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Cette thèse contient trois essais expérimentaux étudiant les causes possibles de l’inefficience des marchés des actifs. L’efficacité des marchés financiers est cruciale pour une bonne performance de l’économie dans son ensemble. La recherche en finance comportementale a montré que les investisseurs ne se comportent pas toujours de manière parfaitement rationnelle. Il est donc important de bien comprendre comment les individus créent leurs croyances concernant les décisions financières, ce qui les influence, comment elles affectent les marchés financiers, et donc l’efficacité des marchés.Les croyances individuelles relatives à une décision financière sont influencées par la façon dont les actifs sont déterminés. Le premier essai étudie l’impact du degré d’asymétrie des actifs échangés sur : premièrement, le développement du marché global, deuxièmement, la façon dont les individus perçoivent les actifs risqués en fonction de leurs préférences de risque, et troisièmement, la stabilité de la perception du risque de ces actifs dans le temps. Nos résultats suggèrent que l’asymétrie des actifs n’influence que marginalement le développement du marché, mais a un effet direct sur la perception du risque. Les décisions des agents qui interagissent sur les marchés financiers sont influencées par leurs préférences, leurs traits de personnalité et leurs biais comportementaux. Nous supposons que le profil personnel influe aussi bien sur le comportement individuel sur le marché, tels que l’activité d’échange, l’accumulation de stock et la performance, que sur le développement du marché global, comme la dynamique du prix ou le nombre d’actifs échangés. C’est l’objectif du deuxième essai. Nous constatons que les traits de personnalité sont les meilleurs prédicateurs de comportement du marché, à la fois individuel et global. Le troisième essai examine l’impact des incitations concurrentielles sur l’augmentation des anomalies de marché. Dans ce cas, allonger l’échelle de temps sur laquelle les comparaisons des performances sont basées, contribue-t-il à améliorer l’efficience des marchés financiers ? Nous constatons que le bonus à l’échelle de temps étendue aidera à réduire les anomalies du marché et à améliorer l’efficacité du marché financier. / This thesis contains three essays that focus on asset market inefficiency using the experimental method. Financial market efficiency is crucial for good performance of the economy as a whole. Research in behavioral finance has shown that investors do not always behave fully rationally and systematically violate the assumptions of the traditional framework. It is therefore important to fully understand how individuals create their expectations regarding financial decisions, what influences them, how they affect the global market, and therefore financial market efficiency.Individual expectations about a financial decision are influenced by the manner assets are determined. The first essay investigates the impact of skewness of traded assets on first, aggregate market development, second, the way individuals perceive risky assets according to their risk preferences, and third, the stability of the assets’ risk perception in time. Our results suggest that assets’ skewness influences only marginally the asset market development, but directly effects the individual risk perception.Agents interacting in financial markets are not fully rational. Their decisions are influenced by their preferences, personality traits and the degree they are prone to behavioral biases. We suppose that the personal profile influences individual market behavior, such as trading activity, stock accumulation and performance, and also the aggregate market development, such as price dynamic or turnover of traded assets. This is the objective of the second essay. We find that the personality traits are the best predictors of both individual and aggregate market behavior.The third essay examines whether competitive incentives do contribute to the increase of mispricing in financial markets. If they do, does the extended time horizon of performance comparison help to improve the control against excessive risk-taking and therefore improve financial market efficiency. We find that the bonuses with extended time horizon help to diminish mispricing and improve the financial market efficiency.

京都大学 / 0048 / 新制・課程博士 / 博士(経済学) / 甲第21439号 / 経博第586号 / 新制||経||287(附属図書館) / 京都大学大学院経済学研究科経済学専攻 / (主査)教授 柴田 章久, 教授 小佐野 広, 准教授 高橋 修平 / 学位規則第4条第1項該当 / Doctor of Economics / Kyoto University / DGAM

本文嘗試利用兩國動態一般模型 (dynamic stochastic general equilibrium, DSGE)架構，分析資本市場存在的不對稱摩擦現象，藉由設定不同兩國債券調整成本的三種形式，模擬兩國總體變數在本國生產力衝擊下的影響分析。本文模型架構主要遵循Bergin et al. (2007)，文中廠商的商品訂價方式採生產者貨幣訂價 (producer currency pricing, PCP)，即廠商的訂價行為依照本國貨幣作為計價單位，透過名目匯率轉換為外國消費者面對的商品價格，單一價格法則 (the law of one price, LOP)在此訂價方式下成立；本文模型的商品訂價方式改採當地貨幣訂價 (local currency pricing, LCP)，本國廠商以當地貨幣作為計價單位訂定其商品價格，該訂價方式廣為近來文獻所採用，並符合已開發國家之訂價行為，故採用此訂價方式。 電腦模擬本文資本市場的三種不同設定，在本國生產力具有 的外生衝擊下，資本邊際生產力的提高致使本國廠商增加投資，代表性個人資金借貸的管道可透過本國債券與外國債券進行融通，而本國代表性個人在買賣本國債券時無需負擔債券調整成本，在購買外國債券時則需負擔債券調整成本，此一設定即在反映資金借貸的摩擦情形；變數的動態模擬結果顯示，資本市場的不對稱摩擦，將透過兩國間的經常帳變化條件，影響資金借貸的流通，對於兩國總體經濟變數具有顯著影響。

Questo lavoro è diviso in tre capitoli. Il primo capitolo fornisce una rassegna della letteratura economica riguardo gli effetti della liberalizzazione finanziaria sulla volatilità macroeconomica e descrive il ruolo delle politiche macroprudenziali nel favorire stabilità economica. Il secondo capitolo presenta un modello dinamico e stocastico di equilibrio economico generale neo-keynesiano, con rigidità reali e nominali e LAMP, per studiare l'impatto della liberalizzazione finanziaria sulla volatilità macroeconomica. La liberalizzazione finanziaria è modellata lungo due direzioni: il margine estensivo (un aumento del numero di consumatori che accedono ai mercati finanziari) e il margine intensivo (un allentamento dei criteri patrimoniali richiesti alle famiglie per l'ottenimento di credito). In contrasto con la teoria convenzionale, i risultati suggeriscono che una maggiore liberalizzazione finanziaria comporta un aumento della volatilità macroeconomica in presenza di famiglie altamente indebitate. Il terzo capitolo presenta un'estensione del modello di Kyotaki e Moore (Credit Cycles (1997)) in grado di tenere in considerazione del ruolo dello "spread" tra il tasso interesse attivo e passivo nel meccanismo di trasmissione di shocks esogeni. Si studia in che modo il meccanismo di amplificazione garantito dalla presenza di mutuatari soggetti a vincoli di garanzia è modificato quando anche il prestatore è soggetto ad un vincolo di valore massimo sul credito erogabile (capital adequacy requirement). I risultati suggeriscono che un allentamento del "capital adequacy requirement" aumenta ulteriormente il meccanismo di trasmissione originale in risposta a shocks esogeni alla produttività. / This work is divided in three chapters. The first chapter provides an overview of the economic literature dealing with the effects of financial liberalization on macroeconomic volatility, and describes how macroprudential policy can be used to induce economic stabilization. The second chapter presents a New Keynesian DSGE model with real and nominal frictions and LAMP to study the implications of financial liberalization on aggregate volatility. Financial liberalization is modeled along the extensive margin (number of consumption smoothers) and the intensive margin (loan-to-value ratio). In contrast to the conventional view, our findings suggest that financial liberalization leading to highly leveraged households increases macroeconomic volatility. The third chapter presents an extension of the Kiyotaki and Moore model of Credit Cycles (1997): the original framework is augmented to account for the role of financial intermediation and interest rate spreads in the transmission of exogenous shocks. We study how the amplification mechanism guaranteed by the presence of collateralized borrowers is altered in the presence of the additional constraint faced by lenders. We find that if the lender's collateral constraint binds, loosening the capital adequacy requirement burdening on lenders increases the original amplification mechanism in response to exogenous productivity shocks through the interest rate spread.

The diploma thesis is classified in chapters which are then classified in subheadings. The aim of the thesis was the analysis and the course of the financial crisis in the global economy while I focused on the present economic crisis. In the first chapter I analyse the causes, course and possible subsequent solutions while I focus on the currency, banking and the crisis at the asset market that preceded the genesis of the present economic crisis, I demonstrate their synthesis by the Big Depression 1929. The next chapter has practical application on the present crisis, the analysis of the securitisation as the trigger of it, I also evaluate the situation at the stock and real estate market before and after the crisis genesis and analyse the strategic factors that catalysed the formation of the market bubbles. The last chapter evaluates the steps that the US Government underwent to alleviate the crisis effects and post the measures that are of mayor importance to prevent the formation of the future crisis.

Univ., Diss--Bielefeld, 2007.

The dimploma thesis deals with the determination of the market value of equity Shean, Ltd., which is focused on creation of e-shop and websites projects. The thesis consists of 5 parts: Strategic Analysis, Financial Analysis, Valuation of Software OmnixCMS, Analysis of value generators and Valuation. The paper used valuation methods EVA Entity and market comparison method. The work also includes valuation of an intangible asset for valuation purposes by EVA Entity.