Zugl.: Bonn, Universiẗat, Diss., 2008.

Les modèles d’équilibre à anticipations rationnelles (EAR) ont été considérablement développés ces 40 dernières années. Cependant, encore relativement peu d’avancées ont été réalisées quant à leurs applications empiriques, les signaux privés étant inobservables. Nous proposons une nouvelle méthodologie, fondée théoriquement, pour reconstituer ces signaux et ainsi parfaitement déduire toute l’information. Ce qui nous permet de construire le portefeuille optimal des agents informés et d’explorer ses propriétés à travers trois études. Dans un premier article, nous montrons que les ordres soumis au carnet d’ordres (l’offre) et le prix d’équilibre qui en résulte constituent une statistique suffisante pour l’ensemble d’information agrégé. Nous expliquons comment extraire l’information contenue dans ces deux données, en utilisant les volumes réalisés (connus avec délai) comme proxy pour l’offre, et construire ex post le portefeuille conditionnel à l’information privée. Nous comparons ses performances avec le portefeuille optimal des agents non-informés obtenu ex ante à partir des prix. Dans un second article, nous dérivons le portefeuille optimal des investisseurs informés en explorant une spécification différente du bruit. Constitué dans la première étude par une offre fournie de façon exogène par des noise traders, nous considérons à présent que les investisseurs informés et non-informés échangent entre eux. Ils sont initialement dotés d’une quantité aléatoire d’actifs risqués et échangent rationnellement sur le marché boursier pour se couvrir et spéculer sur leur information. Nous démontrons qu’il est alors nécessaire d’utiliser la partie des volumes relative à de l’information, déterminée à partir d’une mesure de la probabilité d’échanges informés, à la place des volumes totaux. A cause des contraintes et de la complexité de cette mesure, nous trouvons qu’utiliser les volumes totaux constitue le meilleur choix, du moins jusqu’à ce qu’une meilleure mesure soit trouvée. Enfin, dans une troisième étude, nous utilisons le portefeuille des agents informés pour tester le modèle d’évaluation des actifs financiers (MEDAF) conditionnel, à la place d’un indice boursier pondéré selon les capitalisations traditionnellement utilisé comme proxy pour le portefeuille de marché. Nous démontrons que conditionner à l’information privée permet d’estimer le vrai bêta, ainsi que la prime de risque du marché en isolant la prime de risque d’information qu’un indice boursier est incapable de distinguer. / Rational expectation equilibrium (REE) models were considerably developed over the past 40 years. However, still relatively little has been done on their empirical applications, private signals being unobservable. We propose a new methodology, theoretically premised, to reconstitute these signals and thus perfectly infer all the information. This allows us to build the optimal informed investors’ portfolio and explore its properties through three studies. In the first paper, we show, based on a REE model, that the orders entered into the order book (supply) and the resulting equilibrium price constitute a sufficient statistic for the aggregate information set. We explain how to extract the information contained in these two data, using realized volumes (known with delay) as proxy for the supply, and to construct ex post the portfolio conditional on private information. We compare its performance with the optimal uninformed agents’ portfolio obtained ex ante from prices. In a second paper, we derive the optimal informed investors’ portfolio by investigating a different specification for the noise. Constituted in the first study by a supply exogenously provided by noise traders, we now consider that informed and uninformed investors trade amongst themselves. They are initially endowed with a random quantity of risky assets and have both risk-sharing and informational motives to trade rationally on the stock market. We demonstrate that we must use information-related volumes, determined with a measure of the probability of informed trades, instead of total volumes. Due to the constraints and complexity of this measure, we found that using total volumes constitutes the best choice, at least until a better measure is found. Finally, in a third study, we use the informed agents’ portfolio to test the conditional capital asset pricing model (CAPM), instead of a value-weighted stock index traditionally used as proxy for the market portfolio. We show that conditioning on private information allows estimating the real beta, as well as the market risk premium by isolating the information risk premium that an index is unable to distinguish.

BAKGRUND: Investerare har försökt slå marknaden så länge kapitalmarknader har funnits. En investeringsstrategi som använts är ”Dogs of the Dow”. Investeringsstrategin bygger på att investera i de bolagen med högst utdelningsandel. Vedertagna ekonomiska teorier förespråkar även att investeringar i stabila utdelningsbolag ger möjlighet att generera riskjusterad överavkastning. Det finns idag motstridiga bevis från olika aktiemarknader huruvida det går att skapa riskjusterad överavkastning genom placeringar i högutdelande bolag. SYFTE: Syftet med studien är att undersöka om det går att skapa högre riskjusterad avkastning än SIX Return Index (.SIXRX) genom att placera i de aktierna med högst direktavkastning på Stockholmsbörsen. Vidare syftar studien att undersöka både huruvida ”Dogs of the Dow”- strategin och en investeringsstrategi i stabila utdelningsbolag kan generera riskjusterad överavkastning jämfört med index på Stockholmsbörsen. GENOMFÖRANDE: Det skapas två portföljstrategier där den ena utgår från ”Dogs of the Dow” och den andra utgår från placeringar i stabila utdelningsaktier. Studien är en kvantitativ undersökning där data samlas in från välrenommerade databaser. Portföljerna innehåller tio bolag som rebalanseras varje år för att sedan justeras för risk och transaktionskostnader. SLUTSATS: Studien presenterar inga bevis för att det går att skapa riskjusterad överavkastning med utgångspunkt i ”Dogs of the Dow”-strategin på Stockholmsbörsen. Däremot visar studien att det med hjälp av placeringar i stabila utdelningsbolag går att skapa riskjusterad överavkastning på Stockholmsbörsen men utan statistiskt signifikans. / BACKGROUND: Investors have been trying to beat the market for as long as capital markets have existed. An investment strategy used to outperform the market is “Dogs of the Dow”. The investment strategy is based on investing in the companies with the highest dividend yield. Economic theories argue that investments in companies with stable dividend payouts are able to create risk-adjusted excess returns. There are contradictory evidence from different markets whether it is possible to earn risk-adjusted excess return through high-yield investments. PURPOSE: The purpose of the study is to investigate whether it is possible to earn higher risk- adjusted returns than the SIX Return Index (.SIXRX) through investing in the highest dividend yield companies on the Stockholm Stock Exchange. The study aims to investigate whether the “Dogs of the Dow” strategy and an investment strategy in companies with stable dividend payouts can generate risk-adjusted excess return compared to the SIX Return Index. COMPLETION: There are two portfolio strategies, one of which is based on ”Dogs of the Dow” and the other is based on investments in companies with stable dividend payouts. The quantitative study collects data from reputable databases. The portfolios contain ten companies that are rebalanced each year and the returns are adjusted for risk and transaction costs. CONCLUSION: The study presents no evidence that it is possible to earn risk-adjusted excess return with the “Dogs of the Dow” strategy on the Stockholm Stock Exchange. However, the study shows that investments in companies with stable dividend payouts can earn risk-adjusted excess return on the Stockholm Stock Exchange but without statistical significance.

The volatility transmission in financial markets has important implications for investment decision making, portfolio diversification and overall macroeconomic stability. This paper analyses volatility transmission across four South African financial markets that is the stock, bond, money and foreign exchange markets, using daily data for the period 2000-2010. It also shows whether the volatilities in the SA financial markets present a different behaviour in bull and bear market phases. The effects of the international markets volatility to the local markets volatility was also looked at in this study. To obtain estimates of market volatility, the study experimented with various volatility models that include the GARCH, EGARCH and TARCH. To examine volatility interaction and the transmission of volatility shocks, a VAR model was estimated together with block exogeneity, impulse response and variance decomposition. The study found that there is limited volatility transmission across the SA financial markets. The study also found that the money market is the most exogenous of all markets since the other three financial markets volatility is insignificant to the money market (see impulse response results). For the bond market, volatility transmission was characterized with a decreasing trend. With regard to international markets volatility, it concluded that, the shocks in the international markets will eventually affect the movement in the local markets. The results also highlighted that, world and local markets are important in accelerating the volatility transmission in SA financial markets depending on whether they are in their bull or bear phases. In the case of South Africa, the study found that volatility transmission across markets is higher during bear market periods than bull market periods. Basing on the study results which show that the volatility transmission is limited across SA financial markets, the implication to local and international investors is that there is a greater potential for diversifying risk by investing in different South African financial markets.

Cointegration has important implications for portfolio diversification. One of these is that in order to spread risk it is advisable to invest in markets that are not cointegrated. Over the last several decades communication technology has made the world a smaller place and hence cointegration in equity markets has become more prevalent. The bulk of research into cointegration focuses on developed and Asian markets, with little research been done on African markets. This study compares the Engle-Granger and Johansen tests for cointegration and uses them to calculate the level of cointegration between South African and other global equity markets. Each market is compared pair-wise with South Africa and the results have been that in general South Africa is cointegrated with other emerging markets but not really with African nor developed markets. Short-run analysis with the error correction was carried out and showed that in general markets respond slowly to any disequilibrium. Innovation accounting methods showed that the country placed first in Cholesky ordering dominates the other one. Multivariate cointegration was carried out using three selections of 4, 6 and 8 market portfolios. One of the markets was SA and the others were all chosen based on the criteria that they are not pair-wise cointegrated with SA. The level of cointegration varied depending on the portfolios, as did the error correction rates, impulse responses and variance decomposition. The one constant was that the USA dominated any portfolio where it was introduced. Recommendations were finally made about which market portfolio an investor should consider as most favourable.

Submitted by Edoardo Camela (edoardocamela@gmail.com) on 2015-10-26T22:05:50Z No. of bitstreams: 1 Thesis ECamela - Final - FGV to send.pdf: 1456172 bytes, checksum: da94c4812346c85c989edfe869e72519 (MD5) / Approved for entry into archive by Ana Luiza Holme (ana.holme@fgv.br) on 2015-10-27T11:35:59Z (GMT) No. of bitstreams: 1 Thesis ECamela - Final - FGV to send.pdf: 1456172 bytes, checksum: da94c4812346c85c989edfe869e72519 (MD5) / Made available in DSpace on 2015-10-27T13:38:23Z (GMT). No. of bitstreams: 1 Thesis ECamela - Final - FGV to send.pdf: 1456172 bytes, checksum: da94c4812346c85c989edfe869e72519 (MD5) Previous issue date: 2015 / The aim of this project is the comparison between the pros and cons of passive and active management by conducting a statistical study of several strategies through Exchange-Traded Funds. In particular, the examination will go through the most passive strategy, namely buy & hold, to a different degree of active indexing management such as sector and/or asset class rotations based on bottom-up, top-down and technical indicators. The analysis show that active strategies, if properly implemented, obtain risk-adjusted returns substantially higher than a passive approach, overcoming the issues of transaction costs and diversification which are typically claimed by a passive management. / O objectivo deste projecto é a comparação entre os prós e contras de gestão passiva e ativa através da realização de um estudo estatístico de várias estratégias através dos Exchange-Traded Funds. Em particular, a análise vai passar pela estratégia mais passiva, ou seja, buy and hold, para um grau diferente de active indexing management, tais como rotações do sector e / ou classe de ativos com base no bottom-up, top-down e indicadores técnicos. A análise mostra que as estratégias ativas, se forem devidamente aplicadas, conseguem obter retornos ajustados ao risco substancialmente superiores quando comparados com uma abordagem passiva, superando as questões de custos de transação e diversificação que normalmente são reivindicadas por uma gestão passiva.

Submitted by Olivier Boileau (olivier.boileau@hotmail.fr) on 2016-02-18T13:44:30Z No. of bitstreams: 1 Final-Report-FGV-by-Olivier-Boileau.pdf: 1435700 bytes, checksum: 5726e91bb0509cf4b3f5afd9acd70f3b (MD5) / Approved for entry into archive by Ana Luiza Holme (ana.holme@fgv.br) on 2016-02-18T13:45:44Z (GMT) No. of bitstreams: 1 Final-Report-FGV-by-Olivier-Boileau.pdf: 1435700 bytes, checksum: 5726e91bb0509cf4b3f5afd9acd70f3b (MD5) / Made available in DSpace on 2016-02-18T13:53:32Z (GMT). No. of bitstreams: 1 Final-Report-FGV-by-Olivier-Boileau.pdf: 1435700 bytes, checksum: 5726e91bb0509cf4b3f5afd9acd70f3b (MD5) Previous issue date: 2016-02-19 / Using regression and correlation approaches covering the last twenty years of daily data for seven countries, this thesis investigates safe haven and hedge abilities of precious metals against international equities over a given state of the economy. Furthermore, this thesis examines different portfolios performance in-samples and out-of-samples with the aim to observe whether investing in precious metals can help to mitigate investor risk management. The key results are: (i) Gold is the finest precious metal for international hedging against equities (ii) Gold provides valuable portfolio risk management benefits (iii) 60/40 portfolios allocated with gold proffer good investor outcomes. / Recorrendo a duas abordagens diferentes, regressão e correlação, e cobrindo os últimos vinte anos de dados diários para sete países, esta tese investiga as propriedades "safe haven" e "hedge" dos metais preciosos, em comparação com acções internacionais para um dado estado da economia. Adicionalmente, esta tese avalia o desempenho de diferentes portfolios, dentro e fora da amostra, com o objectivo de verificar se o investimento em metais preciosos poderá ajudar a atenuar a gestao do risco por parte do investidor. Os principais resultados são os que se seguem: (i) O ouro é o melhor metal precioso para um "hedging" internacional em oposição às acções (ii) O ouro permite obter valiosos benefícios de gestão de risco do portfolio (iii) 60/40 dos portofios atribuidos com ouro permitem ao investidor obter bons resultados.

Submitted by Alexandre de Deus Gomes (alexandre.deus@oi.com.br) on 2017-01-04T21:45:24Z No. of bitstreams: 1 Dissertação_FINAL_Alexandre_V 9 FINAL.pdf: 2019114 bytes, checksum: 4c6124dbd2ce2996d087dac3de0fc008 (MD5) / Approved for entry into archive by Janete de Oliveira Feitosa (janete.feitosa@fgv.br) on 2017-01-05T17:38:48Z (GMT) No. of bitstreams: 1 Dissertação_FINAL_Alexandre_V 9 FINAL.pdf: 2019114 bytes, checksum: 4c6124dbd2ce2996d087dac3de0fc008 (MD5) / Made available in DSpace on 2017-01-18T11:49:25Z (GMT). No. of bitstreams: 1 Dissertação_FINAL_Alexandre_V 9 FINAL.pdf: 2019114 bytes, checksum: 4c6124dbd2ce2996d087dac3de0fc008 (MD5) Previous issue date: 2016-12-12 / This study aims to develop an exploratory and qualitative/quantitative research about the social representation of Project Portfolio Management. The work aims to expose Project Portfolio Management perceptions between project users. To support the theoretical study, empirical data were collected through online questionnaires to 211 professionals in project’s field. Using the technique of word retrieval and the theory of social representation (TRS), the data collected were summarized. After processing the data using the technique of Vergès’ four-frame houses, the identification of the central nucleus and peripheral system of social representation of Project Portfolio Management was obtained as a result. Finally, data were analyzed using content analysis, so that all the data was compared for best interpretation of the theme. Obtained as a result, the core of the social representation of Project Portfolio Management consists of the following words are obtained as a result: 'Strategy', 'Organization' and 'Planning'. In turn, the words identified as part of the peripheral system of social representation of Project Portfolio Management were 'Objective', 'Time' and 'Process'. The results allow us to understand Project Portfolio Management' perception between project users and its correlation with the theoretical framework discussed. Such information and insights can help make the unfamiliar in familiar, i.e., understand how Project Portfolio Management is represented, seen, and finally recognized by professionals in the field of Project. / Este estudo visa desenvolver uma investigação exploratória e quali-quantitativa, acerca da representação social da Gestão de Portfólio de Projetos. Para suportar o estudo teórico, foram coletados dados empíricos, por meio de questionários online respondidos por 211 profissionais da área de projetos. Com o uso da técnica de evocação de palavras e da teoria da representação social (TRS), os dados coletados foram sumarizados. Após o tratamento dos dados mediante o uso da técnica do quadro de quatro casas de Vergès, obteve-se como resultado a identificação do núcleo central e do sistema periférico da representação social da Gestão de Portfólio de Projetos. Por fim, os dados foram analisados utilizando-se a análise de conteúdo, de forma a que todas as informações fossem avaliadas para melhor interpretação do tema. Obteve-se como resultado, que o núcleo central da representação social da Gestão de Portfólio de Projetos é composto pelas seguintes palavras 'Estratégia', 'Organização' e 'Planejamento'. Por sua vez, as palavras identificadas como parte do sistema periférico da representação social da Gestão de Portfólio de Projetos foram: 'Objetivo', 'Prazo' e 'Processo'. Os resultados permitem compreender a representação social da Gestão de Portfólio de Projetos e sua correlação com o referencial teórico abordado. Tais informações e percepções podem auxiliar a tornar o não familiar em familiar, ou seja, compreender como a Gestão de Portfólio de Projetos é representada, percebida e, finalmente, reconhecida pelos profissionais da área de projetos.

Submitted by Pedro Luiz Albertin Bono Milan (pedrolalbertin@gmail.com) on 2017-02-22T20:43:42Z No. of bitstreams: 1 Gestao Ativa de Carteiras de Renda Fixa.pdf: 1715135 bytes, checksum: ad7e9b05127e972e34408c5fbe927dbd (MD5) / Approved for entry into archive by Pamela Beltran Tonsa (pamela.tonsa@fgv.br) on 2017-02-23T14:22:59Z (GMT) No. of bitstreams: 1 Gestao Ativa de Carteiras de Renda Fixa.pdf: 1715135 bytes, checksum: ad7e9b05127e972e34408c5fbe927dbd (MD5) / Made available in DSpace on 2017-02-23T14:35:42Z (GMT). No. of bitstreams: 1 Gestao Ativa de Carteiras de Renda Fixa.pdf: 1715135 bytes, checksum: ad7e9b05127e972e34408c5fbe927dbd (MD5) Previous issue date: 2017-02-14 / This study examines the contribution of active portfolio management in fixed income investments in Brazil. Active portfolio management is critical to the investment return, as it seeks to achieve rates of return above those of a market portfolio. The Efficient Market Hypothesis, which states that an informational dynamics prevents managers from anticipating price movements and taking up winning positions in the market, surrounds the activities of portfolio management. With regard to the controversy about the effectiveness of active management, the complete understanding about the topic has not yet been established. The contributions of the study is based on the decomposition of excess returns of the portfolios into managers' choices about duration, allocation and selection, which serves as support to apply a metric of dispersion in managers' expectations in fixed income portfolios. Through the expectations, it was possible to observe a positive effect of the managers in the performance of the funds, supporting the active management of the fixed income portfolios in the Brazilian market. / Este estudo examina a contribuição da gestão ativa para a rentabilidade das carteiras de investimentos de renda fixa no Brasil. A atuação do gestor é fundamental para o desempenho das carteiras de investimentos com gestão ativa, uma vez que ele busca acessar taxas de retorno acima das taxas de uma carteira de mercado. Permeando o exercício da gestão ativa de carteiras está a Hipótese de Eficiência de Mercado, que aponta para uma dinâmica informacional que impede os gestores de antever movimentos e assumir posições vencedoras no mercado. A discussão na literatura mostra que há controvérsia sobre os benefícios da gestão ativa e que a compreensão completa sobre o tema ainda não foi alcançada. O estudo parte da decomposição dos excessos de retornos das carteiras, pelas escolhas dos gestores sobre a duration, a alocação e a seleção individual dos ativos, permitindo a adaptação de uma métrica de dispersão de expectativas dos gestores em carteiras de renda fixa. Por meio das expectativas, foi possível observar um efeito positivo dos gestores no desempenho dos fundos, embasando a hipótese da contribuição da gestão ativa de carteiras de renda fixa no mercado brasileiro.

Made available in DSpace on 2010-04-20T21:00:29Z (GMT). No. of bitstreams: 3 rafaeljaborturma2004.pdf.jpg: 19565 bytes, checksum: 9fe13b15114451331e5e388307029987 (MD5) rafaeljaborturma2004.pdf: 532170 bytes, checksum: f71a18ba0313ae39ac8042e4a25ddee5 (MD5) rafaeljaborturma2004.pdf.txt: 171629 bytes, checksum: 405d0b510adacc24a36ff9e9e7806f82 (MD5) Previous issue date: 2007-01-18T00:00:00Z / This work is about the main issues of active credit portfolio management in commercial banks, which are abandoning the more traditional approach of credit management in favor of this new one. First, the paper presents a definition of active credit portfolio management, compares it with the traditional management and points out some reasons that led to the newer approach. Then, it adapts to credit portfolios the main concepts of Modern Portfolio Theory and presents some models on important data requirements for credit risk measurements like default probabilities, credit assets correlation and portfolio credit risk. It also presents the concepts of economic capital and Risk-Adjusted Return on Capital (RAROC) relatively to credit risk. This working paper discusses the active credit portfolio management functions and responsibilities and as a contribution presents, in light of this work’s considerations, a hypothetical structure of a credit department in a commercial bank which adopts active credit portfolio management. / Trata dos principais aspectos da administração ativa de portfólio de crédito a pessoa jurídica por bancos comerciais, que vem tomando o lugar do modo tradicional de administrar crédito. Inicialmente, apresenta a definição de administração ativa de portfólio de crédito, compara com a abordagem tradicional e aponta as motivações para o surgimento desta nova abordagem. Segue demonstrando as adaptações dos conceitos da Teoria Moderna de Portfólios aos portfólios de crédito e apresenta alguns modelos para a determinação de variáveis importantes para a mensuração do risco de crédito, tais como probabilidades de inadimplência, correlações entre ativos de crédito e risco de crédito de portfólio. Apresenta, ainda, o conceito de capital econômico e o Risk-Adjusted Return on Capital (RAROC) relativamente ao risco de crédito. Discute as responsabilidades e funções a serem desempenhadas pela administração ativa de portfólio de crédito e, como contribuição, apresenta, à luz das considerações deste trabalho, uma estrutura hipotética de um banco comercial que adota a administração ativa de portfólio de crédito.