Thesis advisor: Harold Petersen / According to the Efficient Market Hypothesis (EMH), speculative bubbles do not exist and are impossible. We disagree. If prices are the only observable component of an asset’s value, and they themselves are an aggregated consensus of perceived value, then what about the Efficient Market Hypothesis (EMH) is testable? Rather than assume that prices always reflect value (i.e. perfect market efficiency), we maintain that markets are efficient to the extent that one can be confident that tomorrow’s prices will not diverge dramatically or arbitrarily from today’s prices, absent significant new information. Speculative bubbles are not materializing every day, every month, or even every year. But they do have the potential and indeed a tendency to occur from time to time. If markets are efficient, what explains all the trading? Rather than assume rational expectations and a homogenous investor class, we assume four investor classes that diverge in their perception of value (i.e. in their expectation of future returns) and thus trade with each other. Using insights from Hyman Minsky’s Financial Instability Hypothesis (FIH), we develop a theoretical framework for how a speculative bubble might materialize within a modern capitalist economy with securities markets’ that follow a random walk. Obviously, there is no “bubble” variable. We use Tobin’s Q, the ratio of the price of an asset to its replacement cost, and Shiller’s cyclically adjusted P/E ratio as proxy variables for bubbles. We find statistically significant, negative relationships between both of these proxy variables and our dependent variable, Ten Year Cumulative Returns, thereby providing evidence against the EMH and suggesting the possibility of speculative bubbles. / Thesis (BA) — Boston College, 2014. / Submitted to: Boston College. College of Arts and Sciences. / Discipline: Economics Honors Program. / Discipline: Economics.

Esse estudo visa testar a eficiência informacional dos mercados acionários brasileiro e mexicano, através do desenvolvimento de um estudo de eventos. Para viabilização do estudo, o mercado brasileiro será representado pela BOVESPA - Bolsa de Valores de São Paulo e o mercado mexicano pela BMV - Bolsa Mexicana de Valores. Especificamente, esses mercados serão representados pelas ações de empresas que participaram da composição das carteiras teóricas dos Índices IBOVESPA e IpyC (Índice de Precios y Cotizaciones) durante todo o período compreendido entre Janeiro de 2001 e Janeiro de 2006. Foram analisadas as reações dos retornos das ações nesses mercados nos dias próximos às datas das divulgações de resultados trimestrais pelas empresas em busca de evidências de ineficiências. Os resultados encontrados mostraram indícios de eficiência informacional quando as empresas foram consideradas individualmente e indícios de ineficiência informacional quando considerada carteira toda. / This study aims to test the informational efficiency of the Brazilian and Mexican stock markets, through the development of an event study. For this purpose, BOVESPA, the Sao Paulo Stock Exchange will represent the Brazilian stock market while the Mexican Stock Exchange (BMV) will represent the Mexican stock market. Specifically, these markets will be represented by the company stocks that participated of the composition of their stock market indexes, IBOVESPA (BOVESPA Index) and IPyC (Mexican Stock Exchange Index), during the period of January 2001 through January 2006. Stock prices were analyzed for the days around the quarterly results release dates, searching for inefficiency evidence in these markets. The results show signs of information-efficiency when considering each company and information inefficiency when considering the market portfolio.

Partindo dos conceitos estabelecidos pela Hipótese dos Mercados Eficientes (HME), a qual questiona a validade da Análise Gráfica, e considerando as críticas feitas à HME pelos defensores das assim chamadas Finanças Comportamentais, e outros, este estudo procurou detectar a existência de uma relação entre os sinais gráficos observados no dia-a-dia do mercado de ações brasileiro e as tendências que lhes sucedem, durante um período de 8 anos, para um número de papéis. Os resultados obtidos neste trabalho evidenciam a existência de tal relação, sugerindo a validade da utilização da Análise Gráfica como instrumento para a previsão de preços no mercado de ações brasileiro, no período considerado. / Based on the principles established by the Efficient Market Hypothesis (EMH), which argues that the Technical Analysis is of no value in order to predict future prices of securities, and considering the criticism to the EMH by the advocates of the so called Behavioral Finance, and others, this work tried to detect the existence of a relationship between the graphic signals observed day by day in the Brazilian stock market and the trends which happen after these signals, within a period of 8 years, for a number of securities. The results obtained from this study offer evidence of the existence of such relationship, suggesting the validity of the Technical Analysis as an instrument to predict security prices in the Brazilian stock market within that period.

Submitted by Maicon Juliano Schmidt (maicons) on 2015-07-06T14:43:40Z No. of bitstreams: 1 Fernando Schumann.pdf: 3125506 bytes, checksum: 2619389913d90e6922ec60563241a56a (MD5) / Made available in DSpace on 2015-07-06T14:43:40Z (GMT). No. of bitstreams: 1 Fernando Schumann.pdf: 3125506 bytes, checksum: 2619389913d90e6922ec60563241a56a (MD5) Previous issue date: 2013-02-27 / Nenhuma / A eficiência ou não dos mercados é um assunto que permanece polemizado por diversos acadêmicos e profissionais do mercado, na medida em que alguns sugerem sua eficiência, e outros se mostram contrários a essa ideia. Nesse contexto, o objetivo deste trabalho é o de verificar se os mercados acionários brasileiros podem ser considerados eficientes, na forma fraca, bem como investigar a possiblidade de existência de anomalias de mercado conhecidas como "efeito segunda-feira" e "efeito sell in may and go away". Com a finalidade de verificar a eficiência de mercado, utilizamos os testes de raiz unitária Dickey-Fuller Aumentado (ADF) e Phillips-Perron (PP). Para a constatação de presença do efeito segunda-feira, empregamos dois procedimentos, quais sejam: estimação dos coeficientes de regressão com o uso de variáveis dummies e teste de Wald, para averiguar uma possível igualdade estatística dos coeficientes; e teste F da Anova e teste de Kruskal-Wallis, para verificação de igualdade de médias e medianas, respectivamente. No que concerne à apuração do efeito sell in may and go away, foram utilizados apenas os testes F da Anova e teste de Kruskal-Wallis. Os resultados apresentados sugerem a eficiência do mercado na forma fraca, bem como a não identificação do efeito segunda-feira. No entanto, foi constatada a presença do efeito sell in may and go away para os ativos CSNA3 e USIM5, de acordo com a metodologia proposta, ou seja, uma sazonalidade favorável nos meses de novembro a abril para os respectivos ativos, o que, em suma, contraria a Hipótese de Mercados Eficientes (HME). / The efficiency of the markets or not is a matter that remains polemic by several academics and market professionals, in the sense that some studies suggest its effectiveness, and others show themselves against this idea. In this context, the aim of this work is to verify whether the Brazilian stock markets may be considered efficient in the weak form, as well as investigate the possibility of existence of market anomalies known as “Monday Effect” and “Sell in may and go away Effect”. In order to verify the market efficiency, we used Augmented Dickey-Fuller (ADF) and Phillips-Perron (PP) unit root tests. For the observation of Monday effect presence, we employed two procedures, namely: estimation of the regression coefficients using dummy variables and Wald test to investigate a possible statistical equality of the coefficients; and Anova F test and Kruskal-Wallis test to check for equality of means and medians, respectively. Regarding the calculation of Sell in may and go away effect, it was used only Anova F and Kruskal-Wallis tests. The results suggest the market efficiency in the weak form, as well as the no identification of Monday effect. However, it was found the presence of Sell in may and go away effect for the assets CSNA3 and USIM5, according to the methodology proposed, that is, a favorable seasonality in the months from November to April for the respective assets which, in short, contradicts the Efficient Market Hypothesis (EMH).

Made available in DSpace on 2016-04-25T18:39:53Z (GMT). No. of bitstreams: 1 Erica Posch de Carvalho Correa.pdf: 6417504 bytes, checksum: 5567a0a340ea2edd2f3b9f337749ba6b (MD5) Previous issue date: 2013-06-03 / This study aims at evaluating the hypothesis of market efficiency for the private education sector in Brazil. This analysis is based on an evaluation of the return that stocks have over the disclosures of material facts and quarterly results, using the hypothesis of semi-strong informational efficiency of the market, developed by Fama (1970). From historical data of stock prices of four companies listed on the Bovespa Index, it is possible to assess whether this market meets the specific market efficiency requirements of the theory, or on the other hand, it has inefficiencies that market players could use to obtain abnormal returns. We evaluated acquisitions and releases of quarterly results, in order to have an overview of corporate information. The conclusion is that one cannot reject the efficient market hypothesis, as the market reacted to new information published, and the reaction was absorbed by the price of assets, after the event window / Este trabalho tem por objetivo avaliar a hipótese de eficiência de mercado para o setor de educação privada brasileiro. Esta análise está fundamentada na avaliação do retorno que as ações tiveram durante as divulgações de fatos relevantes e resultados trimestrais, utilizando a hipótese semi-forte de eficiência informacional do mercado, elaborada por Fama (1970). A partir de dados históricos do preço das ações de quatro companhias listadas na BOVESPA, é possível avaliar se este mercado em específico atende aos requisitos de eficiência da teoria, ou se, por outro lado, possui ineficiências que os agentes de mercado poderiam se utilizar para obter retornos anormais. Foram avaliadas divulgações de aquisições e de resultados trimestrais, de modo que se tenha um panorama geral de informações das empresas. A conclusão é que não se pode rejeitar a hipótese de mercado eficiente, uma vez que o mercado reagiu às novas informações publicadas, e a reação foi absorvida pelo preço dos ativos, após a janela do evento

Cette thèse proposée utilise les ondelettes de Haar à créer de nouveaux indicateurs techniques, d’en évaluer leurs performances afin de tester la validité de l’efficience faible des marchés financiers. L’approche choisie vise à mettre en œuvre les capacités des indicateurs techniques à capter la mémoire longue présente dans les indices boursiers américains et européens à travers l’estimation de la tendance par le processus de lissage. De plus, cette dernière est une composante importante dans les séries économiques et financières. En effet, elle a fait l’objet d’innombrables investigations tant en analyse technique, qu’en traitement du signal et dans la théorie des cycles économiques. Toutefois, sa présence n’entre pas en ligne de compte dans la théorie classique de la finance, car les principaux modèles utilisés se focalisent sur les variations des cours boursiers. À cet effet, la tendance constitue une source de non-stationnarité entraînant des difficultés majeures pour la modélisation économétrique ou financière. Exploiter cette tendance s’affranchit, dans ce cas, des hypothèses de non-stationnarité tendancielle ou de racine unitaire. En plus, à l’issue des résultats que nous avons obtenus à partir du modèle à changement de régime. Nous confirmons qu’il est possible d’exploiter la présence de mémoire longue dans les cours, et également de battre le marché en présence de coûts de transactions sur les marchés américains et européens. / This proposed thesis uses the Haar wavelets to create new technical indicators, to evaluate their performance in order to test the validity of the weak form of efficient market hypothesis. The chosen approach aims to implement the capabilities of technical indicators to capture the long memory present in the US and European stock indices through the estimation of the trend by the smoothing process. Moreover, the trend is an important component in the economic and financial series. Indeed, it has been the subject of innumerable investigations in technical analysis, in signal processing and in the theory business cycle theory. However, its presence is not taken into account in the classic theory of finance because the main models used focus on changes in stock prices. For this purpose, the trend constitutes a source of non-stationarity leading to major difficulties for econometric or financial modeling. Exploit trend is freed, in this case, from the hypotheses of tendancy or unit root. In addition, the issue of the results we obtained from the regime change model. We confirm that it is possible to exploit the presence of long memory in the series, and also to beat the market in the presence of transaction costs on the American and European markets.

L'objectif principal de ce travail est de contribuer au débat initié par Roll (1977) et Basu (1977) depuis plus d‟une trentaine d‟années sur l‟invalidité du MEDAF à expliquer la formation des prix des actifs financiers. Cette étude se focalise plus particulièrement sur la capacité suggérée du ratio rendement du dividende à être un proxy de risque indépendant du bêta. Elle teste l‟aptitude d‟une stratégie value très populaire basée sur l‟effet « rendement du dividende » à réaliser des performances anormales. Les résultats montrent que les bonnes performances de la stratégie Dow 10 ne sont attribuables ni à sa capacité de sélectionner des titres performants ni à son aptitude à anticiper les mouvements du marché. De plus, mis en compétition avec la régression de Litzenberger et Ramaswamy (1979) et un modèle répliquant la méthodologie de Fama et French (1993), le modèle d‟évaluation des actifs financiers de Sharpe s‟impose comme le meilleur modèle de prévision des rentabilités. Afin de montrer que le coefficient bêta capture l‟effet « rendement du dividende », nous suggérons une nouvelle formulation du MEDAF. Nous proposons une décomposition du coefficient bêta en deux facteurs de risque : un risque systématique de base et un risque lié au facteur rendement du dividende. Globalement, l‟hypothèse de l‟efficience des marchés semble être vérifiée. En effet, l‟application de notre modèle améliore de 3% le pouvoir explicatif du MEDAF et les coefficients de notre régression sont significatifs au seuil de 1%. L‟effet « rendement du dividende » est un facteur de risque déjà capturé par le bêta de Sharpe. / The main objective of this work is to contribute to the debate initiated by Roll (1977) and Basu (1977) since more than thirty years on disability of the CAPM to explain the financial assets pricing. This study focuses specifically on the ability of the suggested ratio of dividend yield to be an independent risk proxy beta. It tests the ability of a value strategy based on the popular "dividend yield" effect to achieve abnormal performance. The results show that the good performances of the Dow 10 are not attributable to its ability to select stocks with high scores or his ability to anticipate market movements. Moreover, being in competition with the regression of Litzenberger and Ramaswamy (1979) and a model replicating the methodology Fama and French (1993), the Sharpe‟s asset pricing model stands out as the best model for forecasting returns. To show that the beta captures the dividend yield effect, we propose a new formulation of the CAPM. We propose a decomposition of beta into two risk factors: a systematic basis risk and a risk factor related to dividend yield. Overall, the efficient market hypothesis seems to be verified. Indeed, the application of our model improves the explanatory power of 3% of the CAPM and our regression coefficients are significant at 1%. The “dividend yield” effect is a risk factor already captured by the Sharpe‟s regression.

<p>This study deals with one of the efficient market hypothesis’ anomaly. The research aims at proving the</p><p>existence of a size anomaly by answering the question: can you outperform the market by investing in</p><p>small and mid caps? It is in fact a questioning of the well-know efficient market hypothesis (EMH). We</p><p>investigate the size effect in the situation of a passive strategy with different indices (Russell Indices and</p><p>S&P Indices) from 1995 to 2005.</p><p>The introduction gives to the reader the background he needs to understand the methodology and the</p><p>approach of the issue by the authors. Key concepts are defined such as EMH, passive strategy.</p><p>The second part exposes the methodology the authors choose and the methodology of exploited indices.</p><p>The research consist on measuring the risk adjusting excess returns by comparing the market index</p><p>return (S&P 500 or Russell 3000) and the Small and Mid Caps indices (S&P Small Cap 600, S&P Mid</p><p>Cap 400, Russell Mid Cap and Russell 2000) over the period. Indeed the methodology of indices is</p><p>exposing in details to understand in which extent the study can be influence by the construction of</p><p>indices.</p><p>Then in part 3 the authors describe theories that are possible explanations for the size effect. Then it is</p><p>understandable that the size anomaly is the result of a set of factors that generate abnormal returns.</p><p>These theories help the authors to come up with a model that gives an overview of the research.</p><p>After having explained their research method and reveal their empirical findings. The authors</p><p>demonstrate that excess returns can be earned by investing in small and mid caps indices even after</p><p>controlling for risk. The risk adjusting excess returns their findings can potentially be explained by the</p><p>other factors depicted in the theoretical part. E/P ratios, Trading Costs, January effect, Overreaction are</p><p>possible reasons to explain the size anomaly. They also find an instability and/or reversal of the size</p><p>effect consistent with one of the theories. However the authors find data with non statistic significance,</p><p>so I accept the null hypothesis that the excess returns of small and mid caps indices are equal to zero.</p><p>The paper ends with a discussion about the limitations of the study and possible further researches. The</p><p>authors conclude that even if the existence of a size effect is obvious for some years and horizons of</p><p>investment, the passive strategy appears to be an unsuited method to take advantage of the small effect</p><p>since the results reject the null hypothesis. The authors clarify the fact that before investing in small and</p><p>mid caps, one has to be aware of all the factors that can influence his investment (beside risk) because</p><p>the size effect is a set of factors.</p><p>Key words: Efficient Market Hypothesis, Abnormal returns, Size effect (anomaly), Passive strategy,</p><p>Market Index, S&P indices, Russell indices</p>

<p>Marknadens reaktion när ett företag informerar och annonserar om en eventuell nyemission sägs vara oförutsägbar. Enligt tidigare forskning pressas aktiekursen i de flesta fallen nedåt vid en nyemission. Under det senaste året har en del nyemissioner utförts i synnerhet på grund av den globala lågkonjunkturen då många företag haft för lite kapitalbas. Vad gäller företag på Stockholmsbörsen som valt att nyemittera aktier har även här de flesta fått se sin aktiekurs rasa.<strong><em></em></strong></p><p>Författarna till denna uppsats avser att studera hur marknaden reagerar på ett offentligt tillkännagivande av en kommande nyemission. Det undersöks även om det förefaller någon skillnad mellan tillkännagivanden av nyemissioner genomförda innan eller under lågkonjunkturen och skillnader branscher emellan.<strong><em></em></strong></p><p>Då vi ville se hur denna händelse påverkar ett företags aktiekurser valde vi att göra en eventstudie. En eventstudie ger oss möjligheten att mäta effekten av en specifik händelse. Datainsamlingen har endast bestått av sekundärdata som vetenskapliga artiklar, litteratur, tidigare forskning samt elektroniska databaser så som Avanza och OMX. Vi valde att ta med alla de företag som under tidsperioden 2005-01-01 till 2009-04-01 annonserat om en nyemission och som i dagsläget fortfarande är noterade på OMX, Stockholmsbörsen.<strong><em></em></strong></p><p>I studien ingick 21 tillkännagivanden varav hela 13 stycken, ca 62 % av dem, resulterade i en negativ kursreaktion och avkastning. Fyra av åtta tillkännagivanden om nyemission som offentliggjordes innan lågkonjunkturen uppvisade en nedåtgående kursreaktion på annonseringsdagen och därmed en negativ abnormal avkastning. Denna trend fortsätter att hålla i sig då även nio av 13 tillkännagivanden under lågkonjunkturen, visade på en negativ abnormal avkastning.</p><p> </p><p> </p><p> </p> / <p>The market reaction when a company provides information about a possible equity issue is said to be unpredictable. According to previous research the stock price, in most cases, is pushed downward in case of an equity issue. Over the past year some equity issues has been implemented particular because of the global recession. This because many companies experience too small funds. As for companies on the Stockholm Stock Exchange that have chosen to do an equity issue most of them had also experienced a decline in the stock price.<strong><em></em></strong></p><p>The authors of this essay intend to study how the market reacts to a public announcement of an upcoming equity issue. They would also like to know if there is any differences between the announcements of an equity issue that's been done before or during the recession and if there is any differences between industries.<strong><em></em></strong></p><p>Thus we wanted to see how equity issues affect a company's stock price, we have chosen to do an event study. An event study enables us to measure the effect of a specific event. The data that we been using has only consisted of secondary data as scientific articles, literature, previous research and electronic databases such as Avanza and OMX. For our study we have chosen to include all of the companies that during the period 2005-01-01 to 2009-04-01 announced about an upcoming equity issue and are still listed at the OMX, on the Stockholm Stock Exchange.<strong><em></em></strong></p><p>The study included 21 public notices of which entirely 13 of them, about 62 %, resulted in a negative rate reaction and return. Four of the eight notices about an equity issue, which was announced before the recession, resulted in a declining rate reaction on the day of the announcement and also had a negative abnormal return. This trend continues thus nine of 13 notices, which announced an equity issue during the recession, also showed a negative abnormal return.</p><p> </p><p> </p><p> </p>

This study deals with one of the efficient market hypothesis’ anomaly. The research aims at proving the existence of a size anomaly by answering the question: can you outperform the market by investing in small and mid caps? It is in fact a questioning of the well-know efficient market hypothesis (EMH). We investigate the size effect in the situation of a passive strategy with different indices (Russell Indices and S&amp;P Indices) from 1995 to 2005. The introduction gives to the reader the background he needs to understand the methodology and the approach of the issue by the authors. Key concepts are defined such as EMH, passive strategy. The second part exposes the methodology the authors choose and the methodology of exploited indices. The research consist on measuring the risk adjusting excess returns by comparing the market index return (S&amp;P 500 or Russell 3000) and the Small and Mid Caps indices (S&amp;P Small Cap 600, S&amp;P Mid Cap 400, Russell Mid Cap and Russell 2000) over the period. Indeed the methodology of indices is exposing in details to understand in which extent the study can be influence by the construction of indices. Then in part 3 the authors describe theories that are possible explanations for the size effect. Then it is understandable that the size anomaly is the result of a set of factors that generate abnormal returns. These theories help the authors to come up with a model that gives an overview of the research. After having explained their research method and reveal their empirical findings. The authors demonstrate that excess returns can be earned by investing in small and mid caps indices even after controlling for risk. The risk adjusting excess returns their findings can potentially be explained by the other factors depicted in the theoretical part. E/P ratios, Trading Costs, January effect, Overreaction are possible reasons to explain the size anomaly. They also find an instability and/or reversal of the size effect consistent with one of the theories. However the authors find data with non statistic significance, so I accept the null hypothesis that the excess returns of small and mid caps indices are equal to zero. The paper ends with a discussion about the limitations of the study and possible further researches. The authors conclude that even if the existence of a size effect is obvious for some years and horizons of investment, the passive strategy appears to be an unsuited method to take advantage of the small effect since the results reject the null hypothesis. The authors clarify the fact that before investing in small and mid caps, one has to be aware of all the factors that can influence his investment (beside risk) because the size effect is a set of factors. Key words: Efficient Market Hypothesis, Abnormal returns, Size effect (anomaly), Passive strategy, Market Index, S&amp;P indices, Russell indices