估價平滑相關研究大多採取Quan and Quigley（1991）提出的理性行為解釋估價師的部分調整行為。然而財務行為學認為行為人通常具有非理性的行為，因此本研究以保守性心理偏誤解釋部分調整行為，探討非理性心理對於估價師之影響。為了捕捉估價師個體的行為資訊，本研究以台灣不動產投資信託的重估價結果作為研究資料，檢視估價師對市場新資訊和過去估值的處理行為。本研究首先應用部分調整模型進行實證分析，結果發現台灣估價師確實具有部分調整行為，相對較低估市場價值資訊的權重，而此類保守性偏誤即為總體估價平滑效果的展現。此外進一步以Tobit Model進行市場價值資訊權重的影響因素分析，結果發現市場資訊的權重會受到心理效果而改變，當估價方法價值差異率越大時，估價師會降低市場資訊的權重，展現了對模糊事件的趨避傾向。捷思法可以幫助估價師提升效率，但過度依賴捷思法亦有可能引發錯誤和偏差；本研究發現模糊趨避效果顯示估價師更重視市場資訊的可信度，似較符合估價證據之要求，故非理性心理偏誤對估價師言非全為負面影響。 / Previous appraisal smoothing studies were based on the appraiser rational behavior assumptions which developed by Quan and Quigley (1991) and found that appraisers do insufficiently react to market fluctuate. However, this paper starts with behavioral finance theory to investigate the partial adjustment behavior of Taiwan appraisers, using the reappraisals of Taiwan Real Estate Investment Trust (T-REITs) to show each appraiser’s behavioral intention at disaggregate level which could be diversified away at aggregate level. This study tests the partial adjustment model to observe the weights of new market information and previous estimates of the same property reappraisal. The results show that Taiwan appraisers more rely on the previous estimates, namely the conservatism bias, which will induce the appraisal smoothing at aggregate level. Further, the Tobit Model is employed to test the influence factors of appraisers’ weight on new market information, and the results show weights on new market information will be affected by appraisers’ heuristics. There is a negative effect to weights on new market information which stands for the ambiguity aversion of appraisers. It shows appraiser do concern about the reliability of market evidence which is much accord with the appraisal normative model.

本研究主要是以「外匯報酬三因子模型」為基礎，故先檢視在本樣本期間內(1985/2至2016/10) ，以雙分類法將37國主流貨幣分為9個投組後，外匯超額報酬解釋力，是否會因加入動能策略因子形成之三因子模型，而較原本兩因子模型(市場因子、利差策略因子)來的強？最終測得三因子模型在判斷係數及殘差等適切度表現較佳。 接著利用逐步迴歸分析法(限制所有自變數均須於90%信心水準內顯著)嘗試尋找獲利成因，主要挑選出不同面向之11種經濟成因因子(股價指數波動、投機活動、流動性、貨幣波動、落後短期利率、落後股利率、落後期限利差、落後違約利差、)落後避險基金套利資本、工業生產量及通膨率因子)來檢測可否解釋三因子模型中獲取報酬之利差、動能策略因子，並利用Fama-MacBeth兩步驟橫斷面迴歸法評估模型市場定價能力。結果發現定價能力均顯著，而利差交易策略之成因為股價指數波動因子(△EVOL)，因其可能連動匯率波動而呈現負相關；動能交易策略成因則為股價指數波動因子(△EVOL)及落後期限利差因子(△LTS)，主要因動能交易主要來自於市場資訊反應不完全，前者成因因子提供更大的動量執行交易策略、後者則因投資人在不同景氣循環下而有不同的投資反應，如景氣擴張的過度自信與樂觀、景氣衰退下產生行為財務領域中的處置效果，使兩成因與動能策略因子呈現正相關。 / This paper is based on the model of three-factors foreign exchange returns. So we test whether three-factors FX model which adds the factor of momentum can have stronger ability to explain currency excess return than two-factors FX model in the sampling period of February 1985 to October 2016. And the 37 kinds of currency are sorted by double sort method and become 9 portfolios. Finally, no matter coefficient of determination or residual error, three-factors FX model performs well. Further, we use stepwise LS regression (independent variable should have statistical significance in 90% confidence interval) to find which factor we choose can cause carry and momentum strategy profit in three-factors FX model. Next, using Fama-MacBeth two-step regression to estimate the asset pricing ability. The results represent that all contribution factors which get from stepwise LS method are significant. Carry trade strategy and △EVOL are negative correlation, because volatility of stock index will influence volatility of FX. And there have the positive correlation between momentum trade strategy and two factors(△EVOL and △LTS). Just because the profit from momentum strategy comes from the incomplete reaction of market information and △EVOL give more motive force. Besides, there have different investment reactions in diverse business cycle. Investors are over confident and optimistic during the period of recession and have disposition effect during the period of boom.

[pt] Como os retornos das carteiras formadas por ações de setores econômicos brasileiros são utilizados pelos investidores? As informações contidas nesses retornos são capazes de explicar os movimentos das ações brasileiras? O objetivo do presente trabalho é ajudar a responder a essas perguntas ao pesquisar se os retornos e a volatilidade dos fatores SMB e HML do modelo de três fatores de Fama e French podem ser previstos pelos retornos passados de 16 carteiras formadas por empresas de um mesmo setor econômico listadas na BM&FBOVESPA no período de 1995 a 2012. A análise revela que 14 de 16 setores preveem o retorno do SMB para um mês à frente. Ademais, os retornos de um número significante de setores preveem a volatilidade do SMB e HML para até três meses adiante. Considerando a capacidade explicativa do modelo de Fama e French para o mercado brasileiro, os resultados desta pesquisa indicam que os retornos setoriais brasileiros contêm informações valiosas para os fatores SMB e HML, demonstrando que os investidores não conseguem absorver todas as informações disponíveis em um tempo hábil, fazendo com que estas se difundam gradualmente no mercado. / [en] How are the brazilian industry returns used by investors? Can the information contained in these returns explain the movements of Brazilian shares? The purpose of this work is to help answer these questions by examining whether the returns and the volatility of SMB and HML factors of Fama-French threefactor model can be predicted by past returns of 16 portfolios formed by companies from the same industry listed on São Paulo Stock Exchange (BM&FBOVESPA) between 1995 and 2012. The analysis reveals that 14 of 16 industries predict the SMB returns one month ahead. Furthermore, the returns of a significant number of industries predict the volatility of SMB and HML factors up to three months ahead of time. Considering the explanatory capability of the Fama-French model for the Brazilian market, the results of this research show that Brazilian industry returns contain valuable information for the SMB and HML factors, demonstrating that investors cannot absorb all the information in a timely manner, resulting in their gradual diffusion throughout the market.

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Bakgrund: Det finns ett starkt intresse kring klimat- och hållbarhetsrelaterade frågor idag vilket speglar sig i allmän opinion och i politiska debatter. Den rationella investeraren antas placera sina pengar med hänsyn tagen till beslutskriterier som risk och avkastning. Men frågan är om etiska och hållbara ställningstaganden kommer till uttryck i människors val av placeringar? Syfte: Syftet med denna uppsats är att testa ifall individer tenderar att välja socialt hållbara investeringar i större utsträckning då de reflekterar över sina attityder och värderingar kring etik och hållbarhet i samband med ett placeringsval. Teori: Studien grundar sig i en deduktiv ansats, där vi utifrån rådande teorier inom ekonomi och beteendevetenskap skapat ett antagande om människan. Antagandet är att människan investerar utifrån beslutskriterierna risk och avkastning, men att denne även har etiska värderingar och attityder som tenderar att falla bort vid placeringsvalet p.g.a. bristande rationalitet och kognitiv bias. Det uppstår därmed en dissonans mellan människans beteende och dess attityder och värderingar. Denna dissonansen ska reduceras genom en system 2 nudge som låter investeraren reflektera över sina värderingar och attityder rörande hållbarhet och etik innan placeringsvalet. Detta för att se om det kan leda till en högre andel placeringar i socialt hållbara investeringar. Empirisk metod: Den empiriska metoden bestod av ett enkätexperiment där två grupper av respondenter fick göra ett hypotetiskt placeringsval, men där experimentgruppens enkät innehöll en system 2 nudge innan valet. Resultat: Vår nudge fick ingen signifikant påverkan på respondenternas placeringsval. Detta kan delvis förklaras av ett felaktig antagande om människan som redan placerade mer hållbart än förväntat samt bristande effektivitet av vår system 2 nudge i kontexten av denna studie. / Background: Climate- and sustainable related questions are strong topics in today’s society and are highly debated by decision-makers. The rational investor is supposed make investments based on risk and return. But the question is if the concerns about sustainability and ethics really influence the decision of the investor? Purpose: The purpose of this study is to test if individuals tend to invest more in SRI (Socially responsible investments) if they have a moment of reflection regarding ethics and sustainability before an investment decision. Theory: We apply a deductive approach, by creating an assumption of how humans function according to economics and behavioral science. Due to theory, humans can be seen as rational investors who solely make investment decision based on risk and return. But they can also have strong attitudes and values regarding social responsibility, which because of bounded rationality and cognitive bias tend not to be included as criteria in investment decisions. This creates a dissonance between the person's values and attitudes and their investment decisions. To make people invest more in consonance with their values and attitudes we construct a system 2 nudge that let them reflect about their view of ethics and sustainability before an investment decision. This can lead to increased investments in SRI. Empirical method: The empirical method consisted of a survey experiment in which the participants were asked to make a hypothetical investment decision. The treatment survey contained a system 2 nudge before the investment decision, while the control survey remained neutral. Results: The nudge, or the reflection of attitudes and values by the investor, had no significant effect on their investment decision. This can partly be explained by a wrong assumption of the rational investor who already invested according to their values and attitudes, and by a lack of effectiveness of our system 2 nudge in the context of this study.

Diese kumulative Dissertation untersucht die Rolle von Informationen und Finanzkompetenz im deutschen Crowdinvesting-Markt. Die erste Studie erforscht den Zusammenhang zwischen dem Umfang der von Start-Ups auf Companisto veröffentlichen Informationen und dem Investitionsverhalten von Crowdinvestoren auf Basis proprietärer Nutzer-level Companisto-Daten. Meine Ergebnisse deuten darauf hin, dass (unerfahrene) private Investoren, im Gegensatz zu institutionellen Investoren, auch „weiche“ Informationen im Rahmen ihrer Investitionsentscheidungen berücksichtigen. Meine zweite Studie untersucht das tatsächliche Informationsverhalten von Crowdinvestoren im Vorfeld von Investitionen auf Basis von Nutzer-level Google Analytics-Daten. Meine Ergebnisse suggerieren, dass Investoren einen Großteil der von Start-ups bereitgestellten Informationen im Vorfeld von Investitionen ignorieren. Darüber hinaus zeige ich auf, dass das Informationsverhalten von Investoren mit den demografischen Merkmalen, der Crowdinvesting-Erfahrung und den (durchschnittlichen) Investitionsbeträgen von Investoren zusammenhängt. Meine Ergebnisse deuten zudem darauf hin, dass Investoren beim Vorliegen potentieller Indikatoren für die Qualität eines Start-ups bzw. bei weniger riskanten Investitionen, weniger Information akquirieren. In meiner dritten Studie, welche ich gemeinsam mit Joachim Gassen durchführe, untersuche ich den kausalen Effekt einer Online-Finanzschulung auf das Informations- und Investitionsverhalten von Crowdinvestoren im Rahmen eines Feldexperiments auf Companisto. Während das Experiment noch nicht abgeschlossen ist, motiviert der in dieser Dissertation enthaltene Zwischenbericht die zugrundeliegende Forschungsfrage und beschreibt das Forschungsdesign. Die vorläufigen Ergebnisse zeigen auf, dass Crowdinvestoren im Vergleich zu repräsentativen Stichproben der Gesamtpopulation, welche vergleichbaren Studien zugrunde liegen, ein signifikant höheres Maß an finanzieller Grundkompetenz aufweisen. / This cumulative Ph.D. thesis investigates the role of information and financial literacy in the German crowdinvesting market. Using proprietary investor-level data from Companisto, one of the largest German crowdinvesting portals, the first paper explores how the magnitude of start-ups’ disclosures on Companisto is associated with crowdinvestors’ investment behavior. My findings suggest that the investment decisions by both retail and institutional crowdinvestors are positively associated with the magnitude of start-ups’ voluntary disclosures. However, while start-ups’ ‘soft’ disclosures seem to play a role in the decision-making of (inexperienced) retail investors, they appear to be irrelevant for the investment decisions of institutional investors. My second thesis paper uses investor-level Google Analytics data to explore investors’ actual information acquisition prior to investing. My results indicate that crowdinvestors tend to neglect a substantial fraction of start-ups’ disclosures before investing. Moreover, I show that investors’ information acquisition varies with their demographics, their level of crowdinvesting experience as well as their (average) investment amounts. My findings further suggest that investors acquire less information in the presence of potential signals of start-up quality and (thus) in cases where the investment appears to be less risky. In my third paper, which is co-authored by Joachim Gassen, I study the causal effect of online financial training on crowdinvestors’ information and investment behavior by conducting a field experiment on Companisto. While the experiment is still ongoing, the interim report included in my thesis motivates the overall research question and explains the research design. Our preliminary results indicate that, compared to survey samples representative for the overall population, crowdinvestors exhibit a significantly higher level of ‘basic’ financial literacy.

Diese Dissertation erforscht, auf welchen unterschiedlichen Wegen Informationsverarbeitung Investitionsentscheidungen beeinflusst. Auf der Basis kontrollierter Laborexperimente wird untersucht, wie Entscheidungen mit der Art der Information sowie mit dem Entscheidungskontext variieren. Im ersten Kapitel legt ein Experiment die Schwierigkeit mit hypothetischem Denken bzw. mit dem Lernen aus hypothetischen Ereignissen offen. Im Kapitel Zwei untersucht ein anderes Experiment, wie Informationsverarbeitung die Reaktionen der Investoren auf Ambiguität verändert, denn ein eindeutiges, optimales Lernverhalten gibt es unter Ambiguität nicht. Das letzte Kapitel stellt anhand desselben Experiments die Unabhängigkeit zwischen dem Lernprozess und den Risikopräferenzen in Frage. / This dissertation investigates various channels through which information processing affects investment decisions. Controlled laboratory experiments allow for studying how subjects’ decisions vary with the type of information and the decision-context. The experiment in the first chapter discloses the difficulty with contingent reasoning, i.e. learning from hypothetical events. A different experiment in Chapter Two analyzes how information processing changes investors’ reactions to ambiguity—an environment with multiple rational learning rules. Using the same experiment, the last chapter questions the independence between belief updating and risk preferences.

L’augmentation massive du volume de données générées chaque jour par les individus sur Internet offre aux chercheurs la possibilité d’aborder la question de la prédictibilité des marchés financiers sous un nouvel angle. Sans prétendre apporter une réponse définitive au débat entre les partisans de l’efficience des marchés et les chercheurs en finance comportementale, cette thèse vise à améliorer notre compréhension du processus de formation des prix sur les marchés financiers grâce à une approche Big Data. Plus précisément, cette thèse porte sur (1) la mesure du sentiment des investisseurs à fréquence intra-journalière, et le lien entre le sentiment des investisseurs et les rendements agrégés du marché,(2) la mesure de l’attention des investisseurs aux informations économiques et financières en temps réel, et la relation entre l’attention des investisseurs et la dynamique des prix des actions des sociétés à forte capitalisation, et enfin, (3) la détection des comportements suspicieux pouvant amoindrir le rôle informationnel des marchés financiers, et le lien entre le volume d’activité sur les réseaux sociaux et le prix des actions des entreprises de petite capitalisation. Le premier essai propose une méthodologie permettant de construire un nouvel indicateur du sentiment des investisseurs en analysant le contenu des messages publiés sur le réseau social Stock-Twits. En examinant les caractéristiques propres à chaque utilisateur (niveau d’expérience, approche d’investissement, période de détention), cet essai fournit des preuves empiriques montrant que le comportement des investisseurs naïfs, sujets à des périodes d’excès d’optimisme ou de pessimisme, a un impact sur la valorisation du marché action, et ce en accord avec les théories de la finance comportementale. Le deuxième essai propose une méthodologie permettant de mesurer l’attention des investisseurs aux informations en temps réel, en combinant les données des médias traditionnels avec le contenu des messages envoyés par une liste d’experts sur la plateforme Twitter. Cet essai démontre que lorsqu’une information attire l’attention des investisseurs, les mouvements de marchés sont caractérisés par une forte hausse des volumes échangés, une hausse de la volatilité et des sauts de prix. Cet essai démontre également qu’il n’y a pas de fuite d’information significative lorsque les sources d’informations sont combinées pour corriger un potentiel problème d’horodatage. Le troisième essai étudie le risque de manipulation informationnelle en examinant un nouveau jeu de données de messages publiés sur Twitter à propos des entreprises de petite capitalisation. Cet essai propose une nouvelle méthodologie permettant d’identifier les comportements anormaux de manière automatisée en analysant les interactions entre les utilisateurs. Étant donné le grand nombre de recommandations suspicieuses d’achat envoyées par certains groupes d’utilisateurs, l’analyse empirique et les conclusions de cet essai soulignent la nécessité d’un plus grand contrôle par les régulateurs de l’information publiée sur les réseaux sociaux ainsi que l’utilité d’une meilleure éducation des investisseurs individuels. / The massive increase in the availability of data generated everyday by individuals on the Internet has made it possible to address the predictability of financial markets from a different perspective. Without making the claim of offering a definitive answer to a debate that has persisted for forty years between partisans of the efficient market hypothesis and behavioral finance academics, this dissertation aims to improve our understanding of the price formation process in financial markets through the use of Big Data analytics. More precisely, it analyzes: (1) how to measure intraday investor sentiment and determine the relation between investor sentiment and aggregate market returns, (2) how to measure investor attention to news in real time, and identify the relation between investor attention and the price dynamics of large capitalization stocks, and (3) how to detect suspicious behaviors that could undermine the in-formational role of financial markets, and determine the relation between the level of posting activity on social media and small-capitalization stock returns. The first essay proposes a methodology to construct a novel indicator of investor sentiment by analyzing an extensive dataset of user-generated content published on the social media platform Stock-Twits. Examining users’ self-reported trading characteristics, the essay provides empirical evidence of sentiment-driven noise trading at the intraday level, consistent with behavioral finance theories. The second essay proposes a methodology to measure investor attention to news in real-time by combining data from traditional newswires with the content published by experts on the social media platform Twitter. The essay demonstrates that news that garners high attention leads to large and persistent change in trading activity, volatility, and price jumps. It also demonstrates that the pre-announcement effect is reduced when corrected newswire timestamps are considered. The third essay provides new insights into the empirical literature on small capitalization stocks market manipulation by examining a novel dataset of messages published on the social media plat-form Twitter. The essay proposes a novel methodology to identify suspicious behaviors by analyzing interactions between users and provide empirical evidence of suspicious stock recommendations on social media that could be related to market manipulation. The conclusion of the essay should rein-force regulators’ efforts to better control social media and highlights the need for a better education of individual investors.

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Made available in DSpace on 2016-04-25T16:44:40Z (GMT). No. of bitstreams: 1 Gabriel Santos Alberto.pdf: 1530144 bytes, checksum: 5d3e547ec9c1168ac27b5519e48cd67d (MD5) Previous issue date: 2014-09-24 / The aim of this study was to investigate the relationship between the theory of psychological types and the decision-making, focusing on behavioral biases, anchoring, overconfidence, representativeness, mental accounting and loss aversion. A questionnaire was developed and 319 valid responses were obtained. We used descriptive statistics, parametric and nonparametric tests, and structural equation modeling, using IBM SPSS Statistics and AMOS. The results show that decision-making is influenced by the dimension extraversion-introversion, sensation-intuition, thinking-feeling, judgment-perception, gender, education, income and age. The extraversion-introversion dimension influence on the anchoring and loss aversion bias, sensation-intuition on the representativeness bias; thinking-feeling on the overconfidence, representativeness and loss aversion bias; judgment-perception on the overconfidence, representativeness, mental accounting and loss aversion bias; gender on the anchoring, overconfidence, representativeness, mental accounting and loss aversion bias; education on the overconfidence, representativeness and loss aversion bias; income on the anchoring, overconfidence, representativeness, mental accounting and loss aversion bias, and age on the anchoring, overconfidence, representativeness and mental accounting bias. This work contributes adding new evidence that behavior of decision makers is influenced by psychological types and therefore bias is possible to be mitigated / O objetivo do trabalho foi verificar a relação entre a teoria dos tipos psicológicos e as decisões dos indivíduos, sob a luz dos vieses comportamentais, ancoragem, excesso de confiança, representatividade, contabilidade mental e aversão a perdas. Foi elaborado um questionário e foram obtidas 319 respostas válidas. Utilizou-se de análises descritivas, teste paramétrico, não paramétrico e modelagem de equações estruturais, utilizando o IBM SPSS Statistics e o AMOS. Os resultados mostram que as tomadas de decisões são influenciadas pela dimensão extroversão-introversão, sensação-intuição, pensamento-sentimento, julgamento-percepção, gênero, escolaridade, renda e idade. A dimensão extroversão-introversão influencia no viés ancoragem e aversão a perdas; a sensação-intuição no viés representatividade, o pensamento-sentimento no viés excesso de confiança, representatividade e aversão a perdas; o julgamento-percepção no viés excesso de confiança, representatividade, contabilidade mental e aversão a perdas; o gênero no viés ancoragem, excesso de confiança, representatividade, contabilidade mental e aversão a perdas; a escolaridade com o viés excesso de confiança, representatividade e aversão a perdas; a renda com o viés ancoragem, excesso de confiança, representatividade, contabilidade mental e aversão a perdas, e a idade com o viés ancoragem, excesso de confiança, representatividade e contabilidade mental. O presente trabalho contribui agregando novas evidências da influência dos tipos psicológicos no comportamento dos tomadores de decisão, que certos tipos psicológicos estão mais propensos a certos vieses comportamentais, e, assim sendo, há possibilidade de mitigar os vieses, seja na esfera corporativa ou governamental