Au cours de la dernière décennie, les chercheurs se sont intéressés au comportement de l'investisseur sur les marchés boursiers. Nombreuses théories en psychologie et sociologie sont mobilisées en finance comportementale pour dépasser les limites de l'hypothèse de l’efficience des marchés et expliquer la fragilité des marchés financiers. En analysant le comportement grégaire (mimétisme), les chercheurs tentent d'expliquer les anomalies et les grands mouvements du marché. Le comportement grégaire peut être décrit comme la tendance d'un investisseur ou d’un groupe d'investisseurs, à imiter les actions des autres acteurs du marché, ou à suivre la tendance du marché. Notre première étude examine la présence du comportement grégaire, en se concentrant sur le marché boursier français, au niveau du marché et au niveau des secteurs. Nous étudions le mimétisme selon différentes conditions macroéconomiques. Nous testons aussi l'existence du mimétisme au cours de la dernière période de crise financière et pendant les périodes caractérisées par des volumes (élevés ou faibles) de volatilité et de volume de transaction. En utilisant le modèle de CH 95, nous ne détectons pas de comportement grégaire, à la fois au niveau du marché qu’au niveau des secteurs, pendant les mouvements de marché extrêmes. Les modèles de CCK 2000 et Hwang et Salmon 2004 montrent des résultats mitigés. Même lorsque le comportement grégaire est détecté au niveau du marché, les secteurs se comportent différemment. La mesure que nous extrayons du state-space model montre différents niveaux de mimétisme dans les secteurs. La deuxième étude examine le mimétisme, sur les marchés boursiers américains et chinois, en introduisant une nouvelle dimension : l'asymétrie d'information. Nous utilisons plusieurs mesures de la disponibilité de l'information : la politique de dividende, le bid-ask spread, la taille de l'entreprise, la sophistication du marché, ainsi que l'état du marché (pré, post et pendant la période de crise). Cette étude nous permet d’analyser le mimétisme dans différents contextes selon la disponibilité de l'information. Elle permet de vérifier si le mimétisme est plus prononcé dans un contexte d'asymétrie d'information élevée. D’une part, les résultats du modèle de CH 95 ne montrent aucune preuve de mimétisme quel que soit le niveau d'asymétrie d'information entre les entreprises et les investisseurs, à la fois pour les marchés américain et chinois. D'autre part, le modèle CCK 2000 détecte des différences de niveau de mimétisme dans le marché boursier chinois en fonction du niveau d'asymétrie d'information. Les résultats suggèrent que les marchés émergents sont touchés par le mimétisme pendant la période de crise, quelle que soit la taille de l'entreprise. Enfin, le modèle de Hwang et Salmon 2004 montre différents niveaux de mimétisme dans les marchés américain et chinois, en fonction du niveau d'asymétrie d'information. Il est intéressant pour la recherche sur la modélisation des marchés boursiers d’examiner le comportement grégaire des investisseurs. De la même façon, les décideurs politiques pourraient être intéressés par les effets perturbateurs potentiels du mimétisme sur les marchés financiers. / Over the last decade, the academic research has highly focused on examining the investor’s behavior in stock markets. Many theories in psychology and sociology are used in the so called “Behavioral Finance” in order to explain the limits of the efficient market hypothesis and the financial market fragility. By analyzing the herding behavior, the researchers try to explain the market anomalies and the large market movements. Herding behavior can be described as the tendency of an investor, or a group of investors, to imitate the actions of other market participants, or to follow the market movement. Our first study examines the presence of herding behavior, focusing on the French stock market, at both market and sector levels. We investigate herding during different macroeconomic conditions. We also test the existence of herding during the last financial crisis period, and during the periods characterized by high or low volatility and transaction volumes. Using the CH 95 model, we do not observe herding behavior, both in market and sector levels, during extreme market movements. The CCK 2000 and Hwang and Salmon 2004 models show mixed results. Even when herding exists in the market level, various sectors behave differently. The measure we extract from the state-space model shows different patterns of herding at the sector level. The second study examines the investors’ incentives behind herding, in the US and Chinese stock markets, by introducing a new dimension, which is the information asymmetry. Using several proxies for information availability, such as dividend policy, bid ask spread, firm size and market sophistication along with considering the market condition (pre, post and during crisis period), this study allows us to investigate herding in different contexts of information availability, and to examine if herding is more pronounced in a high information asymmetry context. Findings of CH 95 model show no evidence of herding regardless of the level of information asymmetry between firms and investors in both the US and Chinese stock markets. On the other hand, the CCK 2000 model detects herding differences in the Chinese stock market depending on the information asymmetry level. The findings suggest that the emerging markets are affected by herding during the crisis period, regardless of the firm size. Finally, the Hwang and Salmon 2004 model shows different herding patterns in the US and Chinese stock markets depending on the information asymmetry level. Examining the herding behavior is interesting for the research in the market modeling field along with policymakers who may be interested in investigating the potential disturbing effects of herding on stock markets.

Bakgrund: Var dag ställs människor inför val som har högre eller mindre utsträckning påverkan på dess framtid. En av de vanligaste ekonomiska beslutssituationer människor ställs inför är beslut gällande pensionen. Det svenska pensionssystemet är komplext och särskilt inom premiepensionen ställs individen inför en mängd valmöjligheter. Där kan individen välja egna premiepensionsfonder eller välja att inte göra ett aktivt val och därmed ha kvar förvalsalternativet AP7 Såfa. Samtidigt som kraven är höga på individens beslutsfattande visar beteendeekonomisk forskning att individens förmåga att fatta rationella beslut inte är på den nivå som traditionella ekonomiska teorier utgår ifrån. Den stora mängd valmöjligheter som finns inom premiepensionen förefaller skapa problem och leder till att åtskilliga individer väljer att inte göra något aktivt val. Tidigare forskning visar att ett flertal demografiska faktorer samt individens finansiella förmåga och kännedom om finansiella marknaden påverkar individens beslut gällande pensionen, samt att det finns ett behov av vidare forskning på vad som påverkar individer gällande pensionssparandet. Denna studie ämnar bygga vidare på de tidigare studier som gjorts för att kartlägga vilka egenskaper som leder till att en individ fattar aktiva beslut inom premiepensionssparandet samt koppla de beslut de gör till beteendeekonomiska teorier för att få en djupare förståelse för individens agerande gällande premiepensionsvalet. Med studiens resultat hoppas vi kunna bidra med ökad förståelse för vad som påverkar de val som görs gällande premiepensionen. Syfte: Syftet med denna studie är att undersöka samband mellan en individs egenskaper och om denne gör ett aktivt val gällande premiepensionemn, samt undersöka bakomliggande beteendeekonomiska biases gällande individens val inom premiepensionen. Detta med avsikt att genom en kvantitativ metod skapa ökad förståelse kring varför individer fattar de beslut de gör kring premiepensionssparandet. Genomförande: Denna kvantitativa studie antar en iterativ ansats där studien präglas av en tvärsnittsdesign och data har samlats in genom ett snöbollsurval med hjälp av enkäter. Sammantaget ingår 172 individer i denna studie. Slutsats: Resultatet av studien visar att hur länge en individ har befunnit sig i arbetslivet, inkomstnivån samt om individen investerar i aktier på fritiden har en positiv påverkan på sannolikheten att denne har valt egna fonder till premiepensionen. Resultatet skiljer sig mot vad viss tidigare forskning visat. Studien identifierade även ett antal beteendeekonomiska biases som påverkar individen inom premiepensionsvalet. Resultatet tyder på att de individer som har gjort ett aktivt premiepensionsval påverkas av mentala genvägar när det kommer till att välja premiepensionsfonder. Vidare indikerar resultatet på IV att de som inte gör ett aktivt val påverkas av beteendeekonomiska biases som leder till inaktivitet. / Background: Every day people have to make choices that have a greater or lesser impact on their future. One of the most common financial decision-making situations people face is the decision regarding the pension. The Swedish Pension System is complex and, in particular, within the Premium Pension the individual is faced with a variety of choices. There individuals can choose their own Premium Pension funds or choose not to make an active choice and thus retain the AP7 Såfa. While the demands are high on the individual’s decision-making, behavioral finance research shows that the individual’s ability to make rational decisions is not at the level of traditional economic theories. The wide range of options available within the Premium Pension seems to create problems and leads to the fact that several individuals choose not to make any active choice. Previous research shows that a number of demographic factors, as well as the individual's financial literacy and financial market awareness, influence the individual's decision regarding the pension. Previous research also shows that there is a need for further research on what affects individuals in terms of pension savings. This study aims to build on previous studies to map which characteristics affect an individual to make active decisions in the Premium Pension and to link the decisions they make to behavioral finance theories to gain a deeper understanding of the individual's actions regarding the Premium Pension choice. With the result of the study, we hope to contribute with better understanding of what influences the choices made within the Premium Pension. Purpose: The purpose of this study is to investigate the relationship between an individual's characteristics and if they make an active choice regarding premium pension funds, as well as investigate underlying behavioral finance bias that affect an individual’s choice within the Premium Pension. With the intention, through a quantitative method, to create a better understanding of why individuals make the decisions they make regarding the Premium Pension. Completion/methodology: This quantitative study assumes an iterative approach where the study is characterized by a cross-sectional design and the data has been collected through snowball sampling using surveys. Altogether, 172 people are included in this study. Conclusion: The result of the study shows that how long an individual has been working, the income, and if the individual invests in shares has a positive impact on the probability that the individual has chosen own funds for the premium pension. This differs from what some previous research has shown. The study also identified a number of behavioral biases that affect the individual in the Premium Pension Plan. The result indicates that those individuals who have made active Premium Pension choices are affected by shortcuts when it comes to choosing Premium Pension funds. Furthermore, the result indicates that those who do not make an active choice are affected by behavioral biases that lead to inactivity.

Submitted by Marcel Gomes (marcelgg@gmail.com) on 2014-02-12T21:38:11Z No. of bitstreams: 1 Dissertação Marcel Final.pdf: 896702 bytes, checksum: 5b80f0337fd8514137ac68e8b865cd67 (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2014-02-13T10:44:22Z (GMT) No. of bitstreams: 1 Dissertação Marcel Final.pdf: 896702 bytes, checksum: 5b80f0337fd8514137ac68e8b865cd67 (MD5) / Made available in DSpace on 2014-02-13T11:09:14Z (GMT). No. of bitstreams: 1 Dissertação Marcel Final.pdf: 896702 bytes, checksum: 5b80f0337fd8514137ac68e8b865cd67 (MD5) Previous issue date: 2014-01-21 / This paper is dedicated to investigate the relationship between performance and funds flows for fixed income, multimarket and equity funds categories in Brazil identifying behavioral differences between institutional and individuals investors assisted by the retail and private banking. It is documented in the literature that investors make their investment decisions based on recent historical performance, however, allocating more resources to funds that performed better compared to worst, ie, the flow - performance relationship becomes convex. Other results in the literature indicate that individual and institutional investors have different behaviors to past returns. The results reached in this study suggest that the convex relation is revealed for retail investors in equity and multimarket funds and fixed income to institutional investors. However, as fixed income funds in retail, as multimarket funds and equity funds for institutional investors and for the three categories in private banking, the convexity was not verified. / Este trabalho se dedica a investigar a relação entre desempenho e captação para fundos de investimento das categorias renda fixa, multimercados e ações no Brasil identificando diferenças de comportamento entre investidores institucionais e pessoas físicas atendidas pelos segmentos de varejo e private banking. É documentada na literatura que os investidores tomam suas decisões de investimentos baseadas no histórico recente de desempenho, destinando, contudo, maior volume de recursos para fundos que apresentaram melhor desempenho em relação aos de pior, ou seja, a relação fluxo-desempenho se torna convexa. Outros resultados encontrados na literatura sinalizam que investidores individuais e institucionais apresentam comportamentos distintos aos retornos passados. Os resultados alcançados neste trabalho sugerem que a relação convexa se manifesta para investidores de varejo nos fundos de ações e multimercados e de renda fixa para investidores institucionais. Entretanto, tanto para os fundos de renda fixa no varejo, quanto para os fundos multimercados e ações para investidores institucionais e para as três categorias no private banking não foi verificada convexidade.

Submitted by Luiz Krempel (luiz.krempel@gmail.com) on 2014-12-30T16:05:55Z No. of bitstreams: 1 Complexidade, excesso de opcoes e paralisia decisoria.pdf: 3586347 bytes, checksum: 9c1745dac482c840d8360ca3e404ba0a (MD5) / Approved for entry into archive by Renata de Souza Nascimento (renata.souza@fgv.br) on 2014-12-30T17:52:39Z (GMT) No. of bitstreams: 1 Complexidade, excesso de opcoes e paralisia decisoria.pdf: 3586347 bytes, checksum: 9c1745dac482c840d8360ca3e404ba0a (MD5) / Made available in DSpace on 2015-01-05T11:29:38Z (GMT). No. of bitstreams: 1 Complexidade, excesso de opcoes e paralisia decisoria.pdf: 3586347 bytes, checksum: 9c1745dac482c840d8360ca3e404ba0a (MD5) Previous issue date: 2014-11-25 / This dissertation studies the choice overload hypothesis, also known as overchoice, associated with information overload. This hypothesis has been addressed and discussed by researchers such as O’Donoghue and Rabin (1998), Iyengar and Lepper (2000), Schwartz (2002), Iyengar, Jiang and Huberman (2003) and Gourville and Soman (2005), but never regarding the Brazilian investment products industry. Through empirical research, we simulated the decision points of ordinary Brazilian investors over different proposed scenarios, with changes in numbers of options and quantity of disposable information. In line with the researches above-cited, results have shown the real possibility of such an effect, even though prior conjectures have been countered and larger trials need to be conducted. In this study, when the offer comes down to just one fund, even though clearly better than the initial scenario, still a very high rate of 32% investors decide to procrastinate their decisions, i.e. the extreme opposite of choice overload did not present as an effective solution. Two other almost identical offerings were proposed, with five investment fund alternatives and expected risk and return information displayed to each of them. However, in one offer there was a link to a sheet with additional information for each investment fund. Even with the option to ignore them, just by showing the link the "procrastination rate" increased from 16% to 28%, a result directly related to regret aversion. Previous studies show that there are high chances that this procrastination lasts forever. / Esta dissertação busca investigar a hipótese de sobrecarga de opções, denominada em inglês como choice overload, associada ao aumento de complexidade e da quantidade de informações disponíveis, ou information overload, abordada e discutida por pesquisadores como O’Donoghue e Rabin (1998), Iyengar e Lepper (2000), Schwartz (2002), Iyengar, Jiang e Huberman (2003) e Gourville e Soman (2005). Neste trabalho, a investigação será no contexto da indústria de produtos de investimento brasileira. Para isso, através de uma pesquisa empírica, simulamos a decisão de um investidor comum diante de diferentes cenários propostos, com menos ou mais opções e menos ou mais informações. Em linha com as pesquisas citadas, evidências mostraram a importância de se considerar e avaliar esses efeitos, ainda que hipóteses previamente estabelecidas não tenham sido confirmadas e experimentos mais amplos precisem ser realizados. Neste estudo, quando a oferta se resume a apenas um fundo de investimento, mesmo que claramente melhor do que o cenário inicial, um alto índice de 32% ainda decide procrastinar a decisão, ou seja, apresentar apenas uma opção, o extremo oposto de choice overload, não se apresentou como uma solução eficaz. Também foram propostos outros dois cenários, ambos quase idênticos, com cinco alternativas de fundos de investimento e informações de retorno esperado e risco para cada um deles. No entanto, um desses dois cenários disponibilizava hyperlinks direcionando para lâminas com informações adicionais para cada fundo de investimento. Mesmo com a opção de ignorá-las, a sua apresentação fez com que o índice de procrastinação aumentasse de 16% para 28%, resultado diretamente relacionado a regret aversion. Estudos anteriores mostram que há altas chances de que essa procrastinação se perpetue.

Submitted by Maximilian-Benedikt Koehn (mb@koehn.cc) on 2015-10-27T13:40:42Z No. of bitstreams: 1 MasterThesis_FGV_MBK-2.pdf: 1998443 bytes, checksum: f5b2dd679c9a165738dd916b469de18e (MD5) / Rejected by Ana Luiza Holme (ana.holme@fgv.br), reason: Maximilian, In second page, the date is incorrect, it should be 2015. Also the pages numeration in the thesis is incorrect, it should started at the first page of the thesis but the number only appear in the introdution. and it should be at the bottom of the pages. Ex: Introdution is page 10 so in the bottom of the page you see the number 10. Also you didn't write the acknowledgement. It's mandatory in the thesis. Ana Luiza Holme 3799-3492 on 2015-10-27T13:49:55Z (GMT) / Submitted by Maximilian-Benedikt Koehn (mb@koehn.cc) on 2015-10-29T11:50:38Z No. of bitstreams: 1 MasterThesis_FGV_MBK_Final.pdf: 1963111 bytes, checksum: 7788e02d7ef86d4824fb7f131629e4d5 (MD5) / Rejected by Ana Luiza Holme (ana.holme@fgv.br), reason: Duplicidade, Duplicity on 2015-11-03T11:55:29Z (GMT) / Submitted by Maximilian-Benedikt Koehn (mb@koehn.cc) on 2015-11-03T14:54:38Z No. of bitstreams: 1 MasterThesis_FGV_MBK.pdf: 2335793 bytes, checksum: 0ce05e9480acae0f9da905ae2e91f3ba (MD5) / Approved for entry into archive by Ana Luiza Holme (ana.holme@fgv.br) on 2015-11-03T15:13:09Z (GMT) No. of bitstreams: 1 MasterThesis_FGV_MBK.pdf: 2335793 bytes, checksum: 0ce05e9480acae0f9da905ae2e91f3ba (MD5) / Made available in DSpace on 2015-11-03T15:16:18Z (GMT). No. of bitstreams: 1 MasterThesis_FGV_MBK.pdf: 2335793 bytes, checksum: 0ce05e9480acae0f9da905ae2e91f3ba (MD5) Previous issue date: 2015-09-24 / Reviewing the definition and measurement of speculative bubbles in context of contagion, this paper analyses the DotCom bubble in American and European equity markets using the dynamic conditional correlation (DCC) model proposed by Engle and Sheppard (2001) as an econometrical - and on the other hand the behavioral finance as an psychological explanation. Contagion is defined in this context as the statistical break in the computed DCCs as measured by the shifts in their means and medians. Even it is astonishing, that the contagion is lower during price bubbles, the main finding indicates the presence of contagion in the different indices among those two continents and proves the presence of structural changes during financial crisis. / Revendo a definição e determinação de bolhas especulativas no contexto de contágio, este estudo analisa a bolha do DotCom nos mercados acionistas americanos e europeus usando o modelo de correlação condicional dinâmica (DCC) proposto por Engle e Sheppard (2001) como uma explicação econométrica e, por outro lado, as finanças comportamentais como uma explicação psicológica. Contágio é definido, neste contexto, como a quebra estatística nos DCC’s estimados, medidos através das alterações das suas médias e medianas. Surpreendentemente, o contágio é menor durante bolhas de preços, sendo que o resultado principal indica a presença de contágio entre os diferentes índices dos dois continentes e demonstra a presença de alterações estruturais durante a crise financeira.

Submitted by Cristiano Estrada Gomes (crisgms@gmail.com) on 2017-03-07T21:01:05Z No. of bitstreams: 1 Análise empírica sobre os determinantes do investimento de pessoas físicas.pdf: 754584 bytes, checksum: f4160430d9e2a5c245d81ff3d9d2831d (MD5) / Approved for entry into archive by Renata de Souza Nascimento (renata.souza@fgv.br) on 2017-03-07T23:41:45Z (GMT) No. of bitstreams: 1 Análise empírica sobre os determinantes do investimento de pessoas físicas.pdf: 754584 bytes, checksum: f4160430d9e2a5c245d81ff3d9d2831d (MD5) / Made available in DSpace on 2017-03-09T12:57:22Z (GMT). No. of bitstreams: 1 Análise empírica sobre os determinantes do investimento de pessoas físicas.pdf: 754584 bytes, checksum: f4160430d9e2a5c245d81ff3d9d2831d (MD5) Previous issue date: 2017-02-09 / When dealing with the behavior of individual investors, there a is common sense, provided by previous literatures, according to which individuals of lower purchasing power or education make worse investment decisions when compared to other groups in Brazilian society. The survey Pesquisa de Orçamentos Familiares (POF), conducted by Instituto Brasileiro de Geografia e Estatística (IBGE) in the period between 2008 and 2009, asks to its respondents, in addition to several other economic and behavioral characteristics, their investments and redemptions in categories such as: stocks, savings (known in Brazil as poupança), foreign currencies, etc. Therefore, in order to discuss this perception, this work proposes an empirical analysis of the determinants of individual investments, using econometric concepts applied to the databases generated by IBGE as a strategy. Findings indicate strong evidence of the relationship between income and education and individual’s investment decisions, leading to a discussion about the impacts that these decisions have on income concentration and the increasing social inequality. / Ao tratar do comportamento de investidores individuais, há o senso comum, provido por literaturas anteriores, de que indivíduos de menor poder aquisitivo ou menor grau de educação apresentam piores decisões de investimento quando comparados aos demais grupos da sociedade brasileira. A Pesquisa de Orçamentos Familiares (POF), desenvolvida pelo Instituto Brasileiro de Geografia e Estatística (IBGE) no período entre 2008 e 2009, questiona aos seus pesquisados, além de outras várias características econômicas e comportamentais, quais foram seus aportes e resgates em categorias de investimento como: ações, Certificado de Depósito Bancário (CDB), poupança, moedas estrangeiras etc. Sendo assim, com a finalidade de discutir essa percepção, o presente trabalho propõe a análise empírica dos determinantes do investimento de pessoas físicas, utilizando como estratégia a aplicação de conceitos econométricos às bases de dados geradas pelo IBGE. Os resultados obtidos indicam fortes evidências do relacionamento da renda e educação com as decisões de investimento observadas, levando à discussão sobre os impactos que esses efeitos comportamentais ocasionam na concentração de renda e no aumento da desigualdade social.

Made available in DSpace on 2010-04-20T21:00:20Z (GMT). No. of bitstreams: 3 jangunnarturma2003.pdf.jpg: 10051 bytes, checksum: df88fdfd6e17321066b537955510eaa6 (MD5) jangunnarturma2003.pdf: 1111996 bytes, checksum: daac86ce20772b84398c288cb8db5618 (MD5) jangunnarturma2003.pdf.txt: 144885 bytes, checksum: 8fad500e005c99904f6f5d186533c797 (MD5) Previous issue date: 2006-02-17T00:00:00Z / We study the behavior of a large number of investors, including individuals, corporations and institutions, in the São Paulo Stock Exchange (BOVESPA) by analyzing a history of transactions from 2001 to 2004. Our objective is to investigate whether the disposition effect, i.e. the tendency to sell winners quicker than losers, demonstrated in various empirical papers for a number of stock markets, also holds for investors in the BOVESPA. Using various different cross-sectional measures of the disposition effect, we find that investors tend to sell winners quicker than losers measured for the period as a whole as well as in each year. However, when we test for the disposition effect by investor type, we find different results. While individual investors continue to show the disposition effect, we obtain ambiguous results for the investment behavior of corporations and institutions. The segmentation of the investors´ base by type of investor brings important insights on the presence of the disposition effect. Using a time-series measure of the disposition effect, we find that in every year, all types of investors tend to sell winners quicker than losers, with the exception of the value-based measure for the institutional investor in the year 2004. In order to validate the previous results we analyze the impact that other factors may have on the disposition effect, such as: tax-motivated selling, rebalancing, dividends and the influence of significant price drops in three liquid stocks. We demonstrate that none of these factors changed the tendency to realize winners quicker than losers. / Investigamos o padrão de comportamento de um grande número de investidores entre pessoas físicas, pessoas jurídicas institucionais e não-institucionais que transacionaram na Bolsa de Valores de São Paulo (BOVESPA) entre 2001 e 2004. Nosso objetivo foi testar o efeito disposição, ou seja, a tendência a realizar ganhos (winners) antes de perdas (losers), já demonstrado em vários estudos empíricos. Usando várias medidas do efeito disposição em corte-transversal, demonstramos que todos os investidores tendem a realizar winners antes do que losers ao longo de todo o período analisado assim como para cada ano. Entretanto, quando testamos para o efeito disposição por tipo de investidor encontramos resultados distintos. Enquanto os investidores pessoa física ainda apresentam o efeito disposição, os demais investidores demonstram um comportamento ambíguo. Podemos concluir que a segmentação por tipo de investidor traz contribuições relevantes na avaliação do efeito disposição. Usando uma medida em séries temporais, o efeito disposição foi encontrado em todos os anos e para todos os investidores, com exceção dos investidores institucionais no ano de 2004, na utilização da medida baseada em valor (R$). Para validar o resultado anterior aplicamos testes complementares comparando os resultados após isolar alguns fatores como: vendas motivadas pela tributação, rebalanceamento, dividendos e a influência de quedas bruscas de preços de três ações com liquidez. Demonstramos que nenhum destes fatores alterou a tendência a realizar winners antes do que losers.

Submitted by Daniel Pires (danielpcr@hotmail.com) on 2011-03-02T17:43:09Z No. of bitstreams: 1 Dissertação - Daniel Pires Campos Ribeiro - Revisão v2.pdf: 522500 bytes, checksum: 34144c9e44a0828dcc774f0e934b9d42 (MD5) / Approved for entry into archive by Gisele Gammaro(gisele.gammaro@fgv.br) on 2011-03-02T18:45:08Z (GMT) No. of bitstreams: 1 Dissertação - Daniel Pires Campos Ribeiro - Revisão v2.pdf: 522500 bytes, checksum: 34144c9e44a0828dcc774f0e934b9d42 (MD5) / Made available in DSpace on 2011-03-14T14:12:28Z (GMT). No. of bitstreams: 1 Dissertação - Daniel Pires Campos Ribeiro - Revisão v2.pdf: 522500 bytes, checksum: 34144c9e44a0828dcc774f0e934b9d42 (MD5) Previous issue date: 2011-12-16 / The Prospect Theory is one of the basis of Behavioral Finance and models the investor behavior in a different way than von Neumann and Morgenstern Utility Theory. Behavioral characteristics are evaluated for different control groups, validating the violation of Utility Theory Axioms. Naïve Diversification is also verified, utilizing the 1/n heuristic strategy for investment funds allocations. This strategy causes different fixed and equity allocations, compared to the desirable exposure, given the exposure of the subsample that answered a non constrained allocation question. When compared to non specialists, specialists in finance are less risk averse and allocate more of their wealth on equity. / A Teoria do Prospecto é uma das bases das novas Finanças Comportamentais e tenta modelar de forma distinta da Teoria de Utilidade Esperada o comportamento dos investidores, indo além da racionalidade. A avaliação das características comportamentais identifica padrões de comportamento para grupos de controle, confirmando violações aos axiomas da Teoria da Utilidade Esperada. É verificado também que a alocação de investimentos é compatível com a teoria de diversificação ingênua, utilizando a estratégia heurística 1/n para as alocações em fundos de investimento. Além disso, verificamos que esta estratégia de alocação implica em uma exposição à renda fixa e variável diferente da realmente preferida, quando tomada como parâmetro a alocação de um subgrupo da amostra que revelou a alocação desejada em uma pergunta sem restrições. Quando comparados aos não especialistas em finanças, a propensão a risco e alocação em renda variável dos especialistas em finanças é maior.

Submitted by Ricardo Fuscaldi de Figueiredo Baptista (rfuscaldi@uol.com.br) on 2011-07-16T21:36:15Z No. of bitstreams: 1 Thesis_RFuscaldi_14.07.2011_IMPRESSÃO.pdf: 2129610 bytes, checksum: 9b4f08f17097d988cfd7a3c2b340dd62 (MD5) / Rejected by Gisele Isaura Hannickel (gisele.hannickel@fgv.br), reason: Bom Dia Ricardo Fuscaldi, O arquivo PDF deve ser inserido já com a ficha catalográfica. O arquivo anexado não consta a mesma. Em caso de dúvidas estamos à disposição. Att, Gisele on 2011-07-18T11:10:02Z (GMT) / Submitted by Ricardo Fuscaldi de Figueiredo Baptista (rfuscaldi@uol.com.br) on 2011-07-18T12:42:05Z No. of bitstreams: 1 Thesis_RFuscaldi_com ficha.pdf: 2271072 bytes, checksum: b4df31e522a6a117529b915607ebdb38 (MD5) / Approved for entry into archive by Gisele Isaura Hannickel (gisele.hannickel@fgv.br) on 2011-07-18T12:45:36Z (GMT) No. of bitstreams: 1 Thesis_RFuscaldi_com ficha.pdf: 2271072 bytes, checksum: b4df31e522a6a117529b915607ebdb38 (MD5) / Approved for entry into archive by Gisele Isaura Hannickel (gisele.hannickel@fgv.br) on 2011-07-18T12:46:57Z (GMT) No. of bitstreams: 1 Thesis_RFuscaldi_com ficha.pdf: 2271072 bytes, checksum: b4df31e522a6a117529b915607ebdb38 (MD5) / Made available in DSpace on 2011-07-18T12:52:30Z (GMT). No. of bitstreams: 1 Thesis_RFuscaldi_com ficha.pdf: 2271072 bytes, checksum: b4df31e522a6a117529b915607ebdb38 (MD5) Previous issue date: 2011-06-16 / The purpose of this study is to empirically analyze the main factors that determine the first-day return and the Flipping activity in Brazilian IPOs, taking into account expected results according to national and international researches. The data base encompasses IPOs that took place between May 2004 and February 2011, summing up to 129 IPOs and approximately R$ 128 billion offering. The first-day return, which means the ‘money left on the table’, was on average 4.6% taking into consideration the issue price, while the Flipping activity totalized R$ 7.2 billion, meaning 5.6% of the offering. The first-day return was analyzed before and after the first trade, and evidences were found supporting (a) the exogenous determination of the issue price, (b) the opening price dependence of prospectus disclosure and of other variables, observable previously to the bookbuilding process, and (c) the cascade behavior of investors in the pricing after the first trade, particularly driven by the underwriter behavior. In regards to the Flipping, it was notorious depending on how much the IPO succeeded, being concentrated in and homogeneous along the first-day, despite the intense negotiation in the first minute. As a general contribution to literature, it was concluded that Information Asymmetry Theory arguments are not sufficient to explain the first-day Underpricing and the Flipping, being necessary arguments based on Behavioral Finance adapted to an intraday perspective. / Este trabalho analisa empiricamente os fatores determinantes do retorno e do ‘Flipping’ no primeiro dia de negociação em IPOs no Brasil, levando em consideração os resultados esperados pela literatura nacional e internacional. A base de dados inclui IPOs realizados entre maio de 2004 e fevereiro de 2011, totalizando 129 IPOs com ofertas primária e/ou secundária e envolvendo em torno de R$ 128 bilhões. O retorno do primeiro dia, que caracteriza o ‘dinheiro deixado na mesa’, foi em média de 4,6% com relação ao preço de emissão, enquanto o ‘Flipping’ totalizou R$ 7,2 bilhões, ou seja, 5,6% da oferta. Para o retorno, analisado antes e depois da abertura, evidenciou-se (a) a determinação exógena do preço de emissão, além da (b) influência no preço de abertura do ‘disclosure’ do prospecto e de outras variáveis observáveis antes do processo de ‘bookbuilding’, como também (c) o comportamento em ‘cascata’ dos investidores na formação de preços após a abertura, particularmente catalisada pela atuação do ‘underwriter’. Já o ‘Flipping’ foi mais proeminente conforme o sucesso do IPO, sendo concentrado no primeiro dia, mas homogêneo ao longo deste, apesar da intensa negociação no primeiro minuto. Como contribuição geral para a literatura, foi constatada a insuficiência dos argumentos baseados na Teoria da Assimetria da Informação na explicação do ‘Underpricing’ e do ‘Flipping’ no primeiro dia, sendo identificada a complementaridade de argumentos baseados em Finanças Comportamentais adaptados para o mercado intradiário

Submitted by Gisele Isaura Hannickel (gisele.hannickel@fgv.br) on 2011-09-05T20:01:59Z No. of bitstreams: 1 Thesis finale version.pdf: 527455 bytes, checksum: 835e5bc14bf6752ff6f9c73158e3eb1a (MD5) / Approved for entry into archive by Gisele Isaura Hannickel (gisele.hannickel@fgv.br) on 2011-09-05T20:02:37Z (GMT) No. of bitstreams: 1 Thesis finale version.pdf: 527455 bytes, checksum: 835e5bc14bf6752ff6f9c73158e3eb1a (MD5) / Approved for entry into archive by Gisele Isaura Hannickel (gisele.hannickel@fgv.br) on 2011-09-05T20:03:00Z (GMT) No. of bitstreams: 1 Thesis finale version.pdf: 527455 bytes, checksum: 835e5bc14bf6752ff6f9c73158e3eb1a (MD5) / Made available in DSpace on 2011-09-06T10:57:20Z (GMT). No. of bitstreams: 1 Thesis finale version.pdf: 527455 bytes, checksum: 835e5bc14bf6752ff6f9c73158e3eb1a (MD5) Previous issue date: 2011-08-08 / Behavioral finance, or behavioral economics, consists of a theoretical field of research stating that consequent psychological and behavioral variables are involved in financial activities such as corporate finance and investment decisions (i.e. asset allocation, portfolio management and so on). This field has known an increasing interest from scholar and financial professionals since episodes of multiple speculative bubbles and financial crises. Indeed, practical incoherencies between economic events and traditional neoclassical financial theories had pushed more and more researchers to look for new and broader models and theories. The purpose of this work is to present the field of research, still ill-known by a vast majority. This work is thus a survey that introduces its origins and its main theories, while contrasting them with traditional finance theories still predominant nowadays. The main question guiding this work would be to see if this area of inquiry is able to provide better explanations for real life market phenomenon. For that purpose, the study will present some market anomalies unsolved by traditional theories, which have been recently addressed by behavioral finance researchers. In addition, it presents a practical application of portfolio management, comparing asset allocation under the traditional Markowitz’s approach to the Black-Litterman model, which incorporates some features of behavioral finance. / Finanças comportamentais, ou economia comportamental, consiste em um campo teórico que justifica que existe importantes variáveis psicológicas e comportamentais que estejam envolvidos em actividades financeiras, tais como decisões de finanças corporativas e de investimentos (alocação de ativos, gestão de portfólios e assim por diante). Este campo tem experimentado um crescente interesse de acadêmicos e profissionais da área financeira desde episódios de várias bolhas especulativas e crises financeiras. Na verdade, incoerências entre os eventos observados no mercado real e a teoria financeira tradicional estão levando mais e mais pesquisadores a olhar para modelos e teorias novos e mais abrangentes. O objetivo deste trabalho é fazer uma revisão do campo de finanças comportamentais, ainda pouco conhecido pela maioria das pessoas. Este trabalho apresentará as suas origens e suas principais teorias, contrastando-as com as teorias tradicionais de finanças. A principal questão que orienta o trabalho é identificar se esta área é capaz de fornecer melhores explicações para os fenômenos reais de mercado. Para esse efeito, o documento vai relatar algumas anomalias anomalias de mercado que não são explicadas pelas teorias tradicionais, que foram atualmente abordadas pelos estudiosos de finanças comportamentais. Além disso, o estudo faz uma aplicação prática para a atividade de gestão de carteiras, comparando a alocação de ativos resultante do modelo tradicional de Markowitz à obtida do modelo de Black e Litterman, que adiciona algumas questões de finanças comportamentais.