Made available in DSpace on 2010-04-20T20:08:22Z (GMT). No. of bitstreams: 0 Previous issue date: 1995-03-27T00:00:00Z / Trata da determinação das taxas de desconto ajustadas ao risco para avaliação, pelo método do fluxo de caixa descontado, do valor econômico de estatais brasileiras privatizadas no período 1991-1992. Utiliza conceitos financeiros como valor presente líquido, eficiência de mercado, capital asset pricing model e risco sistemático, que são aplicados a dados do mercado de capitais e demonstrativos financeiros das empresas. Com as metodologias de regressão linear simples múltipla, desenvolve uma equação que relaciona índices fundamentais com os coeficientes de risco sistemático (betas) das empresas de uma amostra, que por sua vez serve para estimar os coeficientes de risco das estatais.

O objetivo deste trabalho é analisar o poder prescritivo da Behavioral Finance (Shleifer, 2000) para a gestão de ativos financeiros no mercado de capitais, contrastando-a com as implicações da Hipótese dos Mercados Eficientes (FAMA, 1970). A meta específica é identificar quais conjuntos de técnicas são apropriados para a precificação de títulos ou ações levando-se em conta a interação dos respectivos modelos teóricos com a evidência empírica do comportamento dos investidores. A presente análise será feita através do mapeamento dos processos decisórios dos investidores segundo a Hipótese dos Mercados Eficientes (HME) e a Behavioral Finance (BF), identificando os pressupostos dos aludidos modelos e suas implicações e confrontando-os com a evidência obtida através de experimentos em laboratório que testem determinadas hipóteses sobre o comportamento de investidores. Discute-se a contribuição positiva de uma linha de pesquisa, a BF, que explora a racionalidade limitada dos agentes individuais em suas escolhas e os efeitos que os investidores experimentam ao tomarem decisões de investimentos. Metodologicamente, a BF absorve as conclusões sobre o mundo real obtidas a partir da observação experimental (DAVIS & HOLT, 1993; SMITH, 1987, 1994; MILLER, 2002) para daí elaborar modelos descritivos, contrapondo-se assim ao método econômico dedutivista lógico (POPPER, 1959). Há uma tensão não resolvida acerca da gestão de ativos que envolve a escolha entre dois métodos: a gestão ativa ou a gestão passiva; e isto depende diretamente da possibilidade (ou não) de assegurarmos a HME como base fidedigna e única para a construção das técnicas apropriadas. Além da introdução, o trabalho conta com mais três capítulos. No capítulo 2, abordamos a gestão científica dos investimentos e as proposições do CAPM dentro do paradigma da eficiência de mercado e da precificação de ações e títulos mobiliários. Também se aborda as implicações da BF para a administração de ativos no mercado de capitais. O capítulo 3 apresenta a metodologia experimental que capta a influência da análise técnica (grafista) sobre a avaliação de ativos financeiros. Para isto, replica-se um dos tratamentos experimentais de Mussweiler e Schneller (2003) com uma amostra de estudantes de economia com baixo nível de experiência em investimentos. Também, como forma de analisar a aplicabilidade da análise fundamentalista, utiliza-se os resultados experimentais obtidos por Haruvy, Lahav e Noussair (2007) e do referencial teórico de Camerer e Fehr (2006) e Lo (2004, 2005). O poder prescritivo da teoria financeira é refinado ao incorporar os fenômenos explicados pela pesquisa comportamental na precificação e gestão de ativos. A análise técnica é descrita através dos efeitos dos vieses cognitivos presentes na natureza comparativa humana (KAHNEMAN & MILLER, 1983; MUSSWEILLER, 2003). A análise fundamentalista é justificada pela existência dos graus de antecipação da hierarquia cognitiva (CAMERER, HO & CHONG, 2004). O fenômeno da existência de uma ampla prática de gestão ativa é explicado pela observação de um processo adaptativo de convergência dos preços de mercado aos valores fundamentais dos ativos. A Hipótese dos Mercados Adaptativos proposta por Lo (2004, 2005) concilia a HME com o poder prescritivo da BF estabelecendo a primeira como um caso extremo que serve de referencial para a mensuração da eficiência relativa de determinado mercado. Além disso, a BF permite que a teoria financeira explique um maior número de fenômenos com poucos pressupostos adicionais e sem necessitar a auto-exclusão e a independência dos programas de pesquisa. / The goal of this work is to analyze the prescriptive power of Behavioral Finance (SHLEIFER, 2000) for asset management in capital market, contrasting it with Efficient Markets Hypothesis implications (FAMA, 1970). Specifically, we seek to identify what techniques are appropriate in asset pricing, taking into account the interaction between empirical evidence obtained from empirical data and respective theoretical models. We map investors’ decision process in accordance with Efficient Markets Hypothesis (EMH) and Behavioral Finance (BF), identifying the assumptions and implications, and confront them with laboratorial experimental evidence, which test hypothesis about investors’ behavior. We discuss the positive contribution of Behavioral Finance’s research program, which explores bounded rationality in human choices and the effects experimented by investors in their decision making. Methodologically, Behavioral Finance absorbs the conclusions about real world obtained from lab experiments (DAVIS & HOLT, 1993; SMITH, 1987, 1994; MILLER, 2002) in order to create descriptive models, opposing, in this way, to the logical deductivism (POPPER, 1959) of conventional economics. Asset management has an unresolved tension which involves deciding between two methods: active or passive portfolio management; and this answer depends directly on the possibility (or not) for us to assume EMH as the strongest and only source to build appropriate strategies. Besides the introduction content, the work has three more chapters. In chapter 2, we explore scientific asset management and CAPM (SHARPE, 1964) propositions about market efficiency and security analysis paradigm. We also discuss the BF implications in asset management. Chapter 3 presents the experimental methodology which identifies technical analysis (chartist) influence in valuation process of financial assets. For this, we replicate an experimental treatment presented in Mussweiller and Schneller (2003) in a sample of low experienced Economics students. For the applicability of fundamentalist analysis, we use experimental results obtained by Haruvy, Lahav and Noussair (2007) and Camerer and Fehr (2006) and Lo (2004, 2005) qualitative approaches. The prescriptive power of financial theory is refined when it includes the phenomena explained by behavioral research in asset pricing and portolio managing. Technical analysis can be described using the cognitive bias effects present in human comparative nature (KAHNEMAN & MILLER, 1983; MUSSWEILLER, 2003). Fundamentalist analysis is justified by the cognitive hierarchy degrees of anticipation (CAMERER, HO & CHONG, 2004). The existence of series of active portfolio management practices is explained by the experimental observation that market prices converge to fundamental values in an adaptive process. Adaptive Markets Hypothesis (AMH) proposed by Lo (2004, 2005) reconciles BF with EMH, understanding the former as an extreme case which serves as reference point for measuring relative efficiency of a specific market. Besides, BF provides financial theory explanations about a greater range of phenomena, adding few new assumptions and with no need to understand it as an independent and self-excluding approach.

O objetivo deste trabalho é analisar o poder prescritivo da Behavioral Finance (Shleifer, 2000) para a gestão de ativos financeiros no mercado de capitais, contrastando-a com as implicações da Hipótese dos Mercados Eficientes (FAMA, 1970). A meta específica é identificar quais conjuntos de técnicas são apropriados para a precificação de títulos ou ações levando-se em conta a interação dos respectivos modelos teóricos com a evidência empírica do comportamento dos investidores. A presente análise será feita através do mapeamento dos processos decisórios dos investidores segundo a Hipótese dos Mercados Eficientes (HME) e a Behavioral Finance (BF), identificando os pressupostos dos aludidos modelos e suas implicações e confrontando-os com a evidência obtida através de experimentos em laboratório que testem determinadas hipóteses sobre o comportamento de investidores. Discute-se a contribuição positiva de uma linha de pesquisa, a BF, que explora a racionalidade limitada dos agentes individuais em suas escolhas e os efeitos que os investidores experimentam ao tomarem decisões de investimentos. Metodologicamente, a BF absorve as conclusões sobre o mundo real obtidas a partir da observação experimental (DAVIS & HOLT, 1993; SMITH, 1987, 1994; MILLER, 2002) para daí elaborar modelos descritivos, contrapondo-se assim ao método econômico dedutivista lógico (POPPER, 1959). Há uma tensão não resolvida acerca da gestão de ativos que envolve a escolha entre dois métodos: a gestão ativa ou a gestão passiva; e isto depende diretamente da possibilidade (ou não) de assegurarmos a HME como base fidedigna e única para a construção das técnicas apropriadas. Além da introdução, o trabalho conta com mais três capítulos. No capítulo 2, abordamos a gestão científica dos investimentos e as proposições do CAPM dentro do paradigma da eficiência de mercado e da precificação de ações e títulos mobiliários. Também se aborda as implicações da BF para a administração de ativos no mercado de capitais. O capítulo 3 apresenta a metodologia experimental que capta a influência da análise técnica (grafista) sobre a avaliação de ativos financeiros. Para isto, replica-se um dos tratamentos experimentais de Mussweiler e Schneller (2003) com uma amostra de estudantes de economia com baixo nível de experiência em investimentos. Também, como forma de analisar a aplicabilidade da análise fundamentalista, utiliza-se os resultados experimentais obtidos por Haruvy, Lahav e Noussair (2007) e do referencial teórico de Camerer e Fehr (2006) e Lo (2004, 2005). O poder prescritivo da teoria financeira é refinado ao incorporar os fenômenos explicados pela pesquisa comportamental na precificação e gestão de ativos. A análise técnica é descrita através dos efeitos dos vieses cognitivos presentes na natureza comparativa humana (KAHNEMAN & MILLER, 1983; MUSSWEILLER, 2003). A análise fundamentalista é justificada pela existência dos graus de antecipação da hierarquia cognitiva (CAMERER, HO & CHONG, 2004). O fenômeno da existência de uma ampla prática de gestão ativa é explicado pela observação de um processo adaptativo de convergência dos preços de mercado aos valores fundamentais dos ativos. A Hipótese dos Mercados Adaptativos proposta por Lo (2004, 2005) concilia a HME com o poder prescritivo da BF estabelecendo a primeira como um caso extremo que serve de referencial para a mensuração da eficiência relativa de determinado mercado. Além disso, a BF permite que a teoria financeira explique um maior número de fenômenos com poucos pressupostos adicionais e sem necessitar a auto-exclusão e a independência dos programas de pesquisa. / The goal of this work is to analyze the prescriptive power of Behavioral Finance (SHLEIFER, 2000) for asset management in capital market, contrasting it with Efficient Markets Hypothesis implications (FAMA, 1970). Specifically, we seek to identify what techniques are appropriate in asset pricing, taking into account the interaction between empirical evidence obtained from empirical data and respective theoretical models. We map investors’ decision process in accordance with Efficient Markets Hypothesis (EMH) and Behavioral Finance (BF), identifying the assumptions and implications, and confront them with laboratorial experimental evidence, which test hypothesis about investors’ behavior. We discuss the positive contribution of Behavioral Finance’s research program, which explores bounded rationality in human choices and the effects experimented by investors in their decision making. Methodologically, Behavioral Finance absorbs the conclusions about real world obtained from lab experiments (DAVIS & HOLT, 1993; SMITH, 1987, 1994; MILLER, 2002) in order to create descriptive models, opposing, in this way, to the logical deductivism (POPPER, 1959) of conventional economics. Asset management has an unresolved tension which involves deciding between two methods: active or passive portfolio management; and this answer depends directly on the possibility (or not) for us to assume EMH as the strongest and only source to build appropriate strategies. Besides the introduction content, the work has three more chapters. In chapter 2, we explore scientific asset management and CAPM (SHARPE, 1964) propositions about market efficiency and security analysis paradigm. We also discuss the BF implications in asset management. Chapter 3 presents the experimental methodology which identifies technical analysis (chartist) influence in valuation process of financial assets. For this, we replicate an experimental treatment presented in Mussweiller and Schneller (2003) in a sample of low experienced Economics students. For the applicability of fundamentalist analysis, we use experimental results obtained by Haruvy, Lahav and Noussair (2007) and Camerer and Fehr (2006) and Lo (2004, 2005) qualitative approaches. The prescriptive power of financial theory is refined when it includes the phenomena explained by behavioral research in asset pricing and portolio managing. Technical analysis can be described using the cognitive bias effects present in human comparative nature (KAHNEMAN & MILLER, 1983; MUSSWEILLER, 2003). Fundamentalist analysis is justified by the cognitive hierarchy degrees of anticipation (CAMERER, HO & CHONG, 2004). The existence of series of active portfolio management practices is explained by the experimental observation that market prices converge to fundamental values in an adaptive process. Adaptive Markets Hypothesis (AMH) proposed by Lo (2004, 2005) reconciles BF with EMH, understanding the former as an extreme case which serves as reference point for measuring relative efficiency of a specific market. Besides, BF provides financial theory explanations about a greater range of phenomena, adding few new assumptions and with no need to understand it as an independent and self-excluding approach.

abstract: This dissertation is a collection of three essays relating household financial obligations to asset prices. Financial obligations include both debt payments and other financial commitments. In the first essay, I investigate how household financial obligations affect the equity premium. I modify the standard Mehra-Prescott (1985) consumption-based asset pricing model to resolve the equity risk premium puzzle. I focus on two channels: the preference channel and the borrowing constraints channel. Under reasonable parameterizations, my model generates equity risk premiums similar in magnitudes to those observed in U.S. data. Furthermore, I show that relaxing the borrowing constraint shrinks the equity risk premium. In the Second essay, I test the predictability of excess market returns using the household financial obligations ratio. I show that deviations in the household financial obligations ratio from its long-run mean is a better forecaster of future market returns than alternative prediction variables. The results remain significant using either quarterly or annual data and are robust to out-of-sample tests. In the third essay, I investigate whether the risk associated with household financial obligations is an economy-wide risk with the potential to explain fluctuations in the cross-section of stock returns. The multifactor model I propose, is a modification of the capital asset pricing model that includes the financial obligations ratio as a ``conditioning down" variable. The key finding is that there is an aggregate hedging demand for securities that pay off in periods characterized by higher levels of financial obligations ratios. The consistent pricing of financial obligations risk with a negative risk premium suggests that the financial obligations ratio acts as a state variable. / Dissertation/Thesis / Doctoral Dissertation Economics 2017

Investors and fund managers have, since the start of financial markets, always been on the lookout for new ways of beating the market. However, researchers of the Efficient Market Hypothesis have shown that markets are usually highly efficient, implying that there are few possibilities of earning returns that are higher than the market returns, on a risk adjusted basis. Prevailing theories, such as the Capital Asset Pricing Model, has shown that increased return must stem from taking on higher risk. Though, this model’s explanatory power has been challenged by numerous researchers who propose different factors, other than market risk, which could hold explanatory power when it comes to returns in the stock market. This area of research is called factor investing, and has shown that factors such as momentum, size, and value, all can lead to outperforming the market.This study examines how a model based on two common factors, quality and value, would have performed on the Swedish stock market. The study is based on five portfolios chosen by the quality and value factors, each one held for 5 years, examined over a 25-year time span and uses the capital asset pricing model as a tool to measure whether or not the selected factors outperform the market. The study has taken a quantitative approach to examining the research question, using a positivistic and objectivistic view.The results of the study show evidence that the quality and value factors can lead to significant outperformance relative to the market index. Both total returns and risk adjusted returns were higher than the market index for some of the portfolios created using the quality and value factors. Furthermore, statistical evidence was found of that CAPM not fully explains all returns, and thus, that the returns are in part explained by the quality and value factors. The findings led to the conclusion that the quality and value factors does, in fact, hold explanatory power beyond that of CAPM. Purchasing quality companies at a reasonable price is shown to be a sound investment strategy, and that a portfolio created using the quality and value factors has good chances of outperforming the market index.

Cette thèse porte sur les choix des investisseurs de long terme en matière de gestion de portefeuille ainsi que sur les primes de risque offertes par le marché financier Français. Les travaux réalisés dans cette thèse se proposent d’apporter un éclairage ainsi que des arguments en faveur des placements à caractère long, risqué et productifs.En matière de gestion de portefeuille, ce travail apporte plusieurs réponses en matière d’allocation d’actifs et de stratégies optimales d’investissement. Tout d’abord, et en se basant sur des indices boursiers actions et obligataires, il s’avère que le marché français est efficient au sens faible et que l’hypothèse de marche aléatoire n’y est pas rejetée. Ce premier résultat implique que les rentabilités anormales que l’on peut mesurer sur ce marché émanent de facteurs de risque à rémunérer et non pas d’anomalies. Ainsi, dans le deuxième article, on démontre une prime de valeur persistante au sein du marché Français sur la période étudiée. Par contre, la prime de taille n’est observable que pour les titre à ratio valeur comptable sur valeur de marché très faibles ou très élevés ainsi que pour les titres ayant une rentabilité cumulée passée élevée. Aussi, investir dans les entreprises à momentum élevé mène toujours à des rentabilités meilleures quelle que soit la taille de l’entreprise considérée. On confirme également que la bonne spécification du portefeuille de marché est sine qua non pour une évaluation correcte des actifs financiers. Dans le troisième article, et dans une optique multi-périodiques de gestion de portefeuille, l’écart-type des rentabilités annualisées des actifs risqués décroit lorsqu’on allonge la période de détention ce qui implique que les gestionnaires de portefeuille tendent à biaiser les allocations vers des actifs plus sûrs et négligent par cela un manque à gagner. Ce travail démontre également que détenir un portefeuille d’actions de petites capitalisations s’avère un placement optimal pour les investisseurs ayant un horizon long. Ces résultats mettent en lumière des règles prudentielles inefficaces du point de vue des assurés d’une part, et, mettent en évidence la nécessité de mesures visant à relancer les marchés pour les petites entreprises et de faciliter leur accès au financement direct d’autre part. / This thesis focuses on long term investments and risk premiums within the French financial market. The results bring evidence supporting placements in long term, risky and productive assets. In terms of portfolio management, this thesis brings several answers regarding the optimal allocation strategies. The first article demonstrates that the French financial market is weak form efficient since we could not reject the random walk hypothesis based on the variance ratio methodology. This first contribution implies that abnormal returns are resulting from risk factors and not from anomalies. Thus, the second article revisits famous asset pricing models and highlights optimal portfolio strategies. We find that value and momentum premiums are persistent in the French market. However, size premium is only observable in extreme book to market and momentum strategies. Moreover, we show that market portfolio choice is sine qua non to models performances and that the latest is surprisingly increasing in times of distress. The third article considers the term structure of risk-return tradeoff. Based on a VAR model, we find that excess annualized standard deviation of stocks excess returns with respect to bonds and bills decreases as we lengthen investment horizon which means that investors may bias their portfolios towards safe assets and neglect additional return. Furthermore, we measured the time diversification effect among stock portfolios by distinguishing small and big capitalizations and prove that it is more profitable to hold small capitalizations than big capitalizations stocks in the long run. These results shed light on inefficient prudential rules from the viewpoint of policyholders on one hand, and, on the other hand, highlight the necessity of implementing measures to revive the markets for small enterprises and facilitate their access to direct financing through the market.

O objetivo deste trabalho é analisar o poder prescritivo da Behavioral Finance (Shleifer, 2000) para a gestão de ativos financeiros no mercado de capitais, contrastando-a com as implicações da Hipótese dos Mercados Eficientes (FAMA, 1970). A meta específica é identificar quais conjuntos de técnicas são apropriados para a precificação de títulos ou ações levando-se em conta a interação dos respectivos modelos teóricos com a evidência empírica do comportamento dos investidores. A presente análise será feita através do mapeamento dos processos decisórios dos investidores segundo a Hipótese dos Mercados Eficientes (HME) e a Behavioral Finance (BF), identificando os pressupostos dos aludidos modelos e suas implicações e confrontando-os com a evidência obtida através de experimentos em laboratório que testem determinadas hipóteses sobre o comportamento de investidores. Discute-se a contribuição positiva de uma linha de pesquisa, a BF, que explora a racionalidade limitada dos agentes individuais em suas escolhas e os efeitos que os investidores experimentam ao tomarem decisões de investimentos. Metodologicamente, a BF absorve as conclusões sobre o mundo real obtidas a partir da observação experimental (DAVIS & HOLT, 1993; SMITH, 1987, 1994; MILLER, 2002) para daí elaborar modelos descritivos, contrapondo-se assim ao método econômico dedutivista lógico (POPPER, 1959). Há uma tensão não resolvida acerca da gestão de ativos que envolve a escolha entre dois métodos: a gestão ativa ou a gestão passiva; e isto depende diretamente da possibilidade (ou não) de assegurarmos a HME como base fidedigna e única para a construção das técnicas apropriadas. Além da introdução, o trabalho conta com mais três capítulos. No capítulo 2, abordamos a gestão científica dos investimentos e as proposições do CAPM dentro do paradigma da eficiência de mercado e da precificação de ações e títulos mobiliários. Também se aborda as implicações da BF para a administração de ativos no mercado de capitais. O capítulo 3 apresenta a metodologia experimental que capta a influência da análise técnica (grafista) sobre a avaliação de ativos financeiros. Para isto, replica-se um dos tratamentos experimentais de Mussweiler e Schneller (2003) com uma amostra de estudantes de economia com baixo nível de experiência em investimentos. Também, como forma de analisar a aplicabilidade da análise fundamentalista, utiliza-se os resultados experimentais obtidos por Haruvy, Lahav e Noussair (2007) e do referencial teórico de Camerer e Fehr (2006) e Lo (2004, 2005). O poder prescritivo da teoria financeira é refinado ao incorporar os fenômenos explicados pela pesquisa comportamental na precificação e gestão de ativos. A análise técnica é descrita através dos efeitos dos vieses cognitivos presentes na natureza comparativa humana (KAHNEMAN & MILLER, 1983; MUSSWEILLER, 2003). A análise fundamentalista é justificada pela existência dos graus de antecipação da hierarquia cognitiva (CAMERER, HO & CHONG, 2004). O fenômeno da existência de uma ampla prática de gestão ativa é explicado pela observação de um processo adaptativo de convergência dos preços de mercado aos valores fundamentais dos ativos. A Hipótese dos Mercados Adaptativos proposta por Lo (2004, 2005) concilia a HME com o poder prescritivo da BF estabelecendo a primeira como um caso extremo que serve de referencial para a mensuração da eficiência relativa de determinado mercado. Além disso, a BF permite que a teoria financeira explique um maior número de fenômenos com poucos pressupostos adicionais e sem necessitar a auto-exclusão e a independência dos programas de pesquisa. / The goal of this work is to analyze the prescriptive power of Behavioral Finance (SHLEIFER, 2000) for asset management in capital market, contrasting it with Efficient Markets Hypothesis implications (FAMA, 1970). Specifically, we seek to identify what techniques are appropriate in asset pricing, taking into account the interaction between empirical evidence obtained from empirical data and respective theoretical models. We map investors’ decision process in accordance with Efficient Markets Hypothesis (EMH) and Behavioral Finance (BF), identifying the assumptions and implications, and confront them with laboratorial experimental evidence, which test hypothesis about investors’ behavior. We discuss the positive contribution of Behavioral Finance’s research program, which explores bounded rationality in human choices and the effects experimented by investors in their decision making. Methodologically, Behavioral Finance absorbs the conclusions about real world obtained from lab experiments (DAVIS & HOLT, 1993; SMITH, 1987, 1994; MILLER, 2002) in order to create descriptive models, opposing, in this way, to the logical deductivism (POPPER, 1959) of conventional economics. Asset management has an unresolved tension which involves deciding between two methods: active or passive portfolio management; and this answer depends directly on the possibility (or not) for us to assume EMH as the strongest and only source to build appropriate strategies. Besides the introduction content, the work has three more chapters. In chapter 2, we explore scientific asset management and CAPM (SHARPE, 1964) propositions about market efficiency and security analysis paradigm. We also discuss the BF implications in asset management. Chapter 3 presents the experimental methodology which identifies technical analysis (chartist) influence in valuation process of financial assets. For this, we replicate an experimental treatment presented in Mussweiller and Schneller (2003) in a sample of low experienced Economics students. For the applicability of fundamentalist analysis, we use experimental results obtained by Haruvy, Lahav and Noussair (2007) and Camerer and Fehr (2006) and Lo (2004, 2005) qualitative approaches. The prescriptive power of financial theory is refined when it includes the phenomena explained by behavioral research in asset pricing and portolio managing. Technical analysis can be described using the cognitive bias effects present in human comparative nature (KAHNEMAN & MILLER, 1983; MUSSWEILLER, 2003). Fundamentalist analysis is justified by the cognitive hierarchy degrees of anticipation (CAMERER, HO & CHONG, 2004). The existence of series of active portfolio management practices is explained by the experimental observation that market prices converge to fundamental values in an adaptive process. Adaptive Markets Hypothesis (AMH) proposed by Lo (2004, 2005) reconciles BF with EMH, understanding the former as an extreme case which serves as reference point for measuring relative efficiency of a specific market. Besides, BF provides financial theory explanations about a greater range of phenomena, adding few new assumptions and with no need to understand it as an independent and self-excluding approach.

Submitted by Fernando Luiz Cordeiro (fernandolpcordeiro@gmail.com) on 2018-06-22T20:12:54Z No. of bitstreams: 1 SDFDecomposition_finalv.pdf: 845158 bytes, checksum: 5ceb09364caa557c2198d20e41ee5522 (MD5) / Approved for entry into archive by GILSON ROCHA MIRANDA (gilson.miranda@fgv.br) on 2018-06-29T19:55:51Z (GMT) No. of bitstreams: 1 SDFDecomposition_finalv.pdf: 845158 bytes, checksum: 5ceb09364caa557c2198d20e41ee5522 (MD5) / Made available in DSpace on 2018-07-02T18:21:34Z (GMT). No. of bitstreams: 1 SDFDecomposition_finalv.pdf: 845158 bytes, checksum: 5ceb09364caa557c2198d20e41ee5522 (MD5) Previous issue date: 2018 / In this work, we use the framework developed by Christensen (2017) and Hansen and Scheinkman (2009) to study the long-term interest rates in the US and Brazil. In our first set of results, we assess Christensen (2017) estimator using Monte Carlo simulations in order to evaluate the estimator performance in the rare disasters and habit formation asset pricing models. Generally, the estimation quality is not uniform and, in some cases, requires a large sample size to attain reasonable results. Next, we apply the nonparametric estimation to US and Brazilian data and estimate how the yield of a long-term zero-coupon bond responds to the initial state of the economy. Using a flexible specification for the state process leads to an interesting non-linear response of the yield to changes in the initial state. We find that the Brazilian long-term interest rate is about 5.3% per year.

Momentum is one of the most robust anomalies in financial markets, there are two main recent explanations for this phenomenon, a behavioral-based explanation through disposition-effect (i.e., the willingness to sell \"winners\" too quickly and to hold \"losers\" for a long time) and a fund-flow based explanation. The disposition-effect explanation is centered in the convergence of the spread between the fundamental value and the observed market price (disposition-effect causes an underreaction to news that generates this spread), and the fund flows-based explanation is due to the persistence of the performance of mutual-funds (which usually keep buying winning positions and selling the losses). This master thesis compares those theories using Brazilian data (which is suitable for the strong presence of momentum). Our empirical analysis was done using Fama-MacBeth regressions with results pointing the disposition-effect explanation as the most significant, with our robustness analysis contributing positively to the main findings. / Uma das anomalias mais robustas presente nos mercados financeiros é a existência de momentum nos preços de ações, existem duas principais explicações recentes para este fenômeno: explicação comportamental através do efeito-disposição (i.e. disposição de vender ativos \"vencedores\" rapidamente e de segurar ativos \"perdedores\" por muito tempo) e explicações de fluxos de fundos de investimento. A explicação através do efeito-disposição é centrada na convergência do spread entre o valor fundamental de um ativo e o preço de mercado observado (o efeito-disposição causa uma reação branda a notícias que gera esse spread), e a explicação baseada em fluxos de fundos que se deve pela persistência da performance de fundos (que usualmente continuam comprando posições vencedoras e vendendo as perdedoras). O objetivo desta dissertação é comparar essas teorias utilizando dados brasileiros (que é adequado pela forte presença de momentum). Nossa análise empírica foi feita através de regressões de Fama-MacBeth com resultados apontando a explicação centrada no efeito-disposição como a mais significativa, com nossa análise de robustez contribuindo positivamente para nossos resultados principais.

The dissertation consists of two essays. In the first essay we compare the performance of Islamic and conventional stock returns in Saudi Arabia in order to determine whether the Saudi market exhibits characteristics that are consistent with segmented markets and investor recognition effects. We sample the daily stock returns of all Saudi firms from September 2002 to 2015 and calculate important measures, including idiosyncratic volatility (Ang et al, 2006), market integration (Pukthuanthong and Roll, 2009), systematic turnover (Loughran and Schultz, 2005), and stock turnover and liquidity (Amihud, 2002). Integration tests report that Islamic stocks are more sensitive to changes in global and local macroeconomic variables than conventional stocks, supporting the hypothesis that the Islamic and conventional stock markets are segmented in Saudi Arabia. In addition, our results show that Islamic stocks have larger number of investors, lower idiosyncratic risk, higher systematic turnover, and more liquid than conventional stocks, which supports the investor recognition hypothesis. Our results provide new evidence on asset pricing in emerging markets, the evolving Islamic financial markets, and the potential impact of other implicit market barriers on global financial markets. In the second essay we examine the effects of shared beliefs and personal preferences of individual investors on their trading and investment decisions. We anticipate that the process of classifying stocks into Shariah compliant (Islamic) and non-shariah compliant (conventional) has an effect on investibility and acceptance of the stock especially by unsophisticated or individual investors. The wide acceptance of Islamic stocks between individual investors promote and facilitate the circulation of firm-specific information between certain groups of investors. Our results indicate that stock classification has an effect on the stock price comovement through increased stock trading correlation between the groups of Islamic investors. The commonality in preferences between Islamic stocks’ holders generate commonality in trading activity and in stock liquidity. We find that classifying a stock as an Islamic stock increases its price comovement with other Islamic stocks and also increases its commonality in liquidity.