Submitted by Felipe Merlo Nascimento (felipemerlo.eng@gmail.com) on 2017-09-20T03:09:26Z No. of bitstreams: 1 Dissertação Felipe Merlo.pdf: 2654948 bytes, checksum: e4b83bed5e52b01c178db39bc7f862a1 (MD5) / Approved for entry into archive by Thais Oliveira (thais.oliveira@fgv.br) on 2017-09-20T17:57:59Z (GMT) No. of bitstreams: 1 Dissertação Felipe Merlo.pdf: 2654948 bytes, checksum: e4b83bed5e52b01c178db39bc7f862a1 (MD5) / Made available in DSpace on 2017-09-21T12:47:01Z (GMT). No. of bitstreams: 1 Dissertação Felipe Merlo.pdf: 2654948 bytes, checksum: e4b83bed5e52b01c178db39bc7f862a1 (MD5) Previous issue date: 2017-08-25 / In this paper, we present empirical evidence to investigate whether the propositions of the model of Frazzini and Pedersen (2014) apply to the Brazilian stock market. Using data from the year 2000 up to the first quarter of 2017, we find that the SML of this Market had a lower slope than that predicted by CAPM. In fact, it turned out to be negative, and this result was observed both in the time-series and in the cross-sectional analyzes. As a methodology to raise this evidence, 10 portfolios were created, organized in ascending order according to their respective betas. We calculated the returns relative to each portfolio and, with them, it was possible to verify that the portfolios with the highest beta performed less excess returns. In addition, we found that the Sharpe ratio was higher the lower the beta of the portfolios. Another proposition verified empirically in the Brazilian stock market, and in the considered period, was that the return of the BAB portfolios was positive. In addition, it was the largest one compared to others portfolios, and had the highest expected excess of return per unit of risk. Regarding the alpha, it was expected that the portfolios with higher beta had lower alpha. It was possible to verify this trend, but not in an undeniable way. This motivated us to make a small change in the model of Frazzini and Pedersen, which created a relation between the return of each one of the portfolios and the one of the BAB portfolio. The mathematical prediction, derived from the modified model, says that the coefficient of this relation is smaller the bigger the beta. It was possible to raise this empirical evidence in a clear way. This point was the great differential of this work, since we were the first to raise such evidence and to show that the BAB portfolios can be used as explanatory variable. / Neste trabalho, levantamos evidencias empíricas para investigar se as proposições do modelo de Frazzini e Pedersen (2014) se aplicam ao mercado acionário brasileiro. Utilizando dados que retomam o ano de 2000 até o primeiro trimestre de 2017, verificamos que a SML deste mercado é menos inclinada que a prevista pelo CAPM. De fato, ela chegou a ser negativa, sendo este resultado observado tanto nas analises em séries de tempo quanto nas em corte transversal. Como metodologia para levantar estas evidencias, foram criadas 10 carteiras, organizadas em ordem crescente segundo seus respectivos betas. Calculamos os retornos relativos a cada carteira e, com eles, foi possível verificar que os portfolios com maior beta realizaram menor retorno em excesso. Além disso, verificamos que o índice de Sharpe foi maior quanto menor foi o beta das carteiras. Outra proposição verificada empiricamente no mercado acionário brasileiro, e no período considerado, foi que o retorno das carteiras BAB foi positivo. Além disso, foi o maior entre todas as carteiras, ficando inclusive com o maior retorno esperado em excesso por unidade de risco. No que tange ao alfa, era esperado que as carteiras com maior beta tivessem menor alfa. Foi possível verificar esta tendência, mas não de maneira incontestável. Isso nos motivou a fazer uma pequena alteração no modelo de Frazzini e Pedersen, a qual criou uma relação entre o retorno de cada uma das carteiras e o da carteira BAB. A previsão matemática, oriunda do modelo modificado, diz que o coeficiente desta relação é menor quanto maior for o beta. Foi possível levantar esta evidencia empírica de maneira clara. Este ponto foi o grande diferencial deste trabalho, uma vez que fomos os primeiros a levantar tal evidencia e a mostrar que as carteiras BAB podem ser utilizadas como variável explicativa.

Abstract This dissertation is comprised of three independent essays with the unifying theme of how uncertainty affects the macroeconomy. The first essay studies an incomplete market economy where the firm faces a non-trivial investment decision due to capital adjustment costs. The adjustment costs make the price of capital endogenous and help to explain the observed volatility of the returns to physical capital. The particular form of market incompleteness that is assumed in the essay is however not enough to match the observed price of risk. The essay contains also a technical contribution in showing how Arrow prices of contingent commodities can be used in computing the equilibrium in this class of models. The second essay studies the effect of population aging on asset prices. The modeling framework features deterministic transition paths for demographic structure and level of government expenditures along with aggregate uncertainty at business cycle frequency. The demographic transition leads to a projected increase of in tax rates that are needed to finance the government expenditures. This requires higher savings rates from households which reduces volatility of consumption growth and reduces the price of aggregate risk. The third essay is an empirical study which uses betting market data from the Swedish harness horse racing in conjunction with economic confidence indices. The main finding is that the risk attitudes of bettors that are reflected by the betting market data covary with the more traditional confidence measures in a reasonable way. The essay also contains a simple forecasting exercise which shows that the novel risk measure may also be useful in forecasting the industrial production. The results of the study are interpreted in terms of behavioral macroeconomics. / Tiivistelmä Tämä väitöskirja koostuu kolmesta erillisestä esseestä, joiden yhdistävä tekijä on epävarmuus ja sen vaikutukset makrotalouden ilmiöihin. Ensimmäisessä esseessä tarkastellaan taloutta, jossa markkinat ovat epätäydelliset ja fyysisen pääoman sopeuttamiskustannukset vaikuttavat yrityksen investointipäätökseen. Pääoman sopeuttamiskustannukset tekevät pääoman hinnasta endogeenisen muuttujan ja auttavat selittämään havaittua pääoman tuottojen volatiliteettia. Tutkimuksessa käytetyt markkinoiden epätäydellisyyteen johtavat oletukset eivät kuitenkaan riitä selittämään historiallisesti havaittua riskin hintaa. Essee sisältää myös teknisen kontribuution. Siinä osoitetaan, miten talouden tilasta riippuvien hyödykkeiden Arrow-hintoja voidaan hyödyntää tämän tyyppisten talouksien tasapainon numeerisessa ratkaisemisessa. Toinen essee tarkastelee väestön ikääntymisen vaikutuksia varallisuushyödykkeiden hintoihin. Malli yhdistää väestörakenteen ja julkisten kulutusmenojen deterministisen muutoksen sekä suhdannevaihtelua kuvaavan kokonaistaloudellisen epävarmuuden. Väestörakenteen odotettu muutos johtaa julkisten kulutusmenojen kasvun myötä veroasteiden nousuun. Kotitaloudet joutuvat säästämään enemmän, mikä vähentää kulutuksen kasvun volatiliteettia ja kokonaistaloudellisen riskin hintaa. Kolmas essee on empiirinen tutkimus, jossa käytetään havaintoaineistoa Ruotsin ravivedonlyöntimarkkinoilta sekä taloudellisia luottamusindikaattoreita. Tärkein tulos on että vedonlyöntiaineiston heijastama suhtautuminen riskiin näyttää olevan vuorovaikutuksessa perinteisten luottamusindikaattoreiden kanssa. Esseessä käytetään myös yksinkertaista aikasarjamallia, joka viittaa siihen, että vedonlyöntiaineiston perusteella laskettu riskiin suhtautumisen mitta voi olla hyödyllinen teollisuustuotannon ennustamisessa. Tuloksia tulkitaan behavioraalisen makrotaloustieteen valossa.

Aim of this diploma thesis is to provide empirical tests of market efficiency of tennis wagering market. In large dataset, which consists of nearly 47 thousands matches and 225 thousands odds, I am searching for anomalies, which can prove market inefficiency. Potentially profitable and exploitable betting strategies are also examined. Main tools of empirical analysis are linear probability models and logit models. Favorit-longshot bias is present in my data, this finding is consistent with results of other empirical works (Lahvička, 2013; Cain, Law, Peel, 2000). Major contribution of this paper is confirmation of home-away bias, the issue, which was not tested in tennis matches so far. The same holds for chart-bias. I am not able to find profitable wagering rules based on out-of-sample predictions of my models. Simple betting rule, which consists of betting systematically on overwhelming favorites, is derived from historical odds. This strategy yields a profit 0,0094, but it's applicability is very limited.

Syftet med den här studien var att få ökad förståelse för hur storbankernas fondförvaltning förhåller sig till social hållbarhet vid investering i kasino- och bettingbolag vid sammansättning av fonder. Det var även av intresse att se hur förhållningssättet har förändrats det senaste decenniet och vad som kan ha drivit fram sådana förändringar. Anledningen till att inriktning gjordes mot storbankernas fondförvaltning var att de utgör stora aktörer på finansmarknaden och kan därför anses ha ett stort inflytande genom isomorfism. För att få en ökad förståelse inom området har den här studien använt sig av en kvalitativ forskningsmetod där intervjuer genomförts med personer vars yrkesroller är kopplade till fondförvaltares hållbarhetsarbete. Genom att knyta samman utvald teori och den insamlade empirin i diskussionen har nya antaganden växt fram. Slutsatsen blev att alla fondbolag förhåller sig olika till huruvida investering i kasino- och bettingbolag ska exkluderas eller ej vid fondsammansättning. Vissa menar att den här branschen redan är för långt ifrån social hållbarhet, medan andra anser att det är viktigt att vara med och försöka påverka den socialt hållbara utvecklingen. Detta förhållningssätt har vuxit fram allt mer under de senaste fyra till sex åren då social hållbarhet har blivit viktigare och viktigare. Den här utveckling har dels påverkats av tillkommande internationella ramverk, men även intressenternas ökade medvetenhet gällande de sociala konsekvenserna av kasino och betting har haft en stor betydelse.

The content of my diploma thesis is to develop necessary steps to set up a business. The first part describes the theoretical background, which primarily focuses on the characteristics of individual analyzes, including model CANVAS. The second part focuses on analysis of the market in which will the business operate, followed by characteristics of external environment and then I try to capture the principle of offered product, which is the subject of future business venture. In the design part of my work, I approach variable solutions of individual business models that are closely linked with the results of the SWOT matrix analysis. In the next section,i perform a comprehensive evaluation of the various options based on the principle BSC and at the end of the practical part I design the necessary steps to set up a business that uses the resulting business model.

This bachelor's thesis in applied mathematics & industrial economics is an attempt to model drives in American football using Markov chains. The transition matrix is obtained through logit regression analysis on historical data from the NFL. Different outcomes of drives are modelled as separate absorbing states in the Markov chain. Absorption probabilities are calculated representing the probabilities of each outcome. Results are tested against a Markov chain with the transition matrix based on frequency analysis. Three scoring rules unanimously declare the regression based model to be superior. The application of the model pertains to live sports betting. With the insight provided by the Markovian model, a bettor should be able to make statistically informed betting decisions. The prospect of creating a start-up based on the Markovian betting model is discussed. / Denna kandidatuppsats i tillämpad matematik & industriell ekonomi är ett försök till att modellera drives i amerikansk fotboll med hjälp av Markovkedjor. Övergångsmatrisen fås genom logit-regressionsanalys av historisk data från NFL. Olika utfall av drives modelleras som separata absorberande tillstånd i Markovkedjan. Absorptionssannolikheter beräknas, vilka representerar sannolikheterna för de olika utfallen. Resultaten testas mot en Markovkedja där övergångsmatrisen fås genom frekvensanalys. Tre olika poängregler föredrar enhälligt den regressionsbaserade modellen. Modellens tillämpning berör sportbetting. Med hjälp av Markovmodellen bör en spelare kunna ta statistiskt underbyggda beslut i deras betting. Möjligheterna att skapa ett företag baserat på Markovmodellen diskuteras.

This dissertation consists of five articles about economics of sports. The first three articles investigate various types of outcome uncertainty and how they relate to match attendance demand, while the remaining two articles test the efficiency of sports betting markets. The first article presents a new method of calculating match importance. Unlike the previous approaches in the literature, it does not require ex-post information and can be used for any type of season outcome. The second article shows that the additional playoff stage in the Czech ice hockey "Extraliga" lowers the probability of the strongest team becoming a champion and thus increases seasonal uncertainty. The third article demonstrates that the inconsistent findings in the literature about the link between match uncertainty and attendance could be explained by wrongly specified regressions, proposes a new approach to analyzing the effect of match uncertainty and shows that attendance demand is maximized if teams of the same quality play against each other. The fourth article examines the favorite-longshot bias in the context of betting on tennis matches. It shows that the favorite-longshot bias pattern is consistent with bookmakers protecting themselves against both better informed insiders and the general public exploiting new information. The fifth article investigates the supposedly profitable strategy of betting on soccer draws using the Fibonacci sequence. The strategy is tested both in a simulated market and on a real data set and found to lose money.

This thesis is studying the current global as well as Czech gambling industry with the focus on internet gambling activities. The work begins with the description of various gambling activities. The focus is taken on the internet gambling activities with description of the specifics and the current European as well as US legal frame. Next part is dedicated to the psychology of gambling together with the pathological gambling addiction. In next part the thesis studies the current situation on the Czech market - history, main official legal providers as well as main grey market providers. Second part of the work is the case study of the launch of the internet lottery games by Fortuna Entertainment Group. This case study is based on a desk research of previous successful best practices in the internet gambling industry from all around the world.

Les jeux d’argent sont aujourd’hui au cœur d’un débat de société. L’inquiétude qu’ils suscitent et la dangerosité qu’on leur confère se traduisent par la diffusion croissante dans les médias de discours relatifs à l’addiction. Progressivement reconnue depuis les années 80, celle-ci est significative : elle prouve que le jeu d’argent peut présenter de réelles menaces pour l’individu lorsqu’il est pratiqué avec excès. Cette dénonciation renoue avec les discours relatifs à ces pratiques sous l’Ancien Régime. Cependant, à cette époque, le jeu est essentiellement rejeté pour des raisons sociales et morales : outre de représenter un danger pour les familles, il pousse à négliger le travail et remet en cause l’ordre social établi. Entre cet « Ancien Régime » des jeux et la situation actuelle, un système transitoire a existé. En effet, entre 1836, date à laquelle une loi interdit formellement toutes les loteries, jusqu’en 1954, année de création du Tiercé, l’Etat ne cesse d’intervenir, légiférant en faveur du jeu d’argent. Cette période, qui correspond à une officialisation et à une banalisation des pratiques ludiques, est au cœur de ce travail. Il s’agit d’étudier les mutations réglementaires des jeux d’argent et les motivations qui y sont affiliées, et d’analyser les usages sociaux du temps consacré aux jeux à travers l’étude de leurs pratiques. / Money games are today the center of the attention through a burning public debate. They are usually depicted as the origin of many vices and therefore stimulate a lot of worrying from society, thus the increasing broadcasting in the major medias of their incriminated connection to addiction diseases.Addiction has been growingly associated to gambling since the 1980’s : the money games are indeed more and more denunciated for being a real threat to the individuals who excessively enjoy this special hobby.This point of view is not new and is closely connected to the Old Regime’s widely spread opinions. Nevertheless, at this specific time period, money games were mainly rejected for their social and moral downsides : not only they stood for family issues but they were also incriminated as inviting the players to neglect valuable work and/or the established society rules and habits. There has been an in-between situation between the today’s widely spread gambling activities and the prosecution from the Old Regime. Indeed the government has repeatedly issued regulations to widen the gambling activities from 1836 when there was a law against money games till 1954 when the Tiercé was offcially created. This thesis work focuses on analysing the money games activities between these 2 milestones. The main point is to study the regulations variations about the money games and the reasons behind them. An other important aspect is to analyse the social usages of the time spent on money games through their various shapes and identities.

Cette thèse est composée de quatre chapitres. Le premier chapitre traite de l'évaluation de produits financiers dans un modèle comportant un saut pour l'actif risque. Ce saut représente la faillite de l'entreprise correspondante. On étudie alors l'évaluation des prix d'options par indifférence d'utilité dans un cadre d'utilité exponentielle. Par des techniques de programmation dynamique on montre que le prix d'un Bond est solution d'une équation différentielle et le prix d'options dépendantes de l'actif est solution d'une équation aux dérives partielles d'Hamilton-Jacobi-Bellman. Le saut dans la dynamique de l'actif risque induit des différences avec le modèle de Merton que nous tentons de quantifier. Le second chapitre traite d'un marché comportant des sauts : les paris sur le football. Nous rappelons les différentes familles de modèles pour un match de football et introduisons un modèle complet permettant d'évaluer les prix des différents produits apparus sur ce marché ces dix dernières années. La complexité de ce modèle nous amène à étudier un modèle simplifié dont nous étudions les implications et calculons les prix obtenus que l'on compare à la réalité. On remarque que la calibration implicite obtenue génère de très bons résultats en produisant des prix très proches de la réalité. Le troisième chapitre développe le problème de fixation des prix par un teneur de marche monopolistique dans le marché des paris binaires. Ce travail est un prolongement direct au problème introduit par Levitt [Lev04]. Nous généralisons en effet son travail aux cas des paris européens et proposons une méthode pour estimer la méthode de cotation utilisée par le book-maker. Nous montrons que deux hypothèses inextricables peuvent expliquer cette fixation des prix. D'une part, l'incertitude du public sur la vraie valeur ainsi que le caractère extrêmement risque-averse du bookmaker. Le quatrième chapitre prolonge quant à lui cette approche au cas de produits financiers non binaires. Nous examinons différents modèles d'offre et de demande et en déduisons, par des techniques de programmation dynamique, des équations aux dérivées partielles dictant la formation des prix d'achat et de vente. Nous montrons finalement que l'écart entre prix d'achat et prix de vente ne dépend pas de la position du teneur de marche dans l'actif considère. Cependant le prix moyen dépend lui fortement de la quantité détenue par le teneur de marche. Une approche simplifiée est finalement proposée dans le cas multidimensionnel / This thesis is composed of four chapters. The first one deals with the pricing of financial products in a single jump model for the risky asset. This jump represents the bankrupcy of the quoted firm. We study the pricing of derivatives in the context of indifference of utility with an exponential utility. By means of dynamic programming we show that the bond price is solution of an ordinary differential equation and that stock price dependent options are solutions of an equation with partial derivatives of Hamilton-Jacobi-Bellman type generalizing the Black-Scholes one. We then try to quantify differences in the price obtained here and the one from Merton model without jump. The second chapter deals with a specific jump market : the soccer betting market. We recall the different model families for a soccer match and introduce some full model which allows to price the products recently born in this market in last ten years. Nevertheless the model complexity leads us to study a simplified model introduced by Dixon and Robinson from which we are able to derive closed formulas and simulate prices that we compare to market prices. We remark that implicit calibration gives pretty goof fit of market data. Third chapter developps the approach of Levitt [Lev04] on price formation in binary betting market held by a monopolistic market-maker operating in a one time step trading. We generalize Levitt results with european format of betting. We show that prices are distorded on the pressure of demand and offer, that phenomena introducing a market probability that allows to price products under this new measure. We identify some best model for demand and offer and market maker strategy and show that probability change is obvious in case of imperfect information about the value of the product. Fourth chapter generalizes this approach to the case of general payoffs and continuous time. The task is more complex and we just derive partial derivative equations from dynamic programming that enable us to give the bid-ask prices of the product traded by the market-maker. One result is that, in most models, bid-ask spread does not depend on the inventory held by the dealer whereas mid-quote price strongly reflects the unbalance of the dealer