本文探討基金投資人的投資行為是否存在處分效果(disposition effect)，以台灣開放式股票型基金來作檢定，研究資料期間從2001年7月至2006年7月，與以往研究文獻不同之處，本研究將基金區分為高、低風險兩類，再分別去檢驗投資人在不同風險下，其投資行為是否會有所差異。 本文採用變數門檻模型(threshold model in variable)，主要研究變數有研究變數為基金流入( )、基金流出( )、基金原始月報酬率( )、基金原始風險( )、基金市場調整後月報酬率( )、基金市場調整後風險( )、基金規模( )、基金月週轉率( )、基金經理費用率( )、其他項費用率( )共十個變數，每個變數分別有7503筆資料。 本研究發現，基金投資人在高風險下，其處分效果相當明顯，即投資人會急售獲利或是加碼績效佳的基金，但對於績效差的基金卻延遲贖回；而投資人在低風險下，其處分效果就變得不明顯。 此外，投資人在高風險下，對於基金規模大小以及基金費用率的高低會比較敏感，即在高風險下，投資人不偏好申購規模較大的基金及費用率較高的基金。

Abstract Background: ​The disposition effect is a well-documented effect in behavioral finance, first brought to light in 1985 by Shefrin and Statman. The effect is caused by investors valuating unrealized gains and losses differently which can be connected to concepts like the prospect theory, Tverksy and Kahneman (1979), and loss aversion Kahneman et al. (1991). To examine the existence of the disposition effect in Sweden, the authors of this thesis performed a study where the participants played a stock simulation game. Purpose: ​The purpose of this study is to examine whether the investor experience plays a crucial part in the mitigation of the disposition effect. Method: ​The study of this thesis is conducted by collecting primary data using a quantitative research strategy by utilizing a virtual trading game and a post-experiment survey. Following this, the data derived from this experiment is used to calculate the disposition effect by calculating the Proportion of Gains Realized and Proportion of Losses Realized of the participants. To fulfill the purpose, t-tests in the form of one-sample t-tests and independent samples t-test were used to determine if the results of our study were statistically significant. Furthermore, Spearman correlations were also implemented to test for correlations between subgroups and the disposition effect. Conclusion: ​Statistically significant results confirm that there was a disposition effect among the subject group at a 1% confidence level. While there was a difference in disposition effect between the experienced and inexperienced groups, the difference was not statistically significant which could be explained by a small sample size and a subjective measure of experience.

No description available.

In 2008,the financial Tsunami spreads through all of the world. In the view of behavior finance, this thesis wants to use the method which was created by Weber and Camerer(1998)to examine whether all kinds of investors will show disposition effect. The research of the time is from 19/5/2008 to 15/1/2010, and we separate the period into bull market and bear market. And we also study all kinds of investors¡¦trading volume. According to the research results, the findings are listed as below: 1. All kinds of investors showp disposition effect, and the private investors would show disposition effect. 2. All kinds of investors would show bigger disposition effect for the smaller companies than for the bigger companies. 3.The disposition effect of dealers are similar to the private investors, but our research can not find out whether the stocks of their holding and rate of return are different from private investors. Keywords: behavior finance, disposition effect, over confident, cognitive bias

This dissertation analyzes trading behavior in financial markets from multiple perspectives. In chapter 1, "Exploratory Trading," I investigate the mechanisms underlying high-frequency traders' capacity to profitably anticipate price movements. I develop a model of how a trader could gather valuable private information by using her own orders in an exploratory manner to learn about market conditions. The model's predictions are borne out empirically, and I find that this "exploratory trading" model helps to resolve several central open questions about high-frequency trading. Chapters 2 and 3 focus on the trading behavior of individuals. Chapter 2, "Foundations of the Disposition Effect: Experimental Evidence," (co-authored with Johanna Mollerstrom), presents and analyzes results from a laboratory experiment intended to examine if and how "regret aversion"--aversion to admitting mistakes--affects people's trading decisions. Although the experimental results resolve little about regret aversion specifically, they reveal some novel and unexpected effects, most importantly that subjects radically changed their trading decisions when they were compelled to devote a minimal amount of extra attention. In chapter 3, "Price Targets," I analyze how rational investors who privately observe information of indeterminate quality use prices to learn about whether or not their private information is valuable. I derive implications about trading behavior that not only help to explain a variety of empirical puzzles, but also generate several new testable predictions. Although these three essays differ considerably in methodology and focus, they all address the same basic issue of understanding the foundations of trading behavior. / Economics

No description available.

Degree thesis deals with behavioral finance with a focus on behavior and psychology of an individual investor. The first part is devoted to the prospect theory that is a descriptive model of behavior of economic agents under the conditions of uncertainty and stands in a stark contrast with the traditional normative expected utility theory. The second part is devoted to the group of behavioral biases that are distortions of human thinking and judgment documented by cognitive psychology. These biases are difficult to eliminate and lead to a biased perception, inaccurate judgments and illogical interpretations. The third and final part is devoted to a questionnaire survey whose goal was to find out whether financial market participants behave according to the axioms of the expected utility theory or whether they systemically deviate from the axioms of this normative theory. The second goal of the survey was to confirm or disprove inferences of academic studies about existence of behavioral biases.

O efeito disposição, originalmente proposto por Shefrin e Statman (1985), preconiza que os investidores tendem a vender ações com lucro em um curto período de tempo e manter ações com prejuízo por um longo período de tempo. A despeito da ampla gama de evidências sobre o assunto, as razões que levariam os investidores a manifestar esse viés comportamental ainda é motivo de uma controvérsia importante entre motivações racionais e comportamentais. Neste trabalho, o objetivo foi testar duas motivações comportamentais concorrentes para explicar o efeito disposição: a teoria perspectiva e o viés da reversão à média. Para cumprir esse objetivo, foi feita uma análise das transações mensais de compra e venda de uma amostra de 51 fundos de investimento em ações brasileiros, no período de 2002 a 2008. A análise envolveu a estimação de dois modelos de regressão de variável dependente qualitativa. O primeiro consistiu em um modelo logit binário cujo propósito foi determinar a probabilidade de um gestor realizar um ganho ou uma perda de capital em razão de variáveis de retorno das ações. O segundo foi um modelo logit ordenado cujo objetivo foi verificar a existência de uma relação entre as variáveis de retorno e o volume monetário vendido das ações. Em ambos os modelos, os parâmetros estimados para as variáveis de retorno das ações foram interpretados como um coeficiente de disposição, sendo que a proposição desse coeficiente consistiu na principal contribuição da pesquisa. Os resultados dos modelos estimados trouxeram evidências de que a teoria perspectiva parece permear o processo decisório dos gestores dos fundos analisados. Já no caso da hipótese de que o efeito disposição é decorrente do viés da reversão à média, não foi possível corroborá-la com base nos resultados aqui relatados. / The disposition effect, originally proposed by Shefrin and Statman (1985), predicts that investors tend to sell winning stocks too soon and ride losing stocks too long. Despite the wide range of research evidence about this issue, the reasons that lead investors to act this way is still subject to much controversy between rational and behavioral explanations. In this thesis, the main goal was to test two competing behavioral motivations to justify the disposition effect: prospect theory and mean reversion bias. To achieve this goal, an analysis of monthly transactions for a sample of 51 Brazilian stock funds from 2002 to 2008 was conducted. The analysis involved the estimation of two regression models with qualitative dependent variable. The first one consisted of a binary logit model whose purpose was to set the probability of a manager to realize a capital gain or loss as a function of the stock return. The second one was an ordered logit model whose objective was to verify the existence of a relationship between stock returns and the monetary volume sold. In both models, the estimated parameters for the stock return variables were interpreted as a disposition coefficient and the proposition of this coefficient was the main contribution of the research. The results of the estimated models brought evidence that prospect theory seems to guide the decision making process of the managers of the analyzed funds. The hypothesis that the disposition effect is due to mean reversion bias could not be confirmed based on the results reported here.

Submitted by Filipe dos Santos (fsantos@pucsp.br) on 2016-08-29T12:57:43Z No. of bitstreams: 1 Marilú Rodriguez e Rodrigues.pdf: 1113309 bytes, checksum: 2dced7ce9b255848e14b778ee3ba988b (MD5) / Made available in DSpace on 2016-08-29T12:57:43Z (GMT). No. of bitstreams: 1 Marilú Rodriguez e Rodrigues.pdf: 1113309 bytes, checksum: 2dced7ce9b255848e14b778ee3ba988b (MD5) Previous issue date: 2016-04-04 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / There is a representative number of studies showing evidence of the disposition effect. Such studies show that there are no explicit reasons for this deviant behavior, being a reason for doubt between rational and behavioral motivations. Shefrin and Statman (1985), in their seminal study developed the theory called the disposition effect, in which investors tend to sell winning assets quickly and loser assets remain active for longer. Although evidence of the disposition effect has been observed on these studies there are still gaps which have not been solved. Including the study of the disposition effect in emerging countries like Brazil, and studies with primary data which do not exist. The aim of this study is to evaluate whether Brazilian equity fund managers are affected by the disposition effect manifestation. The first empirical study with data from stock funds obtained from Economatica software took in consideration not only the portfolio of each fund every month, but also stock prices over time, assets of each fund and the Bovespa index. Along the study, several analysis were carried out, from statistical proportions tests to the adjustment of multivariate models such as logistic regression and ordered logistics to try to detect signs of the manifestation of the disposition effect on Brazilian equity funds managers. With all these techniques, we cannot neglect the presence of the disposition effect on the managers of the main Brazilian funds. The only test which showed no statistical significance was the test comparing proportion and market return. The difference on this test could have been influenced by the lack of fund assets control, which was held in regressions. The conclusion of the study shows that there is a disposition effect in Brazilian equity and investment fund managers, therefore the aim of the research survey has been met, as well as the data analysis performance made by Economatica software compared to previous studies such as Lucchesi (2010), where the author used data collected monthly by The Securities Commission of Brazil (2010). For further studies it is suggested that the research is carried out with the use of primary data from BM&FBOVESPA customers, as further from the evidence of the disposition effect it will be possible to identify the socioeconomic and demographic profile as well as other characteristics of the stock exchange Brazilian investor / Existe um número representativo de estudos que demonstram evidências sobre o efeito disposição. Esses estudos evidenciam que não existem razões explícitas sobre esse desvio comportamental, sendo motivo de dúvida entre as motivações racionais e comportamentais. Shefrin e Statman (1985), em seu estudo seminal, desenvolveram a teoria denominada efeito disposição, na qual os investidores tendem a vender ativos vencedores rapidamente e mantêm ativos perdedores durante um tempo maior. Embora nesses estudos tenham sido verificadas evidências sobre o efeito disposição, ainda existem lacunas que não foram estudadas. Entre elas o estudo do efeito disposição nos países emergentes como o Brasil, além de não existirem estudos realizados com dados primários. O objetivo deste trabalho é avaliar se os gestores de fundo de ações brasileiros são afetados pela manifestação do efeito disposição. Foi realizado o primeiro estudo empírico com dados dos fundos de ações somente obtidos do software Economatica, desde o portfólio de cada fundo em todos os meses, assim como os preços das ações ao longo do tempo, o patrimônio de cada fundo e o índice Bovespa. Durante o estudo, foram realizadas várias análises, desde testes de proporções estatísticos, até o ajuste de modelos multivariados como regressões logísticas e a logística ordenada para tentar detectar indícios da manifestação do efeito disposição nos gestores dos fundos de ações ativos brasileiros. Com todas essas técnicas, não podemos rejeitar a presença do efeito disposição nos gestores dos principais fundos brasileiros. Apenas no teste de proporção, comparando com o retorno de mercado, não foi encontrada significância estatística. A diferença nesse teste pode ser influenciada por não ter sido controlado pelo patrimônio do fundo, o que foi realizado nas regressões. A conclusão do estudo demonstra que existe o efeito disposição nos gestores brasileiros de fundos de investimentos em ações, portanto o objetivo da investigação da pesquisa foi atendido, assim como a análise dos dados realizada por meio do software Economatica comparando com os estudos anteriores como Lucchesi (2010), onde o autor utilizou dados mensais coletados da Comissão de Valores Mobiliários (2010). Para possíveis estudos, sugere-se a realização da pesquisa com dados primários dos clientes da BM&FBOVESPA, dados que, além de permitirem a manifestação do efeito disposição, permitirão identificar o perfil socioeconômico, demográfico e demais características do investidor brasileiro em bolsas de valores

Previous researches find that advertising expenditure and performance can significantly influence fund flows. With a unique data from Securities Investment Trust and Consulting Association (SITCA) of Taiwan, we can use monthly data of exact purchasing amounts, redemption amounts and advertising expenditures to gain more insight into investors¡¦ investment behavior. We examine the impact of advertising on mutual fund investors¡¦ behavior and the performance-flow relationship. This paper differs from the existing literature, which only concerned with the average advertising effect on fund flow. We follow the procedure of Tsay (1989) time series autoregressive processes model and modify it to cross-section variables threshold model to examine whether threshold effect of advertising on fund flows exists. We generate four empirical results. (1) Performance is significantly associated with higher fund flows. (2) Advertising is significantly associated with higher fund flows. (3) Disposition effect exists in Taiwanese mutual fund market and advertising expenditure can partially enhance the disposition effect. (4) We also measure the threshold effect of advertising on fund flows.