Diese kumulative Dissertation besteht aus drei Abschnitten.                                 I. Geopolitics, Aid and Growth Wir untersuchen den Effekt kurzfristiger politischer Motive auf die Effektivität von Entwicklungshilfe. Dabei testen wir, ob der Effekt der Hilfe auf Wirtschaftswachstum reduziert wird durch den Anteil der Jahre während der Hilfsvergabe, die ein Land temporäres Mitglied des Sicherheitsrates der Vereinten Nationen war. Diese Mitgliedschaft sorgt für eine quasi zufällige Variation in der Höhe der vergebenen Hilfsgelder. Unsere Ergebnisse zeigen, dass der Zusammenhang zwischen Hilfe und Wachstum schwächer und niedriger ist für Hilfe, die während der temporären Mitgliedschaft vergeben wurde. Unsere zwei Schlussfolgerungen sind: Erstens, der Einfluss politischer Motive untergräbt die Effektivität der vergebenen Hilfsgelder. Zweitens, Variablen die politisches Interesse widerspiegeln sind ungeeignet als ökonometrische Instrumente für Entwicklungshilfe. Dies weckt Zweifel an einer großen Anzahl existierender Forschungsergebnisse. II. Is there a Home Bias in Sovereign Ratings? Kreditratingagenturen werden oftmals für angeblich verzerrte Länderratings kritisiert. Dieser Abschnitt diskutiert, wie das Heimatland einer Ratingagentur deren Ratingentscheidungen aufgrund polit-ökonomischer Einflüsse und kultureller Unterschiede beeinflussen kann. Mithilfe von Daten über neun Agenturen aus sechs unterschiedlichen Ländern testen wir, ob die Agenturen bessere Ratings an ihr Heimatland oder mit ihnen ökonomisch, politisch oder kulturell verbundene Länder vergeben. Unsere Ergebnisse liefern Belege für die Existenz einer Verzerrung zugunsten des jeweiligen Heimatlandes, kulturell ähnlicher Länder, und von Ländern, in denen die Banken des Heimatlandes größeren Risiken ausgesetzt sind. Dabei scheint die linguistische Ähnlichkeit der Sprache die Haupterklärung für den gemessenen Vorteil des Heimatlandes zu sein. III. Crime, Incentives and Political Effort: A Model and Empirical Application for India Der große Anteil an Politikern, gegen welche kriminelle Vorwürfe erhoben werden, hat eine öffentliche Debatte und eine Literatur über dessen Gründe und Auswirkungen ausgelöst. Um die Auswirkungen von Kriminalität abzuschätzen, entwickeln wir ein Modell über die Anreize, welchen Abgeordnete ausgesetzt sind wenn sie entscheiden ob sie sich für ihren Wahlkreis engagieren sollen. Wir nutzen drei direkte und gut messbare Maße für das Engagement der Abgeordneten in der vierzehnten Lok Sabha während der Legislaturperiode von 2004-2009: Anwesenheitsquoten, Aktivität im Parlament und die Nutzungsrate eine Fonds für lokale Entwicklungsprojekte. Die Ergebnisse legen nahe dass kriminelle Abgeordnete im Schnitt ungefähr 5% niedrigere Anwesenheitsquoten haben, und niedrige Nutzungsraten des Fonds, aber sich nicht bezüglich der Aktivität im Parlament unterscheiden. Diese Unterschiede hängen vom ökonomischen Entwicklungsstand des Wahlkreises, einem Proxy für Möglichkeiten illegale Renten zu extrahieren und für die Intensität der Überwachung des Abgeordneten durch die Wähler, sowie von der Definition von Kriminalität ab. Wir nutzen beobachtbare Kontrollvariablen, Matchingtechniken und „Treatment Effect“ Regressionen, um zu zeigen, warum diese negativen Koeffizienten eine Obergrenze für den tatsächlich wohl noch größeren negativen Zusammenhang darstellen. Darüber hinaus analysieren wir, warum es unwahrscheinlich ist, dass Selektionsprobleme aufgrund unbeobachtbarer Einflussfaktoren unsere Ergebnisse vollständig erklären können.

Mass., Harvard Univ., Dep. of Economics, Diss.--Cambridge, 2003. / Kopie, ersch. im Verl. UMI, Ann Arbor, Mich. - Enth. 4 Beitr.

Zugl.: Oestrich-Winkel, Europ. Business School, Diss.

Cette thèse propose une généralisation des préférences moyenne-variance à l'ambiguïté, c'est-à-dire aux contextes dans lesquels l'investisseur ne peut pas, ou ne souhaite pas, décrire le comportement des actifs risqués par un modèle probabilisé unique. Elle se rattache donc au champ de recherche qui vise à appliquer les modèles de décision dans l'ambiguïté à la théorie mathématique de la finance, et dont le but est d'améliorer les capacités descriptives de cette théorie financière par la généralisation d'une de ses hypothèses centrales : l'utilité espérée.Les modèles étudiés ici sont ceux qui représentent les croyances du décideur par un ensemble de probabilités, ou priors : on cherche à montrer, d'une part, sous quelles conditions ces modèles peuvent être appliqués à la théorie financière et, d'autre part, ce qu'ils lui apportent. Ainsi, après une introduction générale qui propose une synthèse des avancées de ce champ de recherche, un premier essai étudie les conditions de compatibilité entre ces modèles à ensemble de priors et les préférences moyenne-variance, un deuxième essai analyse les possibilités offertes par le modèle Vector Expected Utility pour généraliser ces préférences à l'ambiguïté et, finalement, un troisième essai développe l'une de ces pistes pour construire un critère moyenne-variance généralisé et étudier les effets de l'aversion à l'ambiguïté sur la composition optimale d'un portefeuille d'actifs risqués. Les résultats obtenus permettent notamment de conclure que l'aversion à l'ambiguïté est bien une explication possible du puzzle de la préférence pour le pays d'origine. / This dissertation proposes a generalisation of the mean-variance preferences to ambiguity, that is contexts in which the investor can not, or does not wish to, describe the behaviour of the risky assets with a single probabilistic model. Hence it belongs to the field of research that seeks to apply models of decision under ambiguity to the mathematical theory of finance, and whose aim is to improve the descriptive capacities of this theory of finance through the generalisation of one of its central hypothesis: expected utility.The models that are studied here are those which represent the decision maker's beliefs by a set of priors: we aim to show, on the one hand, under which conditions these models can be applied to the financial theory, and, on the other hand, what they bring to it. Therefore, following a general introduction which proposes a survey of the advances of this field of research, a first essay studies the conditions of compatibility between these models with a set of priors and the mean-variance preferences, a second essay analyses the possibilities given by the Vector Expected Utility model to generalise these preferences to ambiguity and, finally, a third essay develops one of these threads to construct a generalised mean-variance criterion and to study the effects of ambiguity aversion on the optimal composition of a portfolio of risky assets. The results that are obtained allow notably to conclude that aversion to ambiguity is indeed a possible explanation of the home-bias puzzle.

Bakgrund: Människor tenderar att i större grad investera i bekanta företag i närområden, detta psykologiska fenomen kallas för home bias. Det kan bli problematiskt då det kan medföra att investerare inte optimerar sina portföljer utifrån risk, avkastning och korrelation mellan tillgångarna i portföljen. Tidigare forskning kring home bias har indikerat på att fenomenet kan drivas av olika förklaringsmekanismer, exempelvis marknadsförhållanden, volatilitet och transaktionskostnader. Forskningen kring home bias har i mindre skala fokuserat på hur home bias förändras i olika marknadsförhållanden dessutom finns endast begränsad forskning om detta för svenska fonder vilket är varför det var intressant att undersöka denna kunskapslucka. Syfte: Syftet var att undersöka och analysera potentiell exponering och förändring av home bias i svenskregistrerade fonder vid marknadsförändringar i ekonomin mellan år 1994–2018. För att definiera olika marknadsförhållanden används termerna bear-marknad vilket är en kontraherande marknad och bull-marknad som är motsatsen. Detta har sedan undersökts och analyserats tillsammans med de två valda förklaringsmekanismerna volatilitet och transaktionskostnader. Metod: Studien var kvantitativ med en deduktiv ansats. Den primära datan har bestod av den totala svenska fondförmögenheten mellan 1994–2018 och den totala världsmarknadsportföljen. Dessutom har indexdata använts för att fånga marknadsförändringar och svenska genomsnittliga fondavgifter för att beskriva transaktionskostnader. Att inkludera volatilitet och transaktionskostnader grundade sig på den tidigare forskningens tyngdpunkt på dessa två mekanismer. Analysmetoden har främst utgått från hypotestest för dessa variabler. Slutsats: Resultatet av studien hittade signifikanta samband för home bias för svenskregistrerade fonder både för bear-och bull-marknad, vilket ligger i linje med tidigare forskning som har sett att bear-marknader leder till ökning av home bias på grund av att osäkerheten i omvärlden gör investerare i större grad villiga att placera i det bekanta. Dessutom har tidigare forskning visat att home bias minskar under säkrare perioder vilket denna studies resultat av sambandet mellan bull-marknaden och home bias indikerat. Vidare visade båda förklaringsmekanismerna att de har ett signifikant samband med home bias. Resultatet har därmed bidragit till kunskap om home bias i marknadsförhållanden för den svenska fondmarknaden och kan i större grad motverka investerare att hamna i psykologiska fällor som leder till sämre investeringsbeslut. / Background: People tend to invest a large portion of their investments in familiar companies near their home area, this psychological phenomenon is called home bias. This can become problematic thus it means that investors do not optimize their portfolios based on risk, return and correlation between assets in the portfolio. In addition, there are studies that indicate that home bias is driven by various explanatory mechanisms, for example market conditions, volatility and transaction costs. Research about home bias has in a smaller scale focused on how home bias changes in different market conditions, especially in Sweden and for funds, therefore it would be interesting to investigate this knowledge gap. Purpose: The purpose of this study was to examine and analyze the relationship between funds registered in Sweden and their potential exposure to home bias in various market conditions in the economy between 1994-2018. To define market conditions, the concepts bear market is used when the market is in a contracting phase and bull market is used when the opposite conditions occur. This has been examined and analyzed together with the two selected explanatory mechanisms volatility and transaction costs. Method: The method for this research is quantitative with a deductive approach. The primary data used to investigate home bias comes from statistics of total Swedish fund assets between 1994-2018 and the total world market portfolio. Furthermore, index data is used to capture market changes and data of average fund fees are used to examine transaction costs. The choice to include volatility and transaction costs is based on the previous research emphasis on these two mechanisms. The method of analysis is based primarily on hypothesis testing for the mentioned variables. Conclusion: The result of the study shows that the relationship between bear and bull markets and home bias for funds registered in Sweden are significant. Which is in line with previous research that states that bear markets lead to an increase in home bias because the uncertainty around the world makes investors to a greater extent willing to invest in the familiar. In addition, previous research has shown that home bias decreases during safer periods, which the results of the relationship between the bull market and home bias indicate in this study. Furthermore, both explanatory mechanisms showed that they are significantly associated with home bias. The result has contributed to the knowledge of home bias for the Swedish fund market in various market conditions and can in a larger scale counteract investors to fall in to psychological traps and go through with badly made investment decisions.

This thesis aims to investigate the benefits of international diversification from a Swedish perspective. It presents a comparative study of the performance of different portfolios based on their degree of international diversification with a focus on Swedish investors frame of reference. Such a study is motivated by the contradictory literature about portfolio diversification and information portfolio theory that advocate for a more concentrated portfolio. It focuses solely on comparing portfolios constituted with major indices of a representative sample including countries from different parts of the world. The different scales of those portfolios start from a divided part of the Swedish economy to end with a global portfolio. We observed that international diversification can outperform the domestic portfolios when considering risk and return. In addition, we observed that the best performing portfolios over the periods are systematically concentrated on emerging countries and that the high return of those emerging countries is often not associated with a correspondingly high standard deviation as it should be expected. The best levers of performance that we identified as a result of this comparative study are, first, the strategy consisting in focusing on the most concentrated portfolios in order to maximize the return and then trying to time the market, thanks to a specialized information collection strategy, but this bear a high undiversifiable risk. Or second, adopting an intentionally diversified portfolio and collecting information about the most promising emerging markets that will be then over weighted in the portfolio to lower the risk and higher the return. Lastly, the study recommend that home-biased investors should change their behavior and consider international investments when building a portfolio.

Submitted by João Luiz Piccioni Junior (jpiccionijr@gmail.com) on 2011-08-31T00:14:51Z No. of bitstreams: 1 Dissertação JLPJ_Versão Final v2.pdf: 511997 bytes, checksum: 4bc86e9dcc6f2c5d4670840389eca1a5 (MD5) / Rejected by Gisele Isaura Hannickel (gisele.hannickel@fgv.br), reason: Prezado João Luiz, A capa de seu trabalho e a folha de rosto estão iguais. Na capa não deve contemplar "Dissertação apresentada à Escola....". Esta informação é somente na folha de rosto (2ª folha que está correta). Att, Gisele Hannickel Secretaria de Registro on 2011-08-31T13:21:35Z (GMT) / Submitted by João Luiz Piccioni Junior (jpiccionijr@gmail.com) on 2011-08-31T21:50:44Z No. of bitstreams: 1 Dissertação JLPJ_Versão Final v2.pdf: 511127 bytes, checksum: bf30747269af97ea98bc51ca5141b624 (MD5) / Approved for entry into archive by Gisele Isaura Hannickel (gisele.hannickel@fgv.br) on 2011-09-01T12:44:27Z (GMT) No. of bitstreams: 1 Dissertação JLPJ_Versão Final v2.pdf: 511127 bytes, checksum: bf30747269af97ea98bc51ca5141b624 (MD5) / Approved for entry into archive by Gisele Isaura Hannickel (gisele.hannickel@fgv.br) on 2011-09-01T12:44:39Z (GMT) No. of bitstreams: 1 Dissertação JLPJ_Versão Final v2.pdf: 511127 bytes, checksum: bf30747269af97ea98bc51ca5141b624 (MD5) / Made available in DSpace on 2011-09-01T12:46:39Z (GMT). No. of bitstreams: 1 Dissertação JLPJ_Versão Final v2.pdf: 511127 bytes, checksum: bf30747269af97ea98bc51ca5141b624 (MD5) Previous issue date: 2011-08-09 / In this paper, we observe the preferential characteristics of Foreign Mutual Fund Managers when investing in Latin America. The main objective was checking the hypothesis that those managers prefer companies with characteristics that amplifies its visibility, in other words, that reduces information asymmetry, a possible explanation for the existence of home bias. For this purpose, we observe mutual funds positions based on shareholders lists of the companies listed at the stock exchanges of the countries of the sample in three different periods (June 2008, 2009 and 2010). The results show that this class of investors prefers companies’ attributes that amplify their contact with international markets, like international listing, bigger analyst coverage and being part of exporter sectors, reinforcing the idea that information asymmetry reduces the ability of asset selection and, therefore, justifying home bias theory. The study also compare preferences of foreign fund managers with domestic ones, located in Latin America, and shows evidence that home basis fund managers expand their portfolio towards a market portfolio, and has different preferences that those observed by foreign fund managers. / Nesse trabalho são observadas as características preferencias dos gestores de fundos mútuos estrangeiros ao selecionar ações na América Latina. O objetivo foi verificar a hipótese de que esses gestores preferem companhias que possuam características que geram grande visibilidade, ou seja, que reduzam a assimetria de informação, uma das possíveis explicações para a existência do home bias. Para isso, foram observadas as posições dos fundos mútuos a partir das listas de acionistas das companhias listadas nas bolsas dos países da amostra em três períodos diferentes (junho de 2008, 2009 e 2010). A análise revela que essa classe de investidores prefere companhias que possuam atributos que ampliem seu contato com mercados internacionais, tais quais, a listagem internacional, maior cobertura de analistas e que façam parte de setores exportadores, reforçando a ideia de que a assimetria de informação reduz a capacidade de seleção de ativos por parte dos participantes de mercado e, portanto, justificando a teoria do home bias. O estudo ainda compara as preferências dos gestores estrangeiros com gestores domiciliados na América Latina e mostra evidências de que os gestores de fundos mútuos domésticos possuem maior dispersão de investimentos nas companhias listadas e, consequentemente, possuem preferências diferentes daquelas observadas para os gestores estrangeiros.

In this thesis the relationship between regional composition and risk-adjusted performance is evaluated concerning Swedish issued green mutual equity funds. By using three different indices; Sharpe, Jensen and Treynor, a relationship has been able to establish. The study finds no strong relationship between geographic composition and performance concerning any of the indices and thus the impact of diversifying one's portfolio has little impact. By using the Modern Portfolio Theory, Stewardship Theory, Home Bias Theory and Behavioral Finance Theory a theoretical discussion has been established in order to further examine and analyze the fundamental dynamics of this relationship. Lastly, model risk and other variables impact on performance has been investigated. Our study finds a potential model risk since our three indices results disparate. Further, ESG related factors and Morningstar ratings seem to impact performance greater than regional composition.

This thesis in applied statistics and industrial economics examines the correlation between a number of market conditions on the Swedish and Global market and the yield difference between the Swedish stock market and the Global stock market. The report is based on data from the index MSCI Sweden Net Return, MSCI World Net Return and the Volatility index S&P 500. The market conditions that have been examined are Bull markets, Bear markets, periods of high volatility. We also examined how the appreciation of the SEK in comparison to the USD and the yield of the Swedish stock market correlated with the yield difference between the Swedish Stock Market and the Global stock market. The correlation was examined using multiple linear regression. The results indicated a positive correlation between the yield difference between the Swedish stock market and the Global stock market and the yield of the Swedish stock market, the appreciation of the SEK compared to the USD and Bull markets. We found a negative correlation with Bear markets and no correlation at all with the volatility.   The results are in line with what could be expected and give a stronger statistical ground for the idea that the Swedish stock market has larger fluctuations than the Global stock market during large-scale market fluctuations. / Detta kandidatexamensarbete inom tillämpad matematik och industriell ekonomi syftar till att undersöka hur avkastningsdifferensen mellan den Svenska och Globala aktiemarknaden korrelerar med ett antal olika marknadsförhållanden. Rapporten är baserad på data från MSCI Sweden Net Return och MSCI World Net Return samt Volatilitetsindex S&P500. De marknadsförhållanden som har undersökts är Bull markets, Bear markets, perioder då det råder hög volatilitet på marknaden. Vi undersökte även avkastningsdifferensens korrelation till kronans värdeförändring gentemot den Amerikanska dollarn och korrelationen till den Svenska aktiemarknadens värdeökning. Korrelationen undersöktes genom att utföra en multipel linjär regression. Resultaten visade på en rådande positiv korrelation mellan utvecklingen på den Svenska aktiemarknaden, prisutvecklingen av den Svenska kronan mot Amerikanska dollarn samt under Bull markets. Vi fann även en negativ korrelation med Bear markets och ingen korrelation till volatiliteten.   Resultaten är i linje med vad som kunde förväntas och ger en starkare statistisk grund till att den Svenska aktiemarknaden har större svängningar än den Globala aktiemarknaden vid stora marknadsfluktuationer.