Submitted by Automa??o e Estat?stica (sst@bczm.ufrn.br) on 2017-10-18T19:39:54Z No. of bitstreams: 1 AnnaCeciliaChavesGomes_TESE.pdf: 3722949 bytes, checksum: f643a898084ff61ec16969deea12d5e2 (MD5) / Approved for entry into archive by Arlan Eloi Leite Silva (eloihistoriador@yahoo.com.br) on 2017-10-19T19:33:30Z (GMT) No. of bitstreams: 1 AnnaCeciliaChavesGomes_TESE.pdf: 3722949 bytes, checksum: f643a898084ff61ec16969deea12d5e2 (MD5) / Made available in DSpace on 2017-10-19T19:33:30Z (GMT). No. of bitstreams: 1 AnnaCeciliaChavesGomes_TESE.pdf: 3722949 bytes, checksum: f643a898084ff61ec16969deea12d5e2 (MD5) Previous issue date: 2017-03-09 / A proposi??o de que um processamento composto por dois sistemas - Intuitivo e Racional - ? respons?vel pelos processos cognitivos encontra in?meras refer?ncias na literatura. Cr?ticas recentes sugerem que o Sistema Intuitivo poderia ser composto por um Conjunto de Sistemas Aut?nomos (TASS) e o Racional por dois n?veis de controle: mentalidade algor?tmica e reflexiva. Embora exista significativa aceita??o da estrutura tripla por estudos da intelig?ncia artificial, a literatura atual converge para um processamento duplo, por isso ainda h? discuss?es acerca dos componentes da mente. Dado que os sistemas seriam respons?veis pela promo??o dos desvios sistem?ticos do racioc?nio normativo (vieses) e da avalia??o de atributos heur?sticos (heur?stica), tem-se que os estudos na ?rea podem auxiliar no entendimento da decis?o heur?stica, sendo necess?rios, assim, mais estudos, sobretudo emp?ricos, referentes ao assunto. Ante o exposto, o presente estudo trata de avaliar a arquitetura multivariada da domin?ncia dos sistemas cognitivos na gera??o de vieses comportamentais. Para tal, aplicou-se um question?rio feito com 2.958 participantes de 21 universidades p?blicas que mensurou a Heur?stica da Representatividade, Ancoramento, Heur?stica da Disponibilidade, Ilus?o de Controle, Avers?o ? Perda, Excesso de Confian?a, Otimismo, Efeito Dota??o, Heur?stica do Afeto, Fal?cia da Conjun??o, Efeito de Enquadramento, Contabilidade Mental, Efeito Disposi??o, Sistema Intuitivo e o Sistema Racional. As escalas foram validadas e analisadas por meio de uma An?lise Fatorial Confirmat?ria e, em seguida, foram aplicados a An?lise de Modelos de Equa??es Estruturais (SEM) e os testes de invari?ncia para subamostras dos diferentes g?neros, regi?es e ?reas de forma??o profissional. Dentre as escalas utilizadas, apenas a de Avers?o ? Perda n?o foi poss?vel de valida??o, provavelmente por ser considerada um recorte da original (demasiadamente grande para ser inclu?da). O Sistema Racional subdividiu-se em 2 fatores denominados de Algor?tmico e de Reflexivo, corroborando com estudos acerca de uma estrutura tripartida. Estruturas bidimensionais foram observadas no Otimismo e Efeito Disposi??o, de acordo com o observado em Bandeira et al. (2002) e Melo (2014) respectivamente. No que tange ? especifica??o do modelo estrutural, notou-se que o Excesso de Confian?a, Otimismo e Pessimismo resultam de uma mesma combina??o de sistemas, apresentando ind?cios de que esses poderiam de fato aparecerem em conjunto quando analisados empiricamente, conforme afirmado por Taylor e Brown (1988) e Barros e Silveira (2008). A Ancoragem estaria ocorrendo no que aparentaria ser um efeito de primming e a Contabilidade Mental mostrando-se ser parcialmente respons?vel por causar o Efeito Disposi??o, ambas as observa??es de acordo com a literatura da ?rea. J? a Fal?cia da Conjun??o, contrariamente ao esperado, n?o demonstrou relacionamento significativo com a Heur?stica da Representatividade, podendo esse resultado se dever ao instrumento, que mede a fal?cia, ser composto por quest?es demasiadamente tratadas na atualidade, assim, proporcionando que a Disponibilidade regesse predominantemente o vi?s. A SEM comprovou a influ?ncia dos sistemas racionais na Heur?stica do Afeto e Efeito Dota??o, em conson?ncia com Kahneman (2012). Por fim, ao se testar a invari?ncia, tem-se em todos os casos a rejei??o da hip?tese de invari?ncia, comprovando que os aspectos cognitivos apresentam forte subjetividade individual e ressaltam a import?ncia do perfil para o entendimento da domin?ncia dos sistemas. / The proposition that a processing composed of two systems - Intuitive and Rational - is responsible for the cognitive processes finds numerous references in the literature. Recent reviews suggest that the Intuitive System could be composed of a Set of Autonomous Systems (TASS) and the Rational by two levels of control: algorithmic and reflexive mentality. Although there is significant acceptance of the triple structure by artificial intelligence studies, current literature converges to dual processing, so there are still discussions about the components of the mind. Given that the systems would be responsible for promoting systematic deviations of normative reasoning (biases) and evaluation of heuristic attributes (heuristics), it has to be that the studies in the area can help in the understanding of the heuristic decision, therefore, more studies are needed, especially empirical ones, referring to the subject. Given the above, the present study treat to evaluate the multivariate architecture of the dominance of cognitive systems in the generation of behavioral biases. For this, a questionnaire was done with 2,958 participants from 21 public universities that measured the Representativity Heuristic, Anchoring, Availability Heuristic, Illusion of Control, Loss Aversion, Overconfidence, Optimism, Endowment Effect, Affect Heuristic, Conjunction Fallacy, Framing Effect, Mental Accounting, Disposition Effect, Intuitive System, and the Rational System. The scales were validated and analyzed by a Confirmatory Factor Analysis and then applied to the Structural Equation Model (SEM) and the invariance tests for sub-samples of the different genres, regions and professional qualification areas. Among the scales used, only Loss Aversion was not validated, probably because it was considered a clipping of the original (too large to be included). The Rational System was subdivided into 2 factors called Algorithmic and Reflexive, corroborating with studies about a tripartite structure. Two-dimensional structures were observed in the Optimism and Disposition Effect, according to what was observed in Bandeira et al. (2002) and Melo (2014), respectively. Concerning the specification of the structural model, it was noted that the Overconfidence, Optimism and Pessimism result from the same combination of systems, presenting indications that these could indeed appear together when analyzed empirically, as stated by Taylor and Brown (1988) and Barros and Silveira (2008). Anchoring would be occurring in what would appear to be a primming effect and the Mental Accounting showing to be partially responsible for causing the Disposition Effect, both observations according to the literature of the area. On the other hand, the Fallacy of the Conjunction, contrary to what was expected, did not demonstrate a significant relationship with the Heuristic of Representation, and this result may be due to the instrument, that measured the fallacy, be composed of issues that are heavily treated in the present day, thus allowing Availability to predominantly govern the bias. The SEM proved the influence of rational systems on the Affect Heuristic and Endowment Effect, in consonance with Kahneman (2012). Finally, when testing the invariance, it has been that, in all cases the rejection of the invariance hypothesis, proving that the cognitive aspects present a strong individual subjectivity and emphasize the importance of the profile for the understanding of the dominance of the systems.

Made available in DSpace on 2014-12-17T13:53:33Z (GMT). No. of bitstreams: 1 AnnaCCG_DISSERT.pdf: 494354 bytes, checksum: cc3884ea40667a786d041d6af02a9d7f (MD5) Previous issue date: 2012-02-16 / The Behavioral Finance develop as it is perceived anomalies in these markets efficient. This fields of study can be grouped into three major groups: heuristic bias, tying the shape and inefficient markets. The present study focuses on issues concerning the heuristics of representativeness and anchoring. This study aimed to identify the then under-reaction and over-reaction, as well as the existence of symmetry in the active first and second line of the Brazilian stock market. For this, it will be use the Fuzzy Logic and the indicators that classify groups studied from the Discriminant Analysis. The highest present, indicator in the period studied, was the Liabilities / Equity, demonstrating the importance of the moment to discriminate the assets to be considered "winners" and "losers." Note that in the MLCX biases over-reaction is concentrated in the period of financial crisis, and in the remaining periods of statistically significant biases, are obtained by sub-reactions. The latter would be in times of moderate levels of uncertainty. In the Small Caps the behavioral responses in 2005 and 2007 occur in reverse to those observed in the Mid-Large Cap. Now in times of crisis would have a marked conservatism while near the end of trading on the Bovespa speaker, accompanied by an increase of negotiations, there is an overreaction by investors. The other heuristics in SMLL occurred at the end of the period studied, this being a under-reaction and the other a over-reaction and the second occurring in a period of financial-economic more positive than the first. As regards the under / over-reactivity in both types, there is detected a predominance of either, which probably be different in the context in MLCX without crisis. For the period in which such phenomena occur in a statistically significant to note that, in most cases, such phenomena occur during the periods for MLCX while in SMLL not only biases are less present as there is no concentration of these at any time . Given the above, it is believed that while detecting the presence of bias behavior at certain times, these do not tend to appear to a specific type or heuristics and while there were some indications of a seasonal pattern in Mid- Large Caps, the same behavior does not seem to be repeated in Small Caps. The tests would then suggest that momentary failures in the Efficient Market Hypothesis when tested in semistrong form as stated by Behavioral Finance. This result confirms the theory by stating that not only rationality, but also human irrationality, is limited because it would act rationally in many circumstances / As Finan?as Comportamentais desenvolvem-se ? medida em que s?o percebidas anomalias nos ditos mercados eficientes. Seus campos de estudos podem ser reunidos em tr?s grandes grupos: vi?s heur?stico, subordina??o a forma e mercados ineficientes. O presente estudo foca-se em quest?es relativas ?s heur?sticas da representatividade e do ancoramento. O presente trabalho objetivou ent?o identificar a sub-rea??o e sobre-rea??o, assim como a exist?ncia de simetria nos ativos de primeira e segunda linha do mercado acion?rio brasileiro. Para tal foi utilizada a L?gica Fuzzy e os indicadores que classificam os grupos, estudados a partir da An?lise Discriminante. O ?ndice mais presente, nos per?odos estudados, foi o de Exig?vel/Patrim?nio L?quido, demonstrando a import?ncia deste no momento de discriminar os ativos a serem considerados vencedores e perdedores . Nota-se na MLCX que os vieses de sobre-rea??o se concentram no per?odo da crise financeira, sendo que nos demais per?odos, de vieses significantes estatisticamente, s?o obtidas sub-rea??es. Estas ?ltimas se dariam em momentos de n?veis moderados de incertezas. Nas Small Caps as rea??es comportamentais em 2005 e 2007 ocorrem de forma inversa ?s observadas nas Mid-Large Caps. Agora em momentos de crise ter-se-ia um marcado conservadorismo enquanto que nas proximidades do fim do preg?o viva-voz da Bovespa, acompanhado do aumento das negocia??es realizadas, nota-se uma rea??o excessiva por parte dos investidores. As demais heur?sticas nas SMLL ocorreram no final do per?odo em estudo, sendo esta uma de sub e outra de sobre-rea??o e a segunda ocorrendo em um per?odo financeiro-econ?mico mais positivo que a primeira. No que diz respeito a sub/sobre-rea??o em ambos tipos, n?o se detecta a predomin?ncia de nenhum destes, fato que provavelmente seria diferente nas MLCX em um contexto sem crise. Quanto ao per?odo em que tais fen?menos se d?o de forma significante estatisticamente notase que, em sua maioria, tais fen?menos ocorrem nos ?ltimos per?odos para as MLCX enquanto nas SMLL n?o apenas os vieses s?o menos presentes como tamb?m n?o h? concentra??o destes em nenhum per?odo. Diante do exposto, acredita-se que, embora detectese a presen?a de vieses comportamentais em certos per?odos, estes n?o aparentam tender a um tipo espec?fico de heur?stica ou e embora existam alguns ind?cios de uma sazonalidade nas Mid-Lage Caps, este mesmo comportamento n?o parece se repetir nas Small Caps. Os testes realizados sugerem ent?o que haveriam falhas moment?neas na Hip?tese de Mercados Eficientes quando testada em sua forma semi-forte conforme afirmado pelas Finan?as Comportamentais. Este resultado corrobora com a teoria ao afirmar que n?o apenas a racionalidade, mas tamb?m a irracionalidade humana, ? limitada, pois agir-se-ia racionalmente em in?meras circunst?ncias