Submitted by JOSIANE SANTOS DE OLIVEIRA (josianeso) on 2018-04-23T15:13:40Z No. of bitstreams: 1 José Antonio Cescon_.pdf: 2309850 bytes, checksum: aed6465c39716ff0455633261671bd8e (MD5) / Made available in DSpace on 2018-04-23T15:13:40Z (GMT). No. of bitstreams: 1 José Antonio Cescon_.pdf: 2309850 bytes, checksum: aed6465c39716ff0455633261671bd8e (MD5) Previous issue date: 2018-01-18 / Nenhuma / O processo de formação da tomada de decisão tem na moderna teoria de finanças o pressuposto de que os investidores agem de forma racional no mercado, são avessos ao risco, buscam a maximização da utilidade esperada, que os mercados são altamente eficientes e que os investidores exploram todas as oportunidades de arbitragem. Se esta premissa estiver correta, como então explicar porque investidores e analistas do mercado financeiro adquirem, mantém e/ou recomendam ações de empresas com patrimônio líquido negativo, já que estas empresas em tese estão prontas para a liquidação. Esta contestação a racionalidade ilimitada dos agentes do mercado financeiro tem sua base nas finanças comportamentais. Partindo destas premissas essa tese buscou compreender como se dá a formação do processo da tomada de decisão de investidores e analistas do mercado financeiro em relação à compra/venda/manutenção e/ou recomendação de ações de empresas com patrimônio líquido negativo listadas na B3 (Brasil, Bolsa e Balcão). Primeiramente montou-se uma carteira de investimentos, cuja composição é somente de empresas que adentraram ao patrimônio líquido negativo para verificar se ocorreram retornos positivos anormais para investimentos em empresas neste tipo de situação. A carteira foi formada com 77 empresas de um total de 208 que apresentaram pelo menos um trimestre de patrimônio líquido negativo no período de análise de retorno da carteira que foi de 1998 à 2016. Comparando o resultado desta carteira com investimentos livre de risco (Poupança e CDI) e a um investimento de risco similar (IBrX50), na análise da carteira buscou-se confirmar se é possível obter retornos positivos anormais em determinado período com investimentos em empresas com patrimônio líquido negativo e se este retorno propiciado é condizente com a relação risco/retorno preconizado pela moderna teoria de finanças. Os resultados encontrados apontam que é possível obter resultados positivos anormais, porém não atendem a relação risco/retorno se comparado a um investimento livre de risco. Estes resultados serviram de base para o desenvolvimento da tese proposta de que a formação do processo da tomada de decisão por parte de investidores e analistas do mercado financeiro trata-se de um processo de decisão parcialmente racional, pois este processo é afetado por aspectos comportamentais. Para confirmar esta tese, foram realizadas entrevistas com investidores (22) e analistas do mercado financeiro (09), que possuíram, possuem, recomendaram, recomendam a compra/venda e/ou manutenção de ações de empresas com patrimônio líquido negativo. As questões semiestruturadas das entrevistas foram suportadas pela moderna teoria de finanças e pelos vieses comportamentais: Contabilidade Mental; Aversão a Perda; Fuga ao Arrependimento; Efeito Disjunção, Efeito Manada, Loteria, Excesso de Confiança, Excesso de Otimismo e Ilusão Monetária. O método utilizado foi a análise de conteúdo, tendo como base as premissas da Hipótese do Mercado Eficiente (HME) e das Finanças Comportamentais (FC). Os resultados encontrados conduziram a três categorias de processos na formação da tomada de decisão. A 1ª categoria “Processo Racional”, atende a premissa da HME, de que tanto o investidor quanto os analistas são racionais. A 2ª categoria “Processo Pseudorracional”, atende parcialmente a premissa da HME, quanto atende parcialmente a premissa das Finanças comportamentais. A 3ª categoria “Processo Comportamental” atende a premissa das Finanças comportamentais. Os resultados demonstram que individualmente nenhum dos investidores ou analistas do mercado financeiro entrevistados podem ser classificados dentro de uma categoria específica, neste sentido não há um processo totalmente Racional, Pseudorracional ou Comportamental. / The process of forming decision-making has in the modern theory of finance the assumption that investors act rationally in the market, are risk-averse, seek to maximize expected utility, that markets are highly efficient, and that investors exploit arbitration opportunities. If this premise is correct, how then explain why investors and financial market analysts acquire, maintain and/or recommend shares of companies with negative equity, since these companies are ready for settlement. This challenge to the unlimited rationality of financial market agents has its basis in behavioral finance. Based on these premises, this thesis sought to understand how the decision-making process of financial market investors and analysts is formed in relation to the purchase/sale/maintenance and/or recommendation of shares of companies with negative equity listed on B3 (Brazil, Stock Exchange and Counter). Firstly, an investment portfolio was set up, whose composition is only of companies that went into negative equity to verify if there were abnormal positive returns for investments in companies in this type of situation. The portfolio was formed by 77 companies out of a total of 208 that had at least one quarter of negative equity in the period of analysis of portfolio returns that was from 1998 to 2016. Comparing the result of this portfolio with risk-free investments (Savings account and CDI) and a similar risk investment (IBrX50), the analysis of the portfolio sought to confirm if it is possible to obtain abnormal positive returns in a given period with investments in companies with negative equity and if this return provided is consistent with the risk ratio / return advocated by the modern theory of finance. The results show that it is possible to obtain abnormal positive results, but they do not meet the risk/return relationship when compared to a risk-free investment. These results served as a basis for the development of the proposed thesis that the formation of the decision-making process by financial market investors and analysts is a partially rational decision process because this process is affected by behavioral aspects. To confirm this thesis, interviews were conducted with investors (22) and financial market analysts (09), who owned, have, recommend, the purchase/sale and/or maintenance of shares of companies with negative equity. The questions of these interviews were supported by the behavioral biases: Mental Accounting; Loss Aversion; Fear to Repentance; Disjunction Effect, Herd Effect, Lottery, Excess of Confidence, Excess of Optimism and Monetary Illusion. The method used was content analysis, based on the assumptions of the Efficient Market Hypothesis (HME) and Behavioral Finance. The results found led to three categories of process in the formation of decision making. The 1st category "Rational Process", meets the HME premise that both the investor and the analysts are rational. The second category "Pseudo-rational Process", partially meets the premise of HME, as it partially meets the premise of behavioral finance. The 3rd category "Behavioral Process" meets the premise of Behavioral Finance. The results demonstrate that individually none of the investors or financial market analysts interviewed can be classified within a specific category, in this sense there is not a totally Rational, Pseudo-rational or Behavioral process.

Made available in DSpace on 2016-04-25T16:44:31Z (GMT). No. of bitstreams: 1 Ana Fatima de Brito.pdf: 1019818 bytes, checksum: df8f5c83f763b3f825e75f17c1d377ab (MD5) Previous issue date: 2012-10-23 / From its beginning in 2007, the U. S. Subprime Crisis can be considered the largest one occurred in the century so far, mainly for its extension, since shortly after the release of the first facts, many countries have shown signs of having been contaminated by its effects. Moreover, other nations such as Brazil sought to say that would not be affected, given the solid basis that its economy has shown. Brazil really showed signs of improvement in the economy a few years before the crisis: Gross Domestic Product - GDP was growing, inflation was under control and the employment level improved. By contrast, the United States had problems in the stock market in 2000 and had suffered the biggest terrorist attack in its history in 2001, which led to an outbreak of wars in other countries. This situation generated a bad effect on the U.S. economy, since the level of employment did not improve and prices rose, mainly on real estate assets. Many signs of problems in the U.S. economy were released, mainly the huge appreciation in real estate prices. In early 2007, companies in the mortgage industry began to have financial problems, however it was in August, when the French bank BNP Paribas announced the suspension of investment funds with roles in applications related to the mortgage that the world turned its look at the U.S. housing market. Throughout the following months, as the situation did not improve, many companies divulged disclosed financial problems and went bankrupt, such as Lehman Brothers, a hundred years old banking institution., which announced its bankruptcy in September 2008. Such a troubled scenario on the U.S. inspired this research to evaluate the effects of the crisis on the stock price of companies in the American an Brazilian Building sector. The industry was chosen due to its importance in generating employment, recent expansion of the real estate sector in Brazil and its link to the U.S. mortgage contracts. Five U.S. construction companies and also 5 Brazilian companies with publicly exchanged stocks were chosen. We selected the event study technique to accomplish the work. We found that the two facts related to Banco BNP Paribas and the bankruptcy of Lehman Brothers generated abnormal returns in stock prices of those 10 companies in the days preceding and following the disclosure of facts,, which contradicts the postulated assumption of the efficient market theory: that given that the market rationality and prices are adjusted to the information disclosed, the expected return is normal, / Iniciada nos Estados Unidos em 2007, a chamada Crise Subprime pode ser considerada a maior ocorrida no século até o momento, principalmente pela sua extensão, já que, pouco tempo depois da divulgação dos primeiros fatos, muitos países deram sinais de terem sido contaminados por seus efeitos. Por outro lado, outras nações como o Brasil procuravam afirmar que não seriam afetados, dados os sólidos fundamentos que sua economia apresentava. O Brasil realmente o apresentava sinais de melhoria na economia alguns anos antes, o Produto Interno Bruto PIB crescia, a inflação estava sob controle e o nível de emprego melhorava. Em contrapartida, os Estados Unidos, vinha de problemas no mercado acionário em 2000 e havia sofrido o maior ataque terrorista de sua história em 2001, o qual motivou o início de guerras em outros países. Tal situação produziu efeito ruim na economia norte-americana, uma vez que o nível de emprego não melhorava e os preços subiam, principalmente os dos imóveis. Muitos sinais dos problemas na economia norte-americana eram divulgados, principalmente quanto à valorização gigantesca nos preços dos imóveis. E, no início de 2007, empresas do setor de hipoteca começaram a ter problemas financeiros; no entanto foi em agosto, quando o Banco francês PNB Paribas divulgou a suspensão de fundos de investimentos com aplicações em papéis vinculados à hipoteca, que o mundo voltou seu olhar para o mercado imobiliário norte-americano. No decorrrer dos meses seguintes, a situação não melhorava, pelo contrário, mais empresas divulgavam problemas financeiros e até faliam, como foi o caso do Lehman Brothers, uma instituição bancária centenária, que anunciou falência em setembro de 2008. O cenário tão conturbado nos EUA motivou a realização da pesquisa para avaliar os efeitos da crise no preço das ações de empresas do setor de construção civil norteamericano e brasileiro. O setor de construção civil foi escolhido em função sua importância na geração de emprego, a recente expansão do setor imobiliário no Brasil e seu vínculo com os contratos de hipoteca nos EUA. Foram selecionadas 5 construtoras norte-americanas e 5 brasileiras com ações negociadas em bolsas de valores. Para a realização da pesquisa, foi selecionada a técnica estudo de eventos, e o resultado apurado foi que os dois fatos relacionados ao Banco BNP Paribas e a falência do Lehman Brothers geraram retornos anormais nos preços das ações das 10 empresas, nos dias anteriores e posteriores à divulgação dos fatos. Tal resultado contraria o postulado da teoria de mercado eficiente, visto que o retorno esperado é o normal, dado que o mercado é racional e os preços são ajustados às informações divulgadas

Made available in DSpace on 2016-04-25T16:45:27Z (GMT). No. of bitstreams: 1 Carlos Augusto Silva Barros.pdf: 1344798 bytes, checksum: d58577c9fe688328227f94dfa2fa7fa2 (MD5) Previous issue date: 2010-05-31 / The dissertation investigates Brazilian financial behavior and what determines it: reason or emotion? A survey based on Behavior Finance fundaments was applied to 641 Brazilians segmented by gender, age, income and scholarship. The survey evaluates in each group the presence of heuristics and bias such as, for instance, overconfidence, representativeness, adjustment to anchor and procrastination. The presence of emotion as an essential factor in order to analyze the financial behavior is in opposition to the Efficient Market Hypothesis (EMH), dominant theory in Finance until the economic crisis that was initiated in 2008. The EMH propositions are very useful, but excessively simplified to reflect all economic live. On the other side human behavior is ruled by our very complex brain. The caricatured Homo Economicus looks like designated to disappear. This paper central hypothesis is that human beings can take irrational financial decisions, based on emotions that are, apparently, much more than market anomalies . Emotions has ever been treated as relevant on financial behavior field by financial market operators, but recently a growing number of scientific articles in Business Administration, Economics and Psychology also indicates that fact. Survey‟s result shows that reason and emotion influences Brazilians financial behavior. As was expected the paper indicates significant differences according to gender, age, scholarship and income / A dissertação investiga o comportamento financeiro do brasileiro e os fatores que o determinam: razão ou emoção? Uma pesquisa baseada em fundamentos de Finanças Comportamentais foi aplicada a 641 brasileiros segmentados por gênero, idade, renda e escolaridade. Na pesquisa é avaliada em cada grupo a presença de heurísticas e vises como, por exemplo, excesso de confiança, representatividade, ancoragem e procrastinação. A presença da emoção como fator essencial para analisar o comportamento financeiro se contrapõe à Hipótese dos Mercados Eficientes (HME), pensamento dominante em Finanças até a crise econômica iniciada em 2008. As proposições da HME são modelos úteis, porém excessivamente simplificados para refletir toda a movimentação econômica. Por outro lado o comportamento humano é regido pelo nosso cérebro que é bastante complexo. Assim o caricato Homo Economicus parece destinado a sair de cena. A hipótese central deste trabalho é a de que os seres humanos podem tomar decisões financeiras irracionais, baseadas na emoção e que são, aparentemente, muito mais do que simples anomalias dos mercados. As emoções sempre foram tratadas como relevantes no âmbito do comportamento financeiro por operadores do mercado, porém recentemente um número cada vez maior de pesquisas científicas em Administração, Economia e Psicologia também indicam o fato. Os resultados da pesquisa mostram que tanto razão quanto emoção influenciam o comportamento financeiro do brasileiro. Como se esperava, o estudo indica diferenças significativas no comportamento de acordo com o gênero, idade, escolaridade e renda

本研究最主要的貢獻為建構一具台灣股市投資人情緒指數並檢測投資人情緒指標與台灣股市的關係。本研究以台灣股票市場為背景，研究期間為2001年1月至2010年12月。利用Baker, Wurgler and Yuan在2009年提出的方法以Volatility Premium, Number of IPOs, First Day Return of IPOs, Turnover Rate四個變數編製台灣股市投資人情緒指數，並探討台灣股市投資人情緒指數變動量與台股大盤報酬之間的領先落後關係。 實證結果發現，在較短的時間，如月資料，台股大盤報酬會影響下一期的台灣股市投資人情緒指數變動量，而在較長的時間，如季資料，台灣股市投資人情緒指數變動量會影響四期後的台股大盤報酬，即短期台灣股市投資人情緒指數變動量為大盤報酬之落後指標，長期則為大盤報酬之領先指標，短期原因為投資人情緒指數受大盤報酬影響，而易有追高殺低現象，長期雖投資人情緒領先大盤報酬的結果在統計上顯著，但經濟上並無顯著意義，另一方面，台股大盤報酬與台灣股市投資人情緒指數變動量間存在正相關，即不能以台灣股市投資人情緒指數變動量預測股市泡沫。 / The main contribution would be the construction of the sentiment index in Taiwan stock markets and examining the relationship between the variation of the sentiment index and Taiwan stock market returns. The background is Taiwan stock markets. The sample period is from January 2001 to December 2010. We use the method in Baker, Wurgler and Yuan (2009) to measure investors’ sentiment and explore the relationship between the variation of the sentiment index and Taiwan stock market returns. The empirical result reveals that in monthly data, Taiwan stock market returns is the leading indicator of the variation of investment sentiment. In a longer term, we mean the quarterly data in this paper, the situation changes. In quarterly data, the variation of the investment sentiment is the leading indicator of the Taiwan stock market returns. In addition, instead of a negative correlation between the stock market returns and our sentiment index, we prove that our sentiment index have a positive impact on stock market returns. Therefore, we could not use this sentiment index to forecast future economic bubbles.

The Black-Litterman model is analyzed in three steps seeking to investigate, develop and test the B-L model in an applied perspective. The first step mathematically derives the Black-Litterman model from a sampling theory approach generating a new interpretation of the model and an interpretable formula for the parameter weight-on-views.  The second step draws upon behavioural finance and partly explains why managers find B-L portfolios intuitively accurate and also comments on the risk that overconfident managers state too low levels-of-unconfidence. The third step, a case study, concerns the implementation of the B-L model at a bank. It generates insights about the key-features of the model and their interrelations, the importance of understanding the model when using it, alternative use of the model, differences between the model and reality and the influence of social and organisational context on the use of the model. The research implies that it is not the B-L model alone but the combination model-user-situation that may prove rewarding. Overall, the research indicates the great distance between theory and practice and the importance of understanding the B-L model to be able to keep a critical attitude to the model and its output. The research points towards the need for more research concerning the use of the B-L model taking cultural, social and organizational contexts into account. / QC 20101202

Purpose of the research: The purpose is to forecast the future trend of housing prices in Stockholm County 2011-2014 based on estimated slope coefficients of selected explanatory variables 1993-2010. Thereafter, the obtained forecast will be discussed with respect to other non-quantifiable concepts within behavioral economics. Method: Multiple regression technique with a deductive and explorative approach. Empirical data: Quantitative. Conclusion: The future trend of housing prices in Stockholm County has been forecasted to be positively sloped throughout all the years 2011-2014, but in 2011, the forecast reveals that the increase of house prices will taper off. Nevertheless, behavioral economics reveals some insights about the trend on the housing market and that the house prices might include a portion of abnormal returns. / Syfte: Syftet är att förutse den framtida utvecklingen av bostadspriserna i Stockholms län 2011-2014 baserade på beräknade lutningskoefficienter av valda förklaringsvariabler 1993-2010. Därefter kommer den erhållna prognosen att diskuteras i förhållande till andra icke-kvantifierbara begrepp inom beteendeekonomi. Metod: Multipel regressionsteknik med en deduktiv och explorativ strategi. Empirisk data: Kvantitativ. Slutsats: Den framtida utvecklingen av bostadspriserna i Stockholms län har beräknats ha en positiv lutning inom samtliga år 2011-2014, men under 2011 visar också prognosen att ökningen av huspriserna kommer att avta successivt. Icke desto mindre avslöjar beteendeekonomi vissa insikter om utvecklingen på bostadsmarknaden och att huspriserna kan innehålla en andel abnorm avkastning.

Syfte: Syftet med denna uppsats är att undersöka hur utvalda bolags aktieavkastning inom branscherna flyg, fordon samt olja reagerar vid signifikanta oljeprisförändringar. Teoretiskt perspektiv: Den teoretiska referensramen utgörs av den effektiva marknadshypotesen samt Behavioural Finance med undergrenarna prospect theory, herd behaviour och overconfidence. Metod: Studien utgår ifrån ett deduktivt inslag med en kvantitativ studie. Undersökningen utgörs av sex eventstudier som datainsamlingsmetod samt en intervju som applikation på det kvantitativa resultatet. Urvalskriterium består av tio bolag inom respektive bransch med en rangordning utefter högst omsättning samt företag med en koppling till svenskt näringsliv med högst omsättning. Empiri: Empirin presenteras utifrån diagram och tabeller över de utförda eventstudierna. Diagrammen syftar till att redovisa den avvikande avkastningen för respektive bolag. Tabellerna ger en redogörelse över eventuellt samband mellan respektive bransch och oljeprisförändringarna. Slutsats: Flygbolagen uppvisade samband med oljepriset vid fyra utav sex eventen. Fordonsbranschen uppvisade samband vid ett av de sex eventen och oljebranschen vid två utav de studerade eventen. Reaktionen på aktieavkastningen för bolagen med en koppling till svenskt näringsliv var i linje med de övriga internationella bolagen i branschen. Undantag visades för oljebranschen. Resultatet är en indikation på att andra variabler påverkade aktieavkastningen och detta skapar svårigheter för aktieinnehavare att förespå framtida avkastning.

The question many investors ask is whether or not it is possible to beat the market andearn money by being active on the stock market. In efficient markets this should not be possible, but several researches have come up with strategies that prove the opposite. There are certain market movements that cannot be explained by the arguments of the traditional efficient market hypothesis and such market movements are in the standard finance theory called anomalies. Two well-known anomalies are the P/E effect and the small firm effect. The P/E effect means that portfolios with low P/E stocks attain higher average risk-adjusted returns than portfolios with high P/E stocks. Similarly, the small firm effect means that companies with small market capitalization earn higher return than those with large market capitalization. Even though these anomalies were discovered in the US, they occur on other markets as well. However, most of the studies regarding these have focused on developed markets. Therefore, the focus in this study has been on emerging markets, more specifically the Baltic market. The problem we aimed to answer with this study is whether or not it is possible to attain abnormal returns on the Baltic stock market by using the P/E effect or the small firm effect. Further on, we found it interesting to investigate which one of the two anomalies that is the best investment strategy. By doing this, we have also been able examine if the Baltic market is efficient or not. The study investigates all listed firms (both active and dead) with available data on Nasdaq OMX Baltic between the years 2000-2014. There are two different samples, a P/E sample and a market capitalization sample. The firms in the samples are ranked and grouped into portfolios and then tested to see if there is significant evidence of the existence of the P/E effect and the small firm effect. The results of the tests show that the Baltic market is not completely efficient, since statistical support was found for the small firm effect. This implies that it is possible to attain abnormal returns on the Baltic market by investing in small capitalization stocks. However, the tests showed no significant evidence of the P/E effect. For this reason, with the assumptions made, we recommend the small firm effect as an investment strategy on the Baltic stock market.

本篇論文藉由文獻探討與迴歸分析探討法人與散戶的投資偏好與行為的不同而造成的報酬上的差異，本文共收集了54篇探討法人與散戶投資行為和選股偏好的文獻並進行整理，其54篇文獻細分成三個方向探討投資人的投資行為：交易策略、認知與情緒偏誤和訊息內含。由文獻的整理中發現，法人與散戶的投資報酬差異確實與交易策略和選股偏好相關，相較於散戶，法人具有資訊與資源上的優勢，所以他們較能夠在面臨投資和選股決策時，做出正確的決定。然而，散戶在資訊的取得上相較法人處於劣勢，所以在做決策時較為不明確，並且由統計數據來看，散戶的部位通常與法人為相反的，所以散戶通常為法人提供流動性，並且因此得到較差的報酬。 而行為財務學的角度來看，法人和散戶皆有不理性的投資行為，而這些不理性的行為皆會為他們招致較低的投資報酬，而法人有較高的投資報酬率並非因為他們理性，而是因為相較於散戶，法人的不理性程度較為低的原因。既然由行為財務學的觀點來看大家皆是不理性的，便推論法人與散戶的報酬差異是來自選股的偏好，在第四部分以台灣經濟新報658家上市公司的資料進行迴歸分析以探討台灣法人、散戶與外資的選股偏好，結果顯示法人和散戶偏好依據其週轉率、公司規模、本益比、股價波動度與股利殖利率有所不同，而外資法人的偏好則與國內法人類似。 / This paper surveys the literatures relating to the investment preference and performance between institutional and individual investors in order to determine the reason of return disparity. 54 papers are surveyed to understand the preference and performance through three aspects: trading strategies, cognitive and emotional biases, and information content. Disparity of returns is due to trading behaviors and stock preferences. Institutional investors tend to be informed and make correct decision when trading. However, individual investors tend to invest in the opposite direction to institutions and provide liquidity for them. Therefore, institutional investor have better performance due to their less irrational behaviors and correct selection of underlying objects. In the fourth part, using data of 658 listed equities from Taiwan Economic Journal from Taiwan’s stock market, we investigate the relation between investors’ ownership and financial indicators. The regression analysis shows that the stock preferences between individual and institutional investor are different. Results indicate that institutional and individual investors have distinct preferences based on turnover rate, size, price to earnings per share ratio, stock volatility, and dividend yield. Foreign institutions’ stock selection preference is similar to domestic institutions.

Cette thèse applique la théorie des prospects et la théorie du regret à l’étude sur la performance des actions et à expliquer une anomalie du marché connue appelé l’effet momentum. Cette thèse propose un modèle théorique qui lie les facteurs comportementaux à la performance des actions et à l’effet momentum, et ensuite réalise des tests empiriques pour examiner le modèle théorique. Dans le chapitre 2, le modèle est établi sur un concept des gains/pertes potentiels, qui indiquent si un investisseur se trouve actuellement dans une situation gagnante ou perdante. Ensuite, le modèle montre que les investisseurs sont très réticents à vendre leurs stocks dans une situation des grands gains ou des grandes pertes. Les chapitres 3 et 4 effectuent des tests empiriques sur le modèle des gains/pertes potentiels. L'échantillon des tests comprend tous les stocks de NYSE et l'AMEX de l’année 1982 à 2012. Les tests sont en mesure de confirmer l'influence des gains/pertes potentiels sur les rendements des actions. En outre, une stratégie de coût nul d’Extrémité moins Moyen (EMM), basée sur le modèle théorique, est documentée pour être rentable après contrôlée pour des risques. Dans le chapitre 5, le modèle des gains/pertes potentiels est développé dans une version dynamique. Il suggère que l'influence des gains/pertes potentiels pourrait persister pendant une période de intermédiaire à long terme, et génère une tendance à la hausse de la performance pour les actions avec un grand gain/perte potentiel. Les tests empiriques dans ce chapitre se concentrent sur l'évolution de série temporelle des rendements. Les tests montrent que les actions avec un grand gain/perte potentiel ont une plus forte tendance à la hausse. Le chapitre 6 applique les résultats du chapitre précédent pour expliquer l'effet momentum. La tendance à la hausse correspond à une auto-corrélation positive des rendements, ce qui est l'une des sources qui contribuent au profit de momentum. Les tests empiriques dans ce chapitre regardent la similitude entre la stratégie de momentum et les gains/pertes potentiels, et examinent également la corrélation entre le profit de momentum et le profit de la stratégie EMM. Les tests montrent que des gains/pertes potentiels pourraient contribuer à l'effet momentum, mais ne sont pas la seule source. L'effet momentum peut être le résultat d'une combinaison de plusieurs facteurs complexes. / This dissertation applies the prospect theory and the regret theory to the study on the stock performance and to explain one well-known market anomaly called the momentum effect. The dissertation proposes a theoretical model that links the behavior factors to stock performance and the momentum effect, and performed empirical test to examine the theoretical model. In chapter 2, the model is established on the concept of the potential gain/loss, which indicates if an investor is currently at a winning or a losing position. The model then shows that the investors are highly reluctant to sell their stocks in a large gain or in a large loss situation. The chapter 3 and 4 perform empirical tests on the model of potential gain/loss. The test sample includes all stocks in NYSE and AMEX from 1982 to 2012. The tests are able to confirm the influence of the potential gain/loss on stock returns. Moreover, a zero-cost Extremity minus Middle (EMM) strategy based on the theoretical model is documented to be profitable after controlling for risks. In chapter 5, the model of potential gain/loss is developed into a dynamic version. It suggests that the influence of a potential gain/loss could persist over an intermediate to long term, and generates an upward trend in performance for stocks with large potential gain/loss. The empirical tests in this chapter focus on the time serial evolution of returns. The tests show that stocks with large potential gain/loss have a stronger upward trend. The chapter 6 applies the results from the previous chapter to explain the momentum effect. The upward trend corresponds to a positive return autocorrelation, which is one of the sources that contribute to the momentum profit. The empirical tests in this chapter look into the similarity between the momentum strategy and the potential gain/loss, and also examine the correlation between the momentum profit and the profit from the EMM strategy. Tests show that the potential gain/loss could contribute to the momentum effect, but is not the only source. The momentum effect could be a result of a combination of many complex factors.