de ótica
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Teoria Prospectiva
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Finanças Comportamentais: História
Daniel Kahneman Nobel 2002
Amos Tversky
Robert Shiller Richard Thaler
Eugene Fama
Devido a limitações de arbitragem e aos efeitos psicológicos nos processos de tomada de decisão em sistemas complexos, alguns mercados não são eficientes e faz sentido fazer gestão ativa.
1970
1980
1990
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Os Mercados são Eficientes?
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02
“I should have computed the historic covariances of the asset classes
and drawn an efficient frontier. Instead, ... I split my contributions
fifty-fifty between bonds and equities” (Zweig, 1998)
Nobel laureate Harry Markowitz
When asked about how he allocated his retirement investments in his TIAA-CREF account, Nobel laureate Harry
Markowitz, one of the founders of modern portfolio theory
CAPM? MPT?
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Investimento em Valor, uma das “anomalias” de mercado?
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Lakonishok, Shleifer e Vishny
1990
2000
2010
Finanças Comportamentais: História
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Investimento em Valor funciona
0,00%
2,00%
4,00%
6,00%
8,00%
10,00%
12,00%
14,00%
16,00%
18,00%
20,00%
1
17,80%
15,20%
12,40%
15,10%
Tota
l Ret
urn
(1
Yea
r)
Lakonishok, Shleifer and Vishny, "Contrarian Investment, Extrapolation and Risk", Journal of Finance 1994
Lakonishok, Shleifer, and Vishny 19941968 - 1990 - Price/Earnings
Low P/E Middle P/E High P/E Market
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12/08/2011
0,00%
5,00%
10,00%
15,00%
20,00%
25,00%
1
20,50%
16,10%
10,20%
15,90%
Tota
l Ret
urn
(1Ye
ar)
E.Fama and K.French, "The Cross-Section of Expected Stock Returns" Journal of Finance 1992
Fama & French 19921963 - 1990 - Price/Book Value
Low P/B Middle P/B High P/B Market
Investimento em Valor funciona
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12/08/2011
Investimento em Valor funciona
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Se o Investimetno em Valor gera resultados excelentes, e não é uma anomalia, por que
poucos praticam de forma eficiente?
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Por causa dos mesmos vieses que causam ineficiências no mercado.
Valor Intrínseco Margem de Segurança
Diversificação Horizonte de Investimento
Preço x Valor
Vieses: Padrões de comportamento previsíveis, causados pelo uso de regras de bolso, ou heurísticas, no processo de decisão em sistemas complexos.
Vieses de Comportamento
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Lakonishok, Shleifer e Vishny
1990
2000
2010
James Montier
Finanças Comportamentais: História
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Heurísticas e Vieses de Comportamento : James Montier
James Montier
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Heurísticas e Vieses de Comportamento : James Montier
“Even the intelligent investor is likely to need considerable willpower to keep from following the crowd.” Benjamin Graham
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Precificação das ações em Bolsa funciona como um sistema de páreo:
1,5 : 1 3:1 4:1 6:1
Empresas “perfeitas”, o preço está correto?
Empresas “pangarés”, Value traps?
10:1 100:1
Empresas fora de moda, o preço está correto? Sub-avaliadas?
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Surpresas negativas
-12,00%
-10,00%
-8,00%
-6,00%
-4,00%
-2,00%
0,00%
2,00%
Surprise Quarter Full Year
-0,70% -0,10%
-2,80%
-5,00%-4,30%
-8,90%
Mar
ket
Ad
just
ed R
etu
rns
(%)
0% = Market Return (3,6% Quartely, 15,6% annually) 1976 - 1996 - David Dreman , Contrarian Investment Strategies, 1998
Price/Earnings Negative Surprises
Low P/E Quintile Middle Quinties High P/E Quintile
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0,00%
1,00%
2,00%
3,00%
4,00%
5,00%
6,00%
7,00%
8,00%
9,00%
10,00%
Surprise Quarter Full Year
3,60%
8,10%
2,30%
3,10%
1,70%1,20%
Mar
ket A
dju
sted
Ret
urn
s (%
)
0% = Market Return (3,6% Quartely, 15,6% annually) 1976 - 1996 -David Dreman , Contrarian Investment Strategies, 1998
Price/Earnings Positive Surprises
Low P/E Quintile Middle Quinties High P/E Quintile
Surpresas positivas
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James Montier
Heurísticas e Vieses de Comportamento : James Montier
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Aversão e propensão à risco
Você recebe R$1,000 para entrar num jogo Deve escolher entre duas opções de aposta: A) +R$1,000, 50% de chance B) +R$500, 100% de chance
Você recebe R$2,000 para entrar num jogo Deve escolher entre duas opções de aposta: C) -R$1,000, 50% de chance D) -R$500, 100% de chance
84% escolhem B = Aversão a risco no ganho. Preferem o ganho certo, menor, do que apostar
70% escolhem C = Propensão a risco na perda. Preferem apostar do que a perda certa
Mesmo que a riqueza final esperada seja igual, as pessoas tendem a focar mais no caminho do que no resultado, e sofrem 2x mais na perda
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Frequência de observação e horizonte de investimento
Considerando retorno de 10%a.a., desvio padrão de 20.5%, distribuição normal de retornosUtil idade = probabilidade de alta de preços - probabilidade de queda X 2
Horizonte de tempo RetornoDesvio Padrão
Probabilidade de retorno
positivoUtil idade
1 hora 0,01% 0,48% 50,40% (0,488) 1 dia 0,04% 1,27% 51,20% (0,464) 1 semana 0,18% 2,84% 53,19% (0,404) 1 mês 0,80% 5,92% 56,36% (0,309) 1 ano 10% 20,50% 72,60% 0,177 10 anos 159,40% 64,80% 99,90% 0,997 100 anos 1377961% 205% 100% 1,000 Fonte: M auboussin, M ore than you know
Frequência de observação e horizonte de investimento
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James Montier
Heurísticas e Vieses de Comportamento : James Montier
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Excesso de Auto-Confiança: Gestores de Fundos
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Excesso de Auto-Confiança e Otimismo: Economistas
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Duke University/CFO Golbal Business Outlook Survey - www.cfosurvey.org Março de 2012
Excesso de Auto-Confiança e Otimismo: CFOs
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Processo de Investimento bem definido minimiza impacto dos vieses
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Finanças comportamentais independente do process
Value Value
Filosofia igual. Processo diferente.
Portfolio
Proteção de Capital
Valor Intrínseco
Margem de
Segurança
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Valor Intrínseco Margem de Segurança
Diversificação
Horizonte de Investimento
Preço x Valor
Vieses de Comportamento
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Lições que nós aprendemos
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Aversão e propensão à risco
1ª Lição – Alguns mercados não são eficientes por questões ligadas ao comportamento dos agentes e às limitações de arbitragem 2ª Lição – Investimento em Valor funciona, se feito de forma disciplinada e com processo, por causa das mesmas limitações e vícios de comportamento que tornam os mercados ineficientes 3ª Lição – O aprendizado sobre Finanças Comportamentais pode nos ajudar tanto no processo de busca de oportunidades de investimento como no processo de gestão do portfolio. 4ª Lição – Todos nós temos vieses. Independente da filosofia de investimento, da maneira de investir, cada um de nós pode tentar entender quais vieses mais nos afetam, quais melhor compreendemos e tentar explorá-los de forma consciente.
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Obrigado!
“Have the courage of your convictions once you have made a decision.” Walter Schloss
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Bibliografia e referências
Behavioural Investing: A Practitioners Guide to Applying Behavioural Finance (The Wiley Finance Series), James Montier Value Investing: Tools and Techniques for Intelligent Investment , James Montier Value Investing: From Graham to Buffett and Beyond (Wiley Finance) , Bruce C. N. Greenwald, Judd Kahn, Paul D. Sonkin, Michael van Biema The Rediscovered Benjamin Graham: Selected Writings of the Wall Street Legend, Janet Lowe Pioneering Portfolio Management: An Unconventional Approach to Institutional Investment, Fully Revised and Updated, David F. Swensen Thinking, Fast and Slow by Daniel Kahneman Nudge: Improving Decisions About Health, Wealth, and Happiness , Richard H. Thaler, Cass R. Sunstein Predictably Irrational, Revised and Expanded Edition: The Hidden Forces That Shape Our Decisions, Dan Ariely John Neff on Investing, John Neff Winning the Loser's Game, Fifth Edition: Timeless Strategies for Successful Investing, Charles Ellis The Little Book That Still Beats the Market , Joel Greenblatt The Little Book of Common Sense Investing: The Only Way to Guarantee Your Fair Share of Stock Market Returns, John C. Bogle Contrarian Investment Strategies: The Psychological Edge , David Dreman Your Money & Your Brain, Jason Zweig What Works on Wall Street, Fourth Edition: The Classic Guide to the Best-Performing Investment Strategies of All Time , James O’Shaughnessy Fooled by Randomness, Nassim Nicholas Taleb Common Stocks and Uncommon Profits, Philip A. Fisher Irrational Exuberance, Robert J. Shiller The Power of Habit: Why We Do What We Do in Life and Business , Charles Duhigg
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Bibliografia e referências
Kahneman, D., & Tversky, A. (1972). Subjective probability: A judgment of representativeness. Cognitive Psychology, 3 , 430-454. Tversky, A., & Kahneman, D. (1973). Availability: A heuristic for judging frequency and probability. Cognitive Psychology, 5 , 207-232. Kahneman, D., & Tversky, A. (1973). On the psychology of prediction. Psychological Review, 80 , 237-25l. Tversky, A., & Kahneman, D. (1974). Judgment under uncertainty: Heuristics and biases. Science, 185 , 1124-1131. Kahneman, D., & Tversky, A. (1979). Prospect theory: An analysis of decision under risk. Econometrica, 47 , 263-291. Tversky, A., & Kahneman, D. (1981). The framing of decisions and the psychology of choice. Science, 211, 453-458. Lakonishok, Josef, Shleifer, Andrei and Vishny, Robert W., Contrarian Investment, Extrapolation, and Risk (May 1993). NBER Working Paper Series, Vol. w4360, pp. -, 1993. Available at SSRN: http://ssrn.com/abstract=227016 Kahneman, Daniel, Jack Knetsch and Richard H. Thaler. "The Endowment Effect, Loss Aversion, and Status Quo Bias." Journal of Economic Perspectives 5(1), (1991):193-206. Thaler, Richard H., "Judgment and Decision Making Under Uncertainty: What Economists Can Learn from Psychology." Risk Analysis in Agriculture: Research and Educational Developments. Presented at a seminar sponsored by the Western Regional Research Project W-149, Tucson, Arizona, June 1980. De Bondt, Werner F.M. and Richard H. Thaler, "Does the Stock Market Overreact?" Journal of Finance, 40 (1985): 793-805. Bernartzi, Shlomo and Richard H. Thaler, "Myopic Loss Aversion and the Equity Premium Puzzle." Quarterly Journal of Economics CX, (1995): 73-92. Thaler, Richard H., "From Homo Economicus to Homo Sapiens." Journal of Economics Perspectives 14, (2000):133-141. Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?", American Economic Review (June 1981), 71(3): 421–436. Reprinted in Paul Whitely, ed., Economic Policy, Cheltenham, UK: Edward Elgar Publishing Ltd., 1996, and in The History of Management Thought, Aldershot Hants, UK: Dartmouth Publishing Company, 1997. "Market Volatility and Investor Behavior," American Economic Review, Papers and Proceedings (1990), 80(2): 58–62. "Valuation Ratios and the Long-Run Stock Market Outlook" (with John Y. Campbell), Journal of Portfolio Management (Winter 1998), 24(2):11–26. "From Efficient Markets Theory to Behavioral Finance," Journal of Economic Perspectives (2003), 17(1) [CFP 1055] Shleifer, A., and R. Vishny (1997), “The limits of arbitrage”, Journal of Finance 52:35−55. Grinblatt, M., and T. Moskowitz (1999), “The cross-section of expected returns and its relation to past returns”, Working Paper (University of Chicago). Hong, H., T. Lim and J. Stein (2000), “Bad news travels slowly: size, analyst coverage, and the profitability of momentum strategies”, Journal of Finance 55:265−295.
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Bibliografia e referências
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