Submitted by Marcia Bacha (marcia.bacha@fgv.br) on 2012-11-27T12:55:43Z No. of bitstreams: 1 1424220.pdf: 301206 bytes, checksum: 1f4091e3ffd5fc7ee179deb76ab824b1 (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2012-11-27T12:55:59Z (GMT) No. of bitstreams: 1 1424220.pdf: 301206 bytes, checksum: 1f4091e3ffd5fc7ee179deb76ab824b1 (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2012-11-27T12:56:10Z (GMT) No. of bitstreams: 1 1424220.pdf: 301206 bytes, checksum: 1f4091e3ffd5fc7ee179deb76ab824b1 (MD5) / Made available in DSpace on 2012-11-27T12:56:19Z (GMT). No. of bitstreams: 1 1424220.pdf: 301206 bytes, checksum: 1f4091e3ffd5fc7ee179deb76ab824b1 (MD5) Previous issue date: 2010 / Aparentemente existe uma anomalia no mercado de ações, onde é possível prever excessos de retomo das ações baseando-se em dados passados de divulgação de lucro. Este fenômeno é estatisticamente significante e parece não ser um artefato de amostragem ou metodologia, mas de uma ineficiência de mercado. Estudos mostram uma tendência dos excessos de retornos acumulados das ações se movimentarem na direção da surpresa de lucro, e este movimento se estende por meses após a data de divulgação de lucro trimestral. Neste trabalho mostro que este fenômeno ocorre também no Brasil, mesmo utilizando uma amostra com especificidades do mercado brasileiro e utilizando dados de expectativas de lucro de analistas financeiros no lugar de previsão estatística. / Apparently, there is an anomaly in the stock market that shows that is possible to predict abnormal returns from stocks based on past earnings announcements. This phenomenon is statistical1y significant and appears not to be an artifact of sample or methodologies, but from a market inefficiency. Studies demonstrate a tendency towards accumulated abnormal retums to move toward the direction of the earnings surprise and this movement continues to weeks and even months. This study illustrates that this phenomenon also occurs in Brazil, even using a sample with Brazilian market specifications and using eamings expectations from financiaI analysts in place of statistical forecasts.

Magister Commercii - MCom / The drastic decline in stock prices on the 24th October 1929 sent a frantic wave of panic across the US. Merely a century later, on the 29th September 2008 another financial crisis hit the globe - this time leaving most countries devastated. The main objective of this study is twofold: 1) to determine whether leading indicators have sufficient predictive capacity to predict global financial crises; and 2) to use the Efficient Market Theory (EMT) and/ or Behavioural Finance Theory (BFT) as a means of developing a theory explaining the potential impact bad public announcements had on the level of investor confidence before the 1929 Great Depression and the 2008 Global Financial Crisis. This study was not only designed to qualitatively conceptualise the notion of the term “investor confidence” whilst drawing special attention to its frailty using the 1929 Great Depression and the 2008 Global Financial Crisis, but also assist governments, reserve banks and key institutions to develop effective strategies of mitigating the effects of the latter financial crisis as well as provide guidance on how another financial crisis can be prevented. This study extracted bad public announcements from 40 books and 60 journal articles using 6 NBER-based leading economic indicators (LEI) and 4 systematic risk-based leading non-economic indicators (LNEI) in order to: 1) qualitatively assess the extent to which leading indicators can be used to predict global financial crises 3 – 8 months in advance; and 2) use the EMT and/ or BFT to provide an explanation concerning the potential impact that bad public announcements had on the level of investor confidence before the 1929 Great Depression and the 2008 Global Financial Crisis.

This thesis examines how the American economy is affected by the market sentiment that arises from the news about actions and decisions of the American President Donald Trump. The news articles are obtained from Reuters for the period between the 1st of May and the 30th of November 2018, based on which a sentiment variable is created using natural language processing methods. Firstly, the impact of Trump sentiment on the returns on the S&P 500 Index is examined. The results show a positive and statistically significant impact of sentiment from the previous day on today's S&P 500 Index return. A statisti­ cally significant effect of the sentiment from a week ago is also found, however, this effect is negative. This result indicates that there is an initial overreaction to the new information, followed by subsequent market correction to the mean. Such result is consistent with the findings of the field of behavioural finance, which incorporates the idea that investor psychology is involved in investment decision making. Secondly, the impact of the news sentiment on the performance of individual sectors of the American economy, as measured by the returns on S&P 500 sector indices, is analysed. A statistically significant effect of sentiment on sector index return is found in the case of Consumer...

Background: For the past 30 years, the neoclassical finance has been questioned bybehavioural finance. The main difference is behavioural finance ́s ability to explain a behaviour that deviate from rationality. One of the major biases within behavioural finance is overconfidence. Overconfident behaviour describes an investor with too strong belief in their own ability. This bias is not well-examined within behavioural finance in Sweden. The consequences of overconfidence are the investor ́s overvaluation skills which in turn leads to unnecessary risk-taking, excessive trading and economic losses. Purpose: The purpose of this thesis is to investigate if the overconfident bias exists among Swedish private investors. A study if the demographic factors; gender, age, marital status, education, and experience effect the level of overconfident behaviour. Further, an investigation to identify industries overconfident investors prefer or despise. Method: Our study use a deductive approach with a quantitative research. From the basis of previous studies, five hypotheses explaining a relation between demographic factors and overconfidence have been formulated. The data is collected through an online survey, published in finance forums between 2020-03-10 to 2020-03-22 which gave 233 participants. A binary logistic model was performed in STATA to examine if the hypothesis should be rejected or not. Conclusion: The findings from our study show presence of overconfidence among Swedish private investors. Statistically significant results confirm that gender, age, education, and experience have an impact on overconfident behaviour. Men are more overconfident than women, younger investors act more overconfident, higher education increase overconfidence, and more experienced investors are more overconfident.

A high return is a driving factor for most investors. The ways to reach success are many and different investment strategies on how to earn high returns have been discussed for decades. Value stocks (low P/E ratios) and growth stocks (high P/E ratios) are two strategies among the investment area with different and contrary results on which strategy can give the highest possible return. However, studies of the P/E effect have shown different results the last years compared to previous findings of a value premium for low P/E stocks, with trends of a higher return for growth stocks compared to value stocks. This led us to the research question “Does a portfolio of growth stocks present a higher return than a portfolio with value stocks on the Swedish and Norwegian stock markets?”. The problem that the study aims to answer is therefore if a portfolio of growth stocks provides a higher return than a portfolio of value stocks between the years 2001-2021. The long timespan will give us the opportunity to evaluate the stock markets during both booms and busts. Our study is made on historical data on the Swedish and the Norwegian stock markets since we found a lack of previous research in these countries within the research area. To fulfil the purpose of the study and to answer the research question, a quantitative method is used with historical data provided from Eikon (Thomson Reuters DataStream) where firms are sorted on the P/E ratios and after that growth and value portfolios are created. We will present both the actual return as well as a risk adjusted return for the stocks. The risk adjusted returns are conducted by using the financial measurements Sharpe ratio and Jensen’s alpha. The result of the study shows that on a 5 % significance level, growth stocks presented a higher actual return than value stocks for both Sweden and Norway. The same evidence was found for the returns for growth stocks compared to market index. Though, when testing the risk adjusted returns, the null hypothesis could not be rejected, which implies that a statistical difference between the portfolios could not be found.

Background: Acquiring capital is a crucial component for developing countries to strengthen their economies and gathering it solely through national channels is challenging. Public-private partnerships allows for foreign capital to fund projects aimed at developing infrastructure through private investors. Yet, the topic of how to attract investors to public-private partnerships is largely unexplored.   Purpose: The purpose of this study is to investigate how investors with different levels of experience perceive attributes of public-private partnerships in developing countries. Furthermore, to add to the current body of knowledge of the topic, as it is limited to investors with extensive experience. Thus, we investigate investors with a range of previous knowledge and their observed preferences regarding investment opportunities.  Method: This bachelor thesis is written in accordance with a positivist approach where quantitative data was extracted through a questionnaire from 31 individuals with different investments experience. The results are later analysed in terms of mean value, standard deviation, multivariate multiple regression analysis and p-value approach. The data is later discussed in terms of relevance, connection to literature and in context to the frame of reference.    Conclusion: The results gathered in this thesis showcased that 3 out of 14 factors indicated a statistical significance. Which refers to that the level of investor experience influence how the individual investor perceives adequate local expertise, political support and acceptance of PPPs and capabilities of the developing country. This on the other hand also represents the overall homogenous perception and assumption regarding various factors of PPPs in developing countries from an experienced and inexperienced investors perspective. Moreover, this study provides additional knowledge and literature background regarding how investor experience influence perception on various factors associated with PPP markets in developing countries.

This study examines the relationship between mean reversion and a black swan event on the Swedish stock market. The data is taken from the Mid Cap and the Large Cap and then compared with the OMXS index. The purpose is to try and find evidence of mean reversion on both lists and if a black swan event will interfere with the mean reverting behaviour. The results we could find was that there is mean reversion on the market for our time period 2005-2022. We could also find evidence of mean reversion during the three black swan events, 2008 financial crisis, Brexit, and Covid-19 pandemic.

While finance has been studied for several years, behavioural finance, an area that studies how psychological influences can affect market outcomes, is still relatively new, and this subject remains wide open for greater exploration. Social media, which has experienced rapid growth and is now a fundamental part of everyday life, is recognized as key to predicting future outcomes, leading to several studies exploring this subject. Despite this, there is not a great deal of research on how the content on social media affects other real-life time-dependent events. This study addresses that concern while it also explores the field of behavioural finance. The research aims to study the impact of social media on investment decisions, focusing on the Swedish stock market. The study uses a quantitative method, and the data is collected from questionnaires designed through Google Forms, followed by an analysis using Microsoft Excel software. To have an improved grasp of the extent to which social media influences investment decisions and understand the elements of online social media and the depth of their involvement, we will break down this area into three dimensions, which will be assessed. The three dimensions of social media that will be examined are information from social media, online community behaviour, and firm image. This study's findings established a relationship between social media and investment decision, and these three independent variables positively correlate with the dependent variable (investment decision). In other words, the results of this study have proven that social media does have an impact on investment decisions. This study aims to contribute to literature for future financial research on a relevant topic that examines the effect of social networks on movement in capital markets.

Bakgrund: Samtidigt som breda stockholmsbörsen under 2010-talet genomgick en av de längsta tjurmarknaderna i svensk historia blev svenskarnas närvaro på sociala medier såväl utbrett som vardagligt. Det nuvarande kunskapsläget belyser skillnader inom såväl användandet av sociala medier som uppvisandet av relevanta börspsykologiska faktorer mellan kvinnor och män, men också bland olika åldersgrupper. Hur svenska småsparare ställer sig till denna nya informationskanal i sina investeringsbeslut saknas det i mångt och mycket forskning kring. Dessa omständigheter har skapat en kunskapslucka som inte bara är relevant för småspararna, utan även för finansiella aktörer, politiker, och börsbolag. Syfte: Studiens syfte är att kartlägga i vilken utsträckning de börspsykologiska faktorerna flockbeteende, dispositionseffekten, kognitiv förmåga, och Fear-of-Missing-Out indikeras hos svenska småsparare. Vidare ämnar studien undersöka om det finns någon relation mellan uppvisandet av nämnda faktorer, de demografiska faktorerna kön och ålder, och attityden till användandet av sociala medier i investeringsprocessen. Metod: Studien genomfördes med en kvantitativ metod där primärdata inhämtades från en online-enkät. För att undersöka relationen mellan småspararnas attityd till användandet av sociala medier i investeringsprocessen, de demografiska faktorerna, och de börspsykologiska faktorerna genomfördes en linjär multipel regressionsanalys. Dessutom genomfördes t-tester och one way ANOVA för att undersöka skillnader mellan grupperna. Slutsats: Studien fann en signifikant relation mellan attityden till användandet av sociala medier i investeringsprocessen och fyra av sex förklaringsvariabler; kognitiv förmåga, flockbeteende, kön, och ålder. Regressionen fann en negativ relation mellan attityden till sociala medier som investeringsverktyg och att identifiera sig som kvinna. Även ålder uppvisade en negativ relation. För både flockbeteende och kognitiv förmåga uppvisades en positiv samvariation. Vidare antydde studiens deskriptiva statistik att samtliga undersökta börspsykologiska faktorer uppvisades av respondenterna, om än till varierande grad. / Background: Simultaneously as the Stockholm Stock Exchange during the 2010’s had one of the longest bull markets in Swedish history the Swedes presence on social media became widespread and common. Differences between the usage of social media, as well as demonstrating relevant biases within behavioural finance, has been studied for the genders and different age groups. However, how Swedish retail investors interact with social media in their investment process has not been studied sufficiently. These circumstances have created a scientific gap that is not only of relevance to retail investors, but also financial intermediates, politicians, and publicly traded companies. Purpose: The purpose of the thesis is to map out to what degree the behavioural finance biases herding, disposition effect, cognitive ability, and Fear-of-Missing-Out are indicated by Swedish retail investors. Furthermore, the study aims to explore if there is any relationship between the mentioned biases, the demographic factors gender and age, and the attitude to using social media in the investment process. Methodology: The study was conducted through a quantitative research method that gathered the primary data through a survey. To explore the relationship between the retail investors attitude towards using social media in the investment process, the demographic factors, and the behavioural finance biases a multiple linear regression analysis was performed. Furthermore, t-tests and one way ANOVA was performed to examine differences between groups. Conclusion: The study found a significant relationship between the attitude towards using social media in the investment process and four out of six independent variables; cognitive ability, herding, gender, and age. The regression found a negative relationship between the attitude towards using social media in the investment process and identifying as a woman. Lastly, the descriptive statistics implied that all four behavioural finance factors were exhibited by the respondents, though to a varying degree.

The understanding that humans are bounded in their rationality has been proven to manifest in complex decision making as a result of a limit in the amount of information available, the cognitive limitations of the mind and the amount of time available in which to make a decision. Because of this, humans have been known to appeal to heuristics and the rules of thumb (termed 'satisficing‘) when making decisions, resulting in biased probability judgments and not maximizing expected utility. Corporate application of bounded rationality is still very limited. This study builds on and advances the study and application of bounded rationality in corporate environments, using climate change response as a real-life situation, and in a circular fashion help explain some of the debates and paradoxes that agitate researchers from the climate change community. Using a mixed methods comparative case study of two organisations‘ responses to climate change, the study theorises that competitive market forces and the ability of organisations to learn from other organisations limits the levels of 'satisficing‘ in strategic decision making. Instead, the limited amount of information and the fear of the unknown cause organizations to approach the subject cautiously. A tactical interpretive climate change response framework emerges. / Business Management / D.B.L.