The Local Multiplier: Theory and Evidence. I show that 1) the policy-relevant "global multiplier" can be written as the sum of a spending component and a taxation component, all scaled up by spillover effects, 2) the "local multiplier" is exactly the spending com- ponent, and 3) if trade is anonymous, the local effects of a shock to federal government purchases in a county will be identical to the effects of a shock to consumer demand for the exports of that locality. I estimate a bound for the local multiplier and consider spillover effects to contiguous counties. I find that a shock of $48,000 creates at least one job-year locally. Analysis at a monthly frequency suggests that these jobs are more persistent than previously estimated. Evidence of higher multipliers in recessions is mixed. / Economics

Syfte: Syftet med denna uppsats är att hitta samband mellan de demografiska faktorerna och en förändring i det privata pensionssparandet år 2015. Teoretisk och empirisk metod: Forskningsstrategin för denna studie har varit av kvantitaiv form, med en hypotetisk deduktiv ansats. En enkätundersökning låg till grund för insamling av empirin i denna forskning. Målgruppen för respondenterna var mellan 20-65 år, då det anses till största del vara dessa som pensionssparar. Enkäten bestod till största del utav frågor med alternativ som respondenterna fick fylla i. Resultat och Slutsats: Resultatet av denna forskning visar hur vissa av demografiska faktorer påverkar personers privata pensionssparande och även hur de agerat efter förändringen av avdragsrätt. De demografiska faktorer som kan påvisas påverka är en persons ålder och inkomst. Det fanns ett positivt samband mellan stigande ålder och summa pensionssparande och stigande inkomst och summa pensionssparande. Åldern och inkomsten sågs även påverka hur individer valde att ändra pensionssparandet efter ändringen i avdragsrätt. / Purpose: The purpose of this paper is to find connections between demographic factors and a changing of the reduced deductibility year 2015. Theoretical och empirical method: The strategy for this empirical study has been in a quantitative shape with a deductive approach. A survey has been formed to collect the empirical material. The target group for this study has been individuals between 20-65 years old, because these are the people that should be saving for their retirement. The questionnaire was for the most part filled with beforehand given answers that the individual chose the answer that they felt represented themselves. Conclusion: The results of this paper shows how some of the demographic factors has an impact on how an individual acts when they are saving for their retirement and that there is some differences on how they have act after the reduced deductibility. The two factors that have an impact is a person’s age and their level of income. Where people in a higher age and with a higher income will save more for their retirement then others. People with a higher income and a higher age will have change their retirement plan after 2015.

Introduction: In 1998, the pension system was changed and the so called PPM system was introduced. The PPM system is partly fund-based, partly distribution-based. There are approximately 700 different investment funds to choose between, at a maximum five for each individual. For persons who are not familiar with the financial market, the choice might be difficult. The lions’ part of the investors do not seem to have an active strategy. Are the reasons for that the complexity of the system or which factors do influence the choice between different fund strategies? Problem area: The problem area of this thesis was to clarify the following questions: Why do not more peoples entitled to the Swedish PPM system make active investments and changes between different fund options? On the individual level, which factors influence how actively placements and changes are made within the PPM system? Propose: Our mission was to investigate the reasons for the lack of activity of the individuals entitled to the benefits of the Swedish PPM system. Methods: Our main approach was to quantitatively analyse the relations and to draw conclusion based on the questionnaire answers from a cohort of 100 respondents living in the city of Stockholm. The results were statistically analysed by using the computerised program SPSS. Results: The lack of knowledge, experience and interest seem to be the factors most positively associated with the lack of initiative to actively make use of the possibilities offered by the PPM system. Conclusions: The quantitative analysis performed indicates that a large majority of the Swedish population lack the qualities needed to manage the money obtainable within the Premium Pension System. It is evident that there are individual differences depending on educational level, income, age and risk attitude. / Inledning: 1998 reformerades det svenska pensionssystemet och det så kallade premiepensionssystemet infördes, som dels är fondbaserat, dels distributionsbaserat. I systemet finns omkring 700 olika fonder emellan spararen kan välja, maximalt fem. För en individ som inte är hemma på den finansiella marknaden kan valet av fonder vara ett svårt beslut. Är systemets komplexitet orsaken till att merparten av spararna inte har en aktiv strategi för sin premiepension eller vilka faktorer är det som styr detta? Problemområde: De problemområden som avsågs klargöras genom denna studie var: Varför väljer inte fler svenska premiepensionssparare att aktivt placera och byta fonder? Vilka individuella faktorer styr hur aktiv individen är i sitt placerande av premiepensionsmedlen? Syfte: Syftet var att undersöka orsakerna till varför merparten av de svenska premiepensionsspararna inte agerar aktivt i valet av fonder samt vilka individuella faktorer som är nav betydelse för graden av aktivitet i premiepensionssparandet. Metodval: En kvantitativ ansats har huvudsakligen använts i denna uppsats då syftet var att uppdaga samband och dra slutsatser baserat på enkätsvar från en stor urvalsgrupp. Urvalet utgjordes av ett bekvämlighetsurval med 100 deltagande respondenter i stockholmsregionen. Det empiriska materialet bearbetades statistiskt i dataprogrammet SPSS. Resultat: De faktorer författarna funnit haft störst inverkan för aktiviteten i premiepensionsvalet är kunskap, erfarenhet samt intresse. Avsaknaden av dessa antas vara vad som resulterar i många av de svenska premiepensionsspararnas passivitet i premiepensionsvalet. Slutsatser: Den kvantitativa undersökning som genomförts indikerar att stora delar av den svenska befolkningen saknar de egenskaper som krävs för förvaltande av premiepensionen. Det framgår även att det föreligger skillnader beroende på bland annat individens utbildning, inkomst, ålder, kön samt åsikter kring risktagande.

Η συμπεριφορική χρηματοοικονομική είναι ένας νέος κλάδος των οικονομικών που αναπτύχθηκε την δεκαετία του 1990. Συνδυάζει τα χρηματοοικονομικά με τις κοινωνικές επιστήμες και κυρίως την ψυχολογία. Δημιουργήθηκε εξαιτίας «ανωμαλιών» που παρατηρήθηκαν στην θεωρία που επικρατούσε μέχρι τότε στην οικονομική σκέψη, την θεωρία των αποτελεσματικών αγορών η οποία θεωρούσε ότι όλοι οι επενδυτές είναι ορθολογικοί. Η συμπεριφορική χρηματοοικονομική αποτελεί σήμερα απαραίτητο στοιχείο για την διεξαγωγή συμπερασμάτων για το πώς λειτουργούν οι επενδυτές στην χρηματαγορά. Στην παρούσα εργασία θα μελετήσουμε το πώς αναπτύχθηκε η ΣΧ, θα αναφερθούμε στα δύο κυριότερα στοιχεία της, τους περιορισμούς στο αρμπιτράζ (limits to arbitrage) και την ψυχολογία, καθώς και θα διεξάγουμε έρευνα για το φαινόμενο της συμπεριφοράς της αγέλης στην Ελληνική χρηματοοικονομική αγορά με τη βοήθεια του προγράμματος Eviews. / Behavioral finance is a new branch of finance that was developed in the 1990s. Combining financial with social sciences and especially psychology. Created because of "anomalies" observed on the theory that prevailed until then in economic thinking, the theory of efficient markets, which believed that all investors are rational. The behavioral economics is now essential for the conduct of conclusions on how the investors function in the stock market. In this study we will study how the behavioral finance was developed, we will tackle the two main components, the arbitrage restrictions (limits to arbitrage) and psychology, and will conduct research on the phenomenon of herd behavior in the Greek financial market with assistance program Eviews.

[pt] A hipótese de eficiência de Mercado é um tema básico e serviu como base para formação de teorias em finanças, sendo, portanto, um dos problemas mais estudados. Relacionadas ao assunto, algumas pesquisas vêm se dedicando especificamente à investigação de fenômenos de underreaction/overreaction, ou seja, de reações excessivas do mercado e incompatíveis com a hipótese de eficiência. Neste contexto, o presente trabalho objetivou aplicar ao mercado acionário brasileiro teste de underreaction/overreaction baseados nas principais metodologias utilizadas em pesquisas internacionais. As principais evidências obtidas indicam a existência destes excessos de reações, contrariando a uma das principais teorias já estudadas. / [en] The hypothesis of market efficiency is a central theme in finance and one of the most studied subjects. Related to the subject, some research has been dedicated specifically to investigating the under reaction / overreaction phenomena, ie, the market over reactions that is incompatible with the hypothesis of efficiency. In this context, this study aimed to apply in the Brazilian stock market tests of under reaction / overreaction based on the main methodologies used in international surveys. The main evidence obtained indicates the existence of these excesses of reactions, contrary to one of the main theories already studied.

Online stock forums have become a vital investing platform on which to publish relevant and valuable user-generated content (UGC) data such as investment recommendations and other stock-related information that allow investors to view the opinions of a large number of users and share-trading ideas. This thesis applies methods from computational linguistics and text-mining techniques to analyse and extract, on a daily basis, sentiments from stock-related micro-blogging messages called “StockTwits”. The primary aim of this research is to provide an understanding of the predictive ability of stock micro-blogging sentiments to forecast future stock price behavioural movements by investigating the various roles played by investor sentiments in determining asset pricing on the stock market. The empirical analysis in this thesis consists of four main parts based on the predictive power and the role of investor sentiment in the stock market. The first part discusses the findings of the text-mining procedure for extracting and predicting sentiments from stock-related micro-blogging data. The purpose is to provide a comparative textual analysis of different machine learning algorithms for the purpose of selecting the most accurate text-mining techniques for predicting sentiment analysis on StockTwits through the provision of two different applications of feature selection, namely filter and wrapper approaches. The second part of the analysis focuses on investigating the predictive correlations between StockTwits features and the stock market indicators. It aims to examine the explanatory power of StockTwits variables in explaining the dynamic nature of different financial market indicators. The third part of the analysis investigates the role played by noise traders in determining asset prices. The aim is to show that stock returns, volatility and trading volumes are affected by investor sentiment; it also seeks to investigate whether changes in sentiment (bullish or bearish) will have different effects on stock market prices. The fourth part offers an in-depth analysis of some tweet-market relationships which represent an open problem in the empirical literature (e.g. sentiment-return relations and volume-disagreement relations). The results suggest that StockTwits sentiments exhibit explanatory power in explaining the dynamics of stock prices in the U.S. market. Taking different approaches by combining text-mining techniques with feature selection methods has proved successful in predicting StockTwits sentiments. The applications of the approach presented in this thesis offer real-time investment ideas that may provide investors and their peers with a decision support mechanism. Investor sentiment plays a critical role in determining asset prices in capital markets. Overall, the findings suggest that investor sentiment among noise traders is a priced factor. The findings confirm the existence of asymmetric spillover effects of bullish and bearish sentiments on the stock market. They also suggest that sentiment is a significant factor in explaining stock price behaviour in the capital market and imply the positive role of the stock market in the formation of investor sentiment in stock markets. Furthermore, the research findings demonstrate that disagreement is not only an important factor in determining trading volumes but it is also considered a very significant factor in influencing asset prices and returns in capital markets. Overall, the findings of the thesis provide empirical evidence that failure to consider the role of investor sentiment in traditional finance theory could lead to an imperfect picture when explaining the behaviour of stock prices in stock markets.

abstract: Private placement is an important financing tool for listed companies in China, and the lock-up arrangement is its supporting system. The Efficient Market Hypothesis suggests that, if investor expectations are unbiased, there will be no abnormal fluctuations in the stock prices of listed companies before and after the unlocking day. However, around the time of the unlocking of private placement shares, the stock prices generally show a V-shaped pattern. Through the empirical analysis of the Chinese A-share stocks from May 8th,2006 to December 31st, 2016, I found that from the 40th day before the unlocking day to the 90th day after, the stock price showed an evident first-downward-then upward trend. The lowest price appeared near the unlocking day. Meanwhile, the greater stocks fall before the unlocking day, the greater prices rise after that. The characteristics of the distinctive difference between the stock prices before and after the unlocking day can provide investment opportunities. By reviewing research on investor behavior, this paper suggests that the V-shaped pattern can be explained by the influence of investors’ psychological factors on their trading behavior. The general performance of the stocks before the unlocking day is negative due to the increasing uncertainty perceived by investors. After the unlocking day, the uncertainty gradually disappears and the stock rebounds. In addition, I found that stock returns during the lock-up period, shareholder background, and the length of lock-up period also had significant impacts on the V-shaped price trend. / Dissertation/Thesis / Doctoral Dissertation Business Administration 2018

Made available in DSpace on 2014-06-11T19:24:16Z (GMT). No. of bitstreams: 0 Previous issue date: 2011-12-14Bitstream added on 2014-06-13T18:52:03Z : No. of bitstreams: 1 silvafilho_dm_me_arafcl.pdf: 714760 bytes, checksum: ea2cad49fd5cf43f5dd3ab6e40dfd07a (MD5) / As Finanças Comportamentais, com base em estudos empíricos, procuram demonstrar que os investidores nem sempre se mantêm racionais ao tomarem decisões que envolvem riscos, conforme argumentava a Teoria Neoclássica de Finanças. Este trabalho tem como objetivo contextualizar o recente campo de estudo e replicar a investigação empírica do artigo seminal de Kahneman e Tversky (1979) que aborda a Teoria do Prospecto e que constitui a base de Finanças Comportamentais. Simultaneamente, serão comparados os resultados da pesquisa com os de Kahneman e Tversky (1979) com os obtidos nesse estudo. Os resultados encontrados nesta população específica mostram similaridade, e que mesmo com populações e períodos diferentes, os indivíduos tendem a se comportar de maneira, na maioria das vezes, contraria ao que argumentava a Teoria Neoclássica de Finanças / Basing on empirical studies, Behavioral Finance seek to demonstrate that investors not always have a rational posture when it comes to making decisions that might involve some sort of risk, according to Neoclassical Finance Theory. This paper aims to contextualize recent studies and respond to the empirical investigation on Kahneman and Tversky’s (1979) seminal article, which approaches The Prospect Theory and constitutes the basis for Behavioral Finance. The results of the investigation will simultaneously be compared to those of Kahneman and Tversky (1979). The results, which have been specifically found in this population, show that the results of the samples are similar, and even in different populations and different periods, individuals tend to behave, more often than not, just as opposed to the arguments of the Neoclassical Finance Theory

Em um país, como o Brasil, com grande desigualdade de renda, os indivíduos com baixo poder aquisitivo devem ser capazes de maximizar a utilização de sua riqueza para vencer as dificuldades impostas pela disparidade existente. Com isso, o entendimento das razões pelas quais as pessoas se endividam torna-se um tema relevante. O objetivo deste trabalho, portanto é o entendimento das razões para o endividamento destes indivíduos através de entrevistas estruturadas. As conclusões desta pesquisa são de que a falta de planejamento dos indivíduos, a falta de conhecimento sobre educação financeira, a alta propensão ao consumo, a baixa valoração do futuro, a necessidade de status e fatores externos, tais como: a alta taxa de juros, desemprego, desestabilização familiar e problemas de saúde são razões para o endividamento. Os resultados da pesquisa mostram que 21,6% dos entrevistados se endividam devido a incidentes pessoais e familiares, 35,3% da amostra afirmou que o motivo para a situação atual deveu-se ao fato de serem consumistas e 43,1% afirmaram que isso ocorreu devido a falta de controle. / In a country, like Brazil, which has a high level inequality, the low income people have to be capable to maximize their wealth to go through the dificulties imposed by the inequality. , the understandings of the reasons why people become in debt become a relevant theme. The aim of this paper is to understand the reasons to the debt of these people by doing semi-structured interviews. The conclusions of this research are that the absence of planning, the lack of knowledge about financial education, low evaluation of the futures, unemployment, status necessity and extern factors such like high interest income, unemployment, familiar instability and health problems are reasons to take a debt. The results of the research show that 21,6% of the interviewers take debt because of personal and familiar incidents, 35,3% of the sample said that the reason for their situation occurred because they are impulsive buyers, and 43,1% said it happened because of the lack of control.

Esta dissertação analisa a existência de oportunidades de obtenção de ganhos econômicos através da adoção de estratégias de investimento que explorem o viés de sobre-reação de preços no mercado de ações brasileiro no período de 1995 a 1998. De forma complementar, busca identificar se os resultados são persistentes a alterações do indicador de retorno utilizado, período de tempo da análise, método de acumulação de retornos e número de ativos da carteira. Os indicadores de retorno utilizados foram: retorno total, excesso de retorno de mercado e retorno ajustado ao risco, para períodos mensais, trimestrais, semestrais, anuais e bianuais. Utilizou-se a acumulação aritmética e composta, bem como diferentes quantidades de ações (fixas de 5 e 10 ações e variável de 5% e 10% da carteira total). Os instrumentos utilizados para os testes estatísticos de associação foram o teste de diferença de médias para duas amostras independentes, o teste de proporções, além do coeficiente de correlação de Spearman. A amostra compreendeu todas as ações existentes no período, cujos dados estavam disponíveis no banco de dados Economática. Os resultados demonstraram que existe a oportunidade de se obter ganhos no curto prazo, pois a estratégia contrária de investimento apresentou ganhos estatisticamente significantes para os períodos mensal e trimestral. / This dissertation analyzes the possibility of obtaining gains by adopting contrarian investments policy in the Brazilian Stock Market during the period from 1995 to 2003, in order to prove the existence of the overreaction bias in the investors? behavior. As a complementary objective, it was explored whether the strategy performance depends upon the measure employed to address performance, time period, cumulating returns method or number of securities in the portfolios. The research has involved different measures of performance: total return, market excess return and risk-adjusted return for different time horizons: monthly, quarterly, semi-annually, annually and biannually. It was computed two methods for cumulating returns, arithmetic and buy-and-hold, and also various quantitites of securities in each portfolio. The statistical procedures used to measure the degree of association were: difference of sample means test, proportions test and Spearman?s correlation coefficients. The sample included all stocks listed in Bovespa, with available data in the Economática database. Results show that there is an opportunity to gain in the short-time horizon, once the contrarian investment strategy presented statistically significant gains for monthly and quarterly periods.