Den finansiella utbildningen präglas av klassisk finansteori som förutsätter att den finansiella marknaden prissätts rationellt. Det finns dock ett gap mellan klassisk finansteori och verklighet. Syftet har därför varit att se hur en investerare genom ökad medvetenhet om dessa anomalier kan förbättra aktiemarknadsanalys och investeringsbeslut. Studien har genomförts med ett kvalitativt tillvägagångssätt och baserats på en litteraturstudie som kompletterats med intervjuer. Under studien har en bild av investeraren som begränsat rationell framträtt i linje med de teorier som har redovisats. Där flockbeteende vuxit fram som det mest påtagliga stödet för att den klassiska finansteorin inte är att likställa med marknadens dynamiska verklighet. I studien har teorierna inom behavioral finance tematiserats och redogjorts för mot bakgrund av det empiriska underlaget. Gemensamt är att investerare tenderar att vara begränsat rationella. Psykologin är ständigt närvarande i marknaden och påverkar investerare i deras beslutsfattande i större utsträckning än vad klassisk finansteori ger utrymme för. Detta är ett av de främsta skälen till varför behavioral finance och dess teorier borde bli ett komplement till den klassiska finansteorin. Slutsatsen är att det finns möjligheter för investerare att förbättra aktiemarknadsanalys och investeringsbeslut genom att ta teorierna inom behavioral finance i beaktning. / The financial education is characterized by classical financial theory that assumes that the fi-nancial market is priced rationally. However, there is a gap between classic finance theory and reality. The aim has been to see how an investor through increased awareness of these anomalies can improve stock market analysis and investment decisions. The study was conducted with a qualitative approach and was based on a literature review supplemented by interviews. During the study, proofs of semi-rational investors have emerged in line with the theories of behavioral finance. Herd behavior has emerged as the most tangible proof that the classical financial theory is not comparable to the dynamic reality of the market. In the study, theories of behavioral finance has been thematised and explained in the light of the empirical basis. In common for those theories is that investors tend to be semi-rational. The psychology is always present in the market and affects investors in their decision making to a greater extent than classic finance theories allow. It is one of the main reasons why it should be implemented as a complement to the traditional financial theories. The conclusion is that there is potential for investors to improve stock market analysis and investment decisions by taking theories of behavioral finance into consideration.

This dissertation investigates the immediate effects of securities analysts' statements on shareholders. Two of the most important questions posed in research on capital markets are when and how analysts matter. A time at which analysts might matter is when they make pronouncements regarding a firm or industry; ways in which they might matter is through their word choices and the context of their words in these pronouncements. The question, "Do analysts matter?," has been explored before and has been answered in terms of the securities analysts' quantitative earnings forecasts and their effects on the capital markets. I investigated the discourse used in these earnings forecasts and other statements regarding the focal firm or industry in analyst reports. Therefore, I answered the question, "Do analysts matter, as defined by their words used, and do they change investors' judgments about a firm's future prospects?" The study employed content analysis of analysts' language to determine whether the words they use in their statements cause a response in the market. The study also investigated how the analysts' language differs based on their affiliations. To examine this question, I drew on the efficient markets theory from finance. Data sources included the Chicago Centre for Research on Security Prices (CRSP) tapes and First Call analyst reports. The research applied quantitative computer text analysis, the event study methodology, and regression to test the hypotheses. By studying statements from the All-American Team analysts, the present work shows that investors do consider the pronouncement of analyst statements significant. The results demonstrate support for the idea that analyst statements have an impact on the stock market. Moreover, the statement characteristics have an incremental effect on the market response. The key findings illustrate that words in the analysts' report matter. The analyst characteristics were instrumental in deciding the words that the analysts use in their reports. Finally, analysts use words to signal information to investors when they are pressured from investment banking relationships. / text

Given that Congressional hearings are established legislative and political information generating tools for committee members engaging in oversight, fact finding, and agenda setting, I examine whether or not hearings provide information to actors outside of government. More specifically, does testimony by corporate representatives provide new information to the stock market about the future profitability of certain firms? In this paper, I utilize a new dataset collected by Workman and Shafran (2009) that includes 3,300 witnesses (and their affiliations) who testified in business regulation hearings between 2000 and 2005. I identify 99 publicly traded firms with representatives testifying in 117 hearings, and utilize event study methodology to estimate the effects of testimony events on the daily stock returns of corresponding firms. I find that, even with the ‘expectedness’ of Congressional hearings, such events negatively impact stock returns both generally as well as with greater magnitude under certain conditions. This event effect is largest for politically sensitive firms and for hearings held in the Senate. When selecting a portfolio of firms that combines all significant conditions, I determine that the ‘upper bound’ of the effect is one-half a standard deviation in daily returns (or a change of -1.6% in prices). Congressional hearings with corporate testimony do, in fact, generate information for external actors. / text

There is evidence that globalization, economic assimilation and integration among countries and their financial markets have increased correlation among stock markets and the correlation may in turn impact investors’ allocation of their assets and economic policies. We have conducted a quantitative study with daily stock index quotes for the period January 2000 and December 2009 in order to measure the eventual correlation between the markets of ASEAN+3. This economic integration consists of; Indonesia, Malaysia, Philippines, Singapore, Thailand, China, Japan and South Korea. Our problem formulation is:Are the stock markets of ASEAN+3 correlated?Does the eventual correlation change under turbulent market conditions?In terms of the eventual correlation, discuss: is it possible to diversify an investment portfolio within this area?The purpose of the study is to conduct a research that will provide investors with information about stock market correlation within the chosen market. We have conducted the study with a positivistic view and a deductive approach with some theories as our starting point. The main theories discussed are; market efficiency, risk and return, Modern Portfolio Theory, correlation and international investments. By using the financial datatbase, DataStream, we have been able to collect the necessary data for our study. The data has been processed in the statistical program SPSS by using Pearson correlation.From the empirical findings and our analysis we were able to draw some main conclusions about our study. We found that most of the ASEAN+3 countries were strongly correlated with each other. Japan showed lower correlation with all of the other countries. Based on this we concluded that economic integration seems to increase correlation between stock markets. When looking at the economic downturn in 2007-2009, we found that the correlation between ASEAN+3 became stronger and positive for all of the countries. The results also showed that the correlation varies over time. We concluded that it is, to a small extent, possible to diversify an investment portfolio across these markets.

No description available.

Bakalauro baigiamajame darbe tiriama, ar akcijų rinkos signalizavo apie ekonomikos pokyčius 2000-2012 m. laikotarpiu Baltijos šalyse. Pirmojoje darbo dalyje pateikiami teoriniai ekonominio ciklo ir jo indikatorių aspektai, analizuojamos priežastys, kodėl akcijų rinkos gali būti vadinamos ekonomikos indikatoriais bei išanalizuojami orientuojančio ryšio tarp akcijų rinkų ir ekonominio ciklo moksliniai tyrimai. Antrojoje, tiriamojoje dalyje, siekiama išsiaiškinti ar akcijų rinkos Lietuvoje, Latvijoje ir Estijoje gali būti vadinami orientuojantys ekonomikos ciklo sekos indikatoriais. Tam kad būtų ištirtas šis ryšys, buvo pasirinkti keturi makroekonominiai rodikliai (BVP, neto darbo užmokestis, mažmeninė prekyba, pramoninės produkcijos apimtis) ir grafinės analizės, Grangerio priežastingumo testo bei VAR modelio pagalba šis ryšys buvo tiriamas. Rezultatai parodė, jog tik iš dalies akcijų rinkos yra orientuojantis ekonomikos ciklo sekos indikatorius Baltijos valstybėse, nes reikšmingas ir patikimas ryšys buvo rastas tik su BVP ir pramoninės produkcijos apimtimis. / The thesis investigates if the stock markets signaled about the economic changes for the period of 2000 – 2012 in the Baltic States. In the first part of this work the theoretical overview on economic cycle and its indicator aspects are introduced. What is more, the circumstances why the stock markets can be described as economic indicators are also presented. Moreover, the scientific researches about the orientation links between the stock markets and the economic cycle are analyzed in this final work. The practical part of the work seeks to find out if the stock markets in Lithuania, Latvia and Estonia can be called leading indicators of economic cycle sequence. In order to analyze these relations, four macroeconomic indicators were chosen (GDP, net earnings, retail and volume of industrial production). With the help of graphic analysis, Granger Causality Test and VAR model this relation was analyzed. The results show that the stock markets are just partially leading indicators of economic cycle sequence in the Baltic States because the significant and reliable relation was found only with the volumes GDP and industrial production.

Baltijos šalių akcijų rinkų istorija yra trumpa, tuo tarpu akcijų kainų ciklų nagrinėjimui bei galimam vėlesniam prognozavimui reikalinga ilgesnė duomenų imtis. Dėl šios priežasties šiame darbe bus siekiama išsiaiškinti ar šių šalių akcijų rinkos elgesys yra panašus į Skandinavijos šalių akcijų rinkų pokyčius. Panašumams ar skirtumams atskleisti teorinėje dalyje buvo nagrinėjami akcijų rinkos cikliškumo charakteristikos, o taip pat ciklų atsiradimo ir jų koreliacijos sąlygos. Antrojoje dalyje šalių ekonominės situacijos nagrinėjimui pasirinkti tokie rodikliai kaip: infliacijos ir BVP dinamika. O akcijų ciklai buvo identifikuojami pagal modifikuotą NBER metodą. Darbe buvo iškeltos trys hipotezės, kurios buvo nagrinėjamos tre�����iojoje darbo dalyje. Panašumas buvo nagrinėjamas trimis aspektais, kurie yra iškeltų hipotezių pagrindas: akcijų rinkos indekso charakteristikos, indeksų pokyčių koreliacija, ekonominių sąlygų akcijų kainų indeksų pakilimo metu panašumas. Patvirtintos buvo tik antroji ir iš dalies trečioji hipotezės. Vertinant bendrai tris hipotezes, Skandinavijos šalių patirtis netinka Baltijos šalių akcijų rinkos tendencijoms prognozuoti, nes egzistuoja daug skirtumų. / The history of stock markets in Baltic states is short, whereas analysis of stock market cycles requires longer time series data. Therefore, the objective of this thesis is to find out whether the behavior of stock market in above mentioned countries is similar to Scandinavian stock market changes. In theoretical chapter of paper work characteristics and conditions of stock market cycles were examined to determine similarities or differences in analyzed countries. Second chapter studies economic background and identifies stock market cycles using NBER method. Three hypotheses were raised based on three aspects of stock market cycles: stock market cycle characteristics, correlations of stock indices’ changes and economic background in light of stock cycles’ peaks. Only second and third hypotheses were proved. Assessing all three hypotheses Scandinavian stock market history is not suitable to make prognosis for stock markets cycles in Baltic states because of lots of differences.

In this thesis, machine learning algorithms are used in NLP to get the public sentiment on individual stocks from social media in order to study its relationship with the stock price change. The NLP approach of sentiment detection is a two-stage process by implementing Neutral v.s. Polarized sentiment detection before Positive v.s. Negative sentiment detection, and SVMs are proved to be the best classifiers with the overall accuracy rates of 71.84% and 74.3%, respectively. It is discovered that users’ activity on StockTwits overnight significantly positively correlates to the stock trading volume the next business day. The collective sentiments for afterhours have powerful prediction on the change of stock price for the next day in 9 out of 15 stocks studied by using the Granger Causality test; and the overall accuracy rate of predicting the up and down movement of stocks by using the collective sentiments is 58.9%.

In a crisis managers are confronted with a dilemma between an ethical responsibility to respond to victims and their fiduciary responsibility to protect shareholder’s wealth. This study provides empirical evidence that a company apology made during a crisis can have a positive or negative effect on stock price depending on the level of responsibility for a crisis born by the firm. We use Coombs’ (2007) Situational Crisis Communication Theory to classify crises and appropriate re-sponse type for 235 unique crises between 1983 and 2013. We use event study methodology to study the effect of an apology on returns. The results show that managers apologizing to those affected for a victim or accidental crisis jeopardize shareholder wealth; however offering an apology for a preventable crisis offsets this negative effect.

Šiandieniniu globalizacijos ir modernių technologijų laikotarpiu nebeliko neprieinamų rinkų. Kapitalo srautai tapo tokiais mobiliais, kad per keletą valandų kapitalą galima perkelti iš vienos rinkos į kitą. Informacinių technologijų pagalba informacija tapo prieinama kiekvienam vartotojui. Besivystančios Centrinės ir Rytų Europos akcijų rinkos per paskutinius penketą metų netik pritraukė daug investuotojų dėmesio, bet užtikrino didelį investicijų pelningumą. Vidurio Balkanų akcijų rinkos dar nepažįstamos, tačiau laikomos labai perspektyviomis, didelės viltys siejamos su Europos sąjungos investicijomis ir politinės sistemos stabilumo užtikrinimu. Darbo objektas – Vidurio Balkanų regiono valstybių, Kroatijos, Serbijos, Bosnijos ir Hercegovinos akcijų rinkos. Darbo tikslas – įvertinti Vidurio Balkanų regiono valstybių, Kroatijos, Serbijos ir Bosnijos ir Hercegovinos makro ir mikro aplinką investicijoms akcijų rinkose, patikrinti akcijų portfelio optimizavimo teorijos pritaikymo galimybes praktikoje, esant skirtingoms rinkos tendencijoms. Siekiant nurodyto tikslo reiks išspręsti tokius pagrindinius uždavinius: • Išanalizuoti Vidurio Balkanų regiono valstybių makroekonominius rodiklius; • Apžvelgti verslo aplinką makro lygiu; • Įvertinti prekybos vertybiniais popieriais galimybes ir apribojimus, prekybos mastą; • Įvertinti akcijų rinkos pelningumą ir rizikingumą; • Atrikti tinkamiausias akcijas optimaliam akcijų portfeliui sudaryti pagal V. Šarpo metodiką; • Sudaryti šešis akcijų... [toliau žr. visą tekstą] / There are no inaccessible stock markets in these technology and globalization modern-days. Financial capital is very mobile, during several ours financial capital can be transferred from one market to another. Using information systems, new modern technologies, information is accessible for all users. Central and East Europe stock markets during five years were very attractive for investors, because the level risk of investments and profit was appropriate. Central Balkan stock markets are new area for investors and speculators. There is big positive influence from European Union to stabilize political and economical situation in Balkans. This is reason to trust that investments are safety and can be profitable. The mane purpose is to evaluate macro and micro environment for investments in stock market of Central Balkan region countries, Croatia, Serbia, Bosnia and Herzegovina and verify optimal stock portfolio theory (W. Sharpe) in practice, when market is in growing and downgrade trends. There are tasks to find the answers to the mane goal: • To make analysis for macro economical indicators of Central Balkan region countries; • To make business environmental review in macro level; • To evaluate opportunities and limitations to trade securities in stock markets; • To evaluate stock markets risk and profit; • To separate stocks for optimal stock portfolio construction using W. Sharpe model; • To make six stock portfolios when stock market is in growing and downgrade trends.; •... [to full text]