Loss aversion is a theory which states that losses loom larger than gains. Negative outcomes are weighted heavier than positive outcomes in decision making but could this weight change when different prospects are evaluated? This thesis focuses on how the loss aversion changes toward different magnitudes of a loss for young individuals when they are faced with a 50/50 chance of winning or losing a gamble. The loss aversion is tested toward six different magnitudes of a potential loss ranging from 100 kr to 4 000 kr. The loss aversion toward these six different magnitudes is then compared to examine how the loss aversion changes. This data was collected using a survey experiment that was digitally distributed to economics students at Linnaeus University in Växjö.The results from the subsequent analysis showed that the loss aversion was not constant towards all six losses. The loss aversion was different in ten out of fifteen pairwise comparisons. Respondents became more loss averse when the loss increased but the loss aversion did however seem to be less sensitive to increases in losses above the 1 000 kr mark.

Purpose: Retirement planning has been declining rapidly all over the world due to the shift of self-funding mechanisms, such as moving from a Defined Benefit (DB) plan to the Defined Contribution (DC) plan, where individuals are required to manage their own financial wealth. Due to this rapid shift, there has been an increase in demand for financial advisors to assist individuals with decision-making and explain complex financial concepts with the perception of guiding households to build their retirement wealth. The aim of the study is to examine the relationship between retirement planning and financial advice as a predictor for retirement adequacy to determine if the latter will have any influence in helping South Africans be financially independent when they retire. This study was compelled by the fact that no or limited prior studies have been conducted in the South African context on the relationship between financial advice and retirement planning. Design/methodology/approach: In order to investigate the relationship and influence of financial advice on retirement planning, a South African Social Attitudes Survey that was conducted in 2011 by the Human Sciences Research Council was used. The chi-square and the logistic regression statistical techniques were applied to test the study hypotheses using the data from the survey. The following hypotheses were included: H0: There is no relationship between retirement planning and financial advice. H1: There is a relationship between retirement planning and financial advice. H0: There is no relationship between socio-demographics and retirement planning. H2: There is a relationship between socio-demographics and retirement planning. H0: There is no relationship between socio-demographics and financial advice. H3: There is a relationship between socio-demographics and financial advice. Findings: The results indicate that there is a positive relationship between retirement planning and financial advice. The more individuals seek financial advice the more they tend to adequately plan for retirement. Practical implications: In view of the strong relationship between the two variables, employers, government and institutions should prioritize making financial advice an essential part of retirement planning for employees. / Mini Dissertation (MCom)--University of Pretoria, 2020. / Financial Management / MCom (Financial Management) / Unrestricted

Syftet med studien är att kartlägga fastighetsvärderarens problematik och de potentiella riskområden värderaren stöter på i sin värderingsprocess. Uppsatsen har även undersökt vad branschen vill se för förändringar på marknaden för värdering av kommersiella fastigheter. Alla fastighetsvärderare utsätts för ”fallgropar” under en värderingsprocess. Uppsatsen svarar på varför dessa problem finns och visar bland annat på problematiken kring maktbalansen mellan värderare och beställare, informationsassymetri och långsiktiga relationers inverkan på värderarens oberoende ställning. För att få en djupare förståelse för värderarens arbete och tankar kring värderingsbranschen har kvalitativa intervjuer genomförts med sex representanter från utvalda företag. Respondenterna har valts med hänsyn till ålder, kön, utbildning och antal år inom branschen. Den information som framkommit från intervjuerna har främst fått stöd av beslutsteori och finansiell beteendevetenskap, även kallad behavioural finance. Annan teoretisk grund för uppsatsen har lagts med hjälp av ”the economic man” och studier gällande eftergymnasiala utbildningar vid universitet. Med hjälp av respondenternas kunskap om värderingsbranschen och den berörda teorin har frågeställningen studerats och utretts. Det finns skeva förutsättningar i en fastighetsvärderares arbete som gör att denne medvetet eller omedvetet kan ge felaktiga värdeutlåtanden. Aktörer i värderingsbranschen har flaggat för att en ökad kontroll av auktoriserade värderares arbete skulle skapa en mer rättvis bransch. Åtgärder för de systematiska fel och fallgropar som framkommit under arbetet med uppsatsen handlar främst om hur relationen mellan beställare och värderare skall förändras och förbättras. / The purpose of the study is to show the property appraiser's problems and the potential risk areas that the valuer encounters in the valuation process. The essay has also investigated what the industry wants to change in the market for valuation of commercial real estate. All property valuer’s are subjected to "pitfalls" during a valuation process. The essay gives us the answer to why they exist and focuses on the problem of the balance of power between the valuer and the client, information asymmetry and the impact of long-term relationships on the valuer's independent position. In order to gain a deeper understanding of the valuer's work and thoughts on the valuation industry, qualitative interviews have been conducted with six representatives from selected companies. Respondents have been selected with regard to age, sex, education, position and number of years in the industry. The information obtained from the interviews has received support mainly from decision theory and behavioral finance. Other theoretical areas that have been used in the essay is "the economic man" and studies on post-secondary education at universities. With the help of the respondents' knowledge of the valuation industry and the relevant theory, the main question and problem of the essay has been investigated. There are conditions in a property valuer's work that sometimes makes it difficult to properly estimate the value of a commercial real estate or causes the appraiser to unintentionally giving flawed valuations. Market participants in the valuation market have flagged that increased oversight of authorized valuer’s' work would create a more fair industry. Measures for the systematic errors and pitfalls that emerged during the work with the essay are mainly about how to change and improve the relationship between the client and the valuer.

Syftet: Studien syftar till att analysera och beskriva den abnormala avkastningen på aktier inom hotellbranschen under Covid-19. Ytterligare analyseras agerandet av hotellföretagens största aktieägare under pandemin för att skapa en förståelse för hur storägarna hanterade sitt aktieinnehav.Teori: I denna studie tillämpas teorierna de effektiva marknadshypotesen och behavioral finance.Metod: Studien tillämpar en kvantitativ metod och för att uppfylla syftet har både en eventstudie gjorts av de 20 största börsnoterade hotellföretagen i världen under tidsperioden 24 oktober 2019 till 24 april 2020. Ytterligare har årsredovisningar för hotellföretagen 2016 och 2021 analyserats.Resultat: Resultatet visade ovanliga nedgångar på aktiemarkanden och att det förekom statistisk signifikant abnormal avkastning inom hotellbranschen under Covid-19. De största aktieägare valde att antingen behålla eller öka sitt aktieinnehav.Slutsats: Slutsatsen dras att marknaden inte var effektiv under studieperioden enligt den effektiva marknadshypotesen och behavioral finance bekräftas. Trots att branschen var hårt drabbad av pandemin, valde hotellföretagens största ägare att inte sälja av sitt aktieinnehav.

This thesis investigates the effects football games in major international tournaments have on stock market returns. The major international football tournaments are limited to the FIFA World Cup and the UEFA European Championship, and the games studied are only the finals of these tournaments. The thesis deploys a method of difference in difference with synthetic control groups to capture any effects winning or losing of these games may have on the stock market returns in the following days. The last 22 years of finals in the FIFA World Cup and UEFA European Championship are studied in 11 games and thus 22 treatments. In general, a good fit of the synthetic counterfactuals prior to the event taking place is achieved. The positive and negative events are looked at separately rather than game by game since the distinction between negative and positive events is made by previous literature. All games are treated as equally important since they are all the final of a tournament. The estimated gaps are insignificant for a majority of the games, and no causal relationship between the outcome of finals in international football tournaments and returns on broad stock market indices can be established, possible reasons for this are, among other things, that the indices used in this study is mainly all share indices and large cap indices, which are generally stable.

The research undertaken aims to contribute to the debate about market efficiency and market volatility in an Islamic context. The research relates to the Amman Stock Exchange (ASE) and covers the period 1992 to 2007. It undertakes quantitative analysis involving two key elements: first, testing for random walk and calendar anomaly effects in market returns and, second, modelling volatility in market returns. The thesis applies a series of standard econometric and statistical techniques to this issue. The key ‘novel’ contributions of this study relate to the focus on Islamic religious holiday effects and also the application of behavioural finance theoretical models to explain the findings in terms of the influence of social mood (mood misattribution) effects. These are approaches that have not been previously applied in the literature within an Islamic context. The author argues that the econometric and statistical techniques applied are ‘fit for purpose’. Standard methods are applied; however, these are applied in ‘novel’ ways in parts of the thesis. For example, moving-date calendar effects are modelled for the first time and the modelling of volatility makes use of interaction effects to explore the impact of interactions between different mood-influencing variables. The study begins by identifying that the ASE index returns do not follow a Random Walk. It then goes on to identify day-of-the-week effects. First trading day of the week effects found in relation to the first trading day that follows the Muslim holy day of Friday. Monthly calendar effects were also found. January or turn-of-the-year effects were found in the ASE similar to those found previously in some Western markets. However, the largest monthly effects were found in relation to the holy month of Ramadan. Most significantly, Ramadan was found to be the only month where the average daily returns were both statistically different from the other months in the year and also positive. This, it is argued in the thesis, is due to social mood (or mood misattribution) effects. The research looks beyond informational efficiency and develops a number of ‘novel’ contributions to research in this area in terms of both the empirical findings and the behavioural finance-related interpretation of these findings, as well as the influence of Islamic ethics in Amman’s stock market returns. The thesis also examines the relationship between seven behavioural mood-proxy variables and stock market returns. Fama (1991) argues that efficiency and volatility are unrelated. In this thesis, however, evidence is uncovered which suggests that this may not be the case. High levels of volatility were found at the start and at the end of the Ramadan holy festival; this volatility, it is argued, is related to social mood. This issue is examined further by exploring previously unstudied interactions between mood-related Ramadan effects and mood-related weather and biorhythmic effects. The results of this thesis, the author believes, provide strong evidence for the existence of Muslim religion investment decision biases associated with social mood effects (mood misattribution). It is argued that these social mood effects in the case of Jordan relate mainly to Islamic ethics and cultural issues, as they are found predominantly during the Ramadan religious holiday. Despite the existence of decision biases within the ASE, no profitable trading anomaly opportunities were identified. This may be due, in part, to Jordan having high trading transaction costs. It is possible, however, that profitable trading opportunities related to Islamic holidays may exist in countries that follow stricter religious observance. The author believes that there is an opportunity to extend this research to countries such as Bahrain.

Standard finance theory portrays investors as rational utility maximisers. Persisting market anomalies and observed investor practice, however, have led to widespread recognition that the fundamental axioms of rationality are often violated. In response to the limitations inherent in standard theory, the Behavioural Finance approach relaxes the rationality assumption and takes account of psychological influences on individuals’ decision-making processes. Adopting the behavioural approach, this thesis, which includes two empirical studies, examines why, and to what extent, investors depart from rational or optimal investment practices. The thesis examines the effect of Myopic Loss Aversion (MLA) suggested by Benartzi and Thaler (1995) as a response to the Equity Premium Puzzle highlighted by Mehra and Prescott (1985). While previous studies are almost exclusively based on experiments in a laboratory setting, this approach provides more compelling empirical evidence by investigating the effects of MLA on real individual investors’ portfolio allocations through the use of the Dutch National Bank Household Survey. For the first time, the concept of MLA is identified through the interaction of two separate effects, firstly, individuals’ myopia, reflected in portfolio evaluation and rebalancing frequencies, and secondly, loss aversion. The thesis finds that individuals who are less affected by MLA invest more in risky financial assets. Further, individuals who are less myopic increase their share of risky assets invested in their financial portfolios over time, although this is unrelated to their loss aversion. These findings support the prediction of MLA theory that short investment horizons and high loss aversion lead to a significantly lower share of risky investments. In summary, the high equity premium can be explained by the notion of MLA. If individuals evaluate their investment performance over the long-term, they perceive much smaller risks relative to stockholding returns; consequently, they will be prepared to accept smaller equity premiums. The findings suggest possible interventions by policy makers and investment advisors to encourage individuals to remain in the stock market, such as providing long-term investment instruments, or restricting evaluation frequency to the annual reporting of investment performance. In response to the stockholding puzzle (Haliassos and Bertaut, 1995), this thesis also investigates individuals’ stock market returns expectations and their varying levels of risk aversion. Previous studies find that individuals’ heterogeneous stock market expectations determine variations in their stockholdings. The thesis accounts for the effect of risk aversion on stock market expectations, as well as on stockholding decisions. Additionally, the causality issue as between individuals’ expectations and stockholding status is controlled. The thesis finds that more risk averse individuals hold lower stock market expectations, and that the stock market return expectations of more risk averse individuals affect their stock market participation decisions negatively. The portfolio allocation decisions of individuals who already hold stocks are only affected by their expectations, with risk aversion being no longer significant. The thesis argues that persistent risk aversion effects cause individuals to hold pessimistic views of stock market returns, thus contributing to the enduring stockholding puzzle. The thesis reinforces existing perceptions that individuals in the real world may not make fully rational decisions due to their judgments which are based on heuristics and affected by cognitive biases. Individual investors often fail to maximise their utility given their preferences and constraints. Consequently, this thesis draws attention to the possible role of institutions, policy makers, and financial advisory bodies in providing effective interventions and guidelines to improve individuals’ financial decisions.

Bakgrund: Denna studie har genomförts för att bringa klarhet i hur väl relativvärdering fungerar som investeringsstrategi mellan åren 2005 och 2014 på de nordiska marknaderna. Huruvida det finns någon skillnad mellan hur väl strategin fungerar om marknaderna sorteras efter branschtillhörighet samt om tidigare välanvända nyckeltal kan generera olika hög avkastning i olika branscher är ett outforskat område. Tidigare studier på området har antingen undersökt hela marknader eller enskilda branscher där resultaten delvis har tolkats med hjälp av aktiemarknadspsykologi.Syfte: Syftet med studien är att analysera huruvida det finns skillnader i hur väl relativvärdering fungerar som investeringsmetod inom olika branscher för att generera överavkastning; samt huruvida det statistiskt går att säkerställa om det finns en koppling mellan bransch och nyckeltal.Genomförande: Studien använder en kvantitativ metod där aktierna sorteras i kvartilportföljer baserade på dess branschtillhörighet och sin värdering relativt branschkonkurrenter. Portföljerna omplaceras på årlig basis och avkastning räknas ut på månadsbasis samt kumulativt. Portföljerna utvärderas sedan med hjälp av välanvända riskmått samt en diversifieringsprocess och aktiemarknadspsykologi.Resultat: Relativvärdering kan användas för att generera överavkastning i samtliga branscher utom i energibranschen. En skillnad i avkastning, beroende på i vilken bransch, kvartil och nyckeltal som används för investeringen kan konstateras. Diversifiering sänker effektivt risken samtidigt som avkastningen inte sjunker i samma takt. Aktiemarknadspsykologi kan endast till viss del kopplas till skillnaderna i avkastning mellan portföljerna. / Background: This thesis has been executed in order to bring clarity into the matter whether relative valuation works as an investment strategy in the Nordic region between the years 2005 and 2014. Whether the strategy performs differently if the markets are sorted by sector affiliation, as well as if previously commonly used key ratios can generate different returns in different sectors is an unexplored area. Previous studies have focused on examining entire markets or specific industries where the results partially have been interpreted with behavioral finance.Aim: The aim of the thesis is to analyze whether there are any differences in how well relative valuation works as an investment method in different sectors, in order to generate excess return; as well as if it is statistically possible to find a connection between sectors and key ratios.Completion: A quantitative approach is used where the stocks are sorted into quartile portfolios in accordance with their sector affiliation and based on their valuation relative to sector competitors. The portfolios are then rebalanced on a yearly basis and returns are calculated on monthly and cumulative basis. Furthermore the portfolios are evaluated using risk measures, a diversification process and behavioural finance.Results: Relative valuation can be used to generate excess return in all sectors except in the energy sector. A discrepancy in returns is shown, depending on which sector, quartile and key ratio that is used for the investment. Moreover, diversification effectively lowers the risk without lowering the return at the same pace. Behavioural finance can only partially explain the differences in return between the portfolios.

Created in 2009, the digital currency of bitcoin is a relatively new phenomenon. During this short period of time, it has however displayed a strong development of both price and trade volume. This has led to increased media attention, but also regulators and researchers have developed an interest. At this moment, the amount of available research is however limited. With a focus on the price volatility of bitcoin and an aim of finding drivers of this volatility, this study is taking a unique position. The research has its basis in the philosophical position of positivism and objectivism. This has shaped the research question as well as the construction of the study. The result is a describing and explaining research with a deductive research approach, a quantitative research method and an archival research strategy. This has in turn stimulated an extensive literature review and information search. Areas of discussion are microstructure theory, the efficient market hypothesis, behavioural finance and informational structures. Due to the limited amount of previous bitcoin research within the area of price volatility, the study has drawn extensively on research performed on more classical assets such as stocks. Nevertheless, when available, bitcoin research has been used as a foundation/reference and an inspiration. Reviews of academic literature and economic theories, as well as public news helped to identify the variables for the empirical study. These variables are; information demand, trade volume, world market index, trend and six specified events, occurring during the chosen sample period and included in the study as dummy variables. The variables are all analysed and included in a GARCH (1,1) model, modified following a similar research by Vlastakis & Markellos (2012) on stocks. This GARCH (1,1) model is then fitted to the bitcoin volatility registered for the sample period and is able thereby able to generate data of if and how the variables affect the bitcoin volatility. The test result suggests that five of the ten variables are significant on a 5 %-level. More specifically it suggests that information demand is a significant variable with a positive influence on the bitcoin volatility, something that corresponds to the literature on information demand and price volatility. This also relates to the events found significant, as they generated bitcoin related information. The significant events of the Cypriot crisis and the failure of the bitcoin exchange MtGox are thus specific examples of how information affects price volatility. Another significant variable is trade volume, which also displays a positive influence on the volatility. The last significant variable turned out to be a constructed positive trend, suggesting that increasing acceptance of bitcoin decreases its volatility.

Abstract   Background: The dividend ex-day effect is the tendency of the stock price drop on the ex-day to be less than the dividend per share. This inclination is contrary to established theory of rational investor behaviour and is, thus, considered an anomaly in capital markets. The phenomenon was first observed more than half a century ago and has puzzled researchers ever since, resulting a myriad of theories trying to explain its cause. Nevertheless, the dividend ex-day effect still stands without a conclusive explanation. In Sweden, few studies have been conducted and none succeeds in explaining the phenomenon. In a recent addition to the many explanatory theories, Efthymiou and Leledakis (2014) propose the disposition effect as the driving factor behind the dividend ex-day effect. Compelling evidence for this notion is provided in an empirical study of the US market, warranting the consideration of a similar investigation in the Swedish market.   Purpose: The purpose of this study is to examine the relationship between the dividend ex-day effect and the disposition effect in the Swedish stock market. Method: This study is conducted using a deductive approach and a quantitative research strategy. Secondary data of OMXS stocks during the 2013-2017 period is gathered from Thomson Reuters Datastream. To fulfil the purpose, one sample t-tests and regression analyses are performed. Conclusion: Statistically significant results confirm that there is a pervasive dividend ex-day effect on the OMXS market. From here, it is found that there is a substantial difference in the price drop between stocks based on their performance: winning stocks display a higher price drop on the ex-day compared to losing stocks. Regression analyses indicate a positive relationship between the dividend ex-day effect and the disposition effect. Some evidence, although not statistically significant, suggest that for a specific stock, the price drop will be greater in times when the stock has had positive returns compared to when it has had negative returns. A remarkable finding in this study is that all tests indicate that the positive relationship between the dividend ex-day effect and the disposition effect appears to be fading out as the holding period of stocks gets longer.