This thesis is an attempt to bridge some research gaps in the area of behavioural finance and investment through adopting the three essays scheme of PhD dissertations. There is a widespread belief that the traditional finance theory failed to provide a sufficient and plausible explanation for (1) what motivates individual investors to trade, (2) the pattern of their trading and the formation of their portfolios, (3) the determinants of cross section of expected returns other than risk. Behavioural Finance, however, offers more realistic assumptions based on two building blocks; behavioural biases of irrational investors and the limits of arbitrage that prevent the arbitrageurs from correcting mispricing and pushing prices back to fundamental values. This dissertation is structured as follows: In the first essay, the disposition effect is defined as the propensity of investors to realize gains too early while being loath to realize losses. Capital gains overhang is a measure of unrealized capital gains and losses that is associated with the disposition effect and the trading activities of behaviourally biased investors. We discover that firm characteristics can play a role in explaining variations in the capital gains overhang that is consistent with the activities of behaviourally biased and disposition investors. Specifically, we find that capital gains overhang is increasing in firm attributes that attract behaviourally biased investors, namely, earnings per share, leverage, growth and size. Capital gains overhang is also declining in market liquidity, possibly because liquidity allows behaviourally biased investors to excessively trade shares and beta and corporate earnings, probably because when high risk and inefficient firms experience losses, disposition investors experience capital losses that they are reluctant to realize. In the second essay, quantile regressions are employed to analyse the relationship between the unrealized capital gains overhang and expected returns. The ability of the disposition effect to generate momentum is also considered for the extreme expected return regions (0.05th) and (0.95th) quantiles. To do so, 450,617 observations belonging to 5176 US firms are employed, covering a time span from January 1998 to June 2015. Following the methodology of Grinblatt and Han (2005), the findings show significant differences across various quantiles in terms of signs and magnitudes. These findings indicate a nonlinear relationship between capital gains overhang and expected returns since the impact of capital gains overhang as a proxy for disposition effect on expected returns vary across the expected return distribution. More precisely, the coefficients of capital gains overhang are significantly positive and decline as the expected returns quantiles increase from the lowest to the median expected return quantiles. However, they become significantly negative and rise with the increase in expected returns quantiles above median expected returns quantiles. The findings also suggest that the disposition effect is not a good noisy proxy for momentum at the lowest expected return quantile (0.05th). However, interestingly it seems to generate contrarian in returns at the highest expected returns quantile (0.95th). In the third essays, we try to discover systematic disagreements in momentum, asymmetric volatility and the idiosyncratic risk momentum return relationship between high-tech stocks and low-tech stocks. We develop several hypotheses that suggest greater momentum profits, fainter asymmetric volatility and weaker idiosyncratic risk-momentum return relation in the high-tech stocks relative to the low tech stocks. To this end, we divide 5795 stocks that are listed in the Russell 3000 index from January 1995 to December 2015 into two samples SIC code and analysed them using the Fama French with GJR-GARCH-M term. The results show that the high-tech stocks provide greater momentum profits especially for portfolios that have holding and ranking periods of less than 12 months. In most cases momentum returns in the high-tech stocks explain a symmetric response to good and bad news while the momentum returns in the low-tech stocks show an asymmetric response. Finally, the idiosyncratic risk-momentum return relation is insignificant for high-tech stocks while it is significant and negative for low-tech stocks. That is, as idiosyncratic risk increases, momentum decreases for low-tech stocks. These findings are robust to different momentum strategies and to different breakpoints.

Made available in DSpace on 2016-04-26T20:48:40Z (GMT). No. of bitstreams: 1 Anderson Rodrigo dos Santos.pdf: 465035 bytes, checksum: 25e47d956859a8fab652835cdffbc05a (MD5) Previous issue date: 2014-05-08 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / Following the guidance of Marxist and Keynesian criticisms, the dissertation aims to reflect upon the contradictions of capitalism, especially financial capital. For this purpose it is necessary to understand the capitalist nature; not only its manifestation, but its essential determinations as well. Besides the theoretical approach, we tried to highlight the political sense of the actions of policymakers. The effects of the development of financial capital, highlighting the importance of public securities and financial innovations, were observed. The dissertation seeks to apprehend the determinations of capital and the dynamics of the capitalist movement and of financial capital, as well as the process by which the capitalist class strengthens its economic power and its political dominance / Seguindo a orientação das críticas marxistas e keynesianas, a dissertação busca refletir a respeito das contradições do capitalismo, especialmente as do capital financeiro. Para isso, é necessário compreender a natureza capitalista, não só a sua manifestação, como também suas determinações essenciais. Além da abordagem teórica, buscou-se destacar o sentido político da atuação de autoridades econômicas. Foram observados os efeitos do desenvolvimento do capital financeiro, com destaque para a importância dos títulos públicos e das inovações financeiras. A dissertação procura apreender as determinações do capital e a dinâmica do movimento capitalista e do capital financeiro, bem como o processo pelo qual a classe capitalista reforça sua força econômica e sua dominância política

This Thesis uses several forms of a single-period option-based model to analyze the incidence of income tax under uncertainty, focusing on the various effects of tax asymmetries and observing the distinct features of individual and corporate taxation. Two particular applications are being advanced. The one strives to establish the economic effects of tax-deductibility, motivated initially by a thin-capitalization measure brought forth under the framework of the recent Czech public-finance reform. The pother one compares the terms of three distinct personal income-tax schedules, as they have been recently applied in the Czech Republic and Slovakia, investigating particular issues such as tiered rates, mandatory minimum tax, bracket creep, social taxes, as well as tax incidence in general. On the whole, we find that option-based models are well suited for miscellaneous forms of economic analysis under dynamic assumptions, overcoming the inherent limitations of comparative statics routinely used by mainstream economics. We also conclude that the Czech tax reform of 2008 has failed to achieve the level of economic neutrality and simplicity, characteristical for the Slovak flat-tax schedule of 2004. There are cases, where it has actually contributed to the emergence of new asymmetries.

The present doctoral thesis aims to reflect on the uniqueness of contemporary imperialism. In the last decades, imperialism as category of analysis, lost centrality in the Marxist analysis of macroeconomics and global geopolitics, being replaced by categories such as globalization, globalization, neoliberalism and empire. Not infrequently, imperialism began to be designed as a military onslaught of one nation over another or, that represents a thought further simplifying, one military action and economic of the United States. Prima facie, all these assumptions appear to be correct, however the study of immanent contradictions to the capital movement and the meaning of capitalist imperialism shows us how insufficient they are. We have as thesis that imperialism, despite attempts of obscuring it through several mystifying expressions, continues to be an indispensable tool for understanding of the contradictory totality of capitalism.The exact comprehension of the contemporary imperialist dynamic represents a Herculean task and not Talmudic, which requires scrutinizing the writings of the early Marxist critics of the phenomenon, located in the II International, transiting by the analysis of Marxist theorists of dependency , the decades of 1960/70, toward the most recent analyzes. The investigations performed through reading the extensive bibliography on the subject, of institutional documents and the reality in different geographical scales allowed to aver our thesis that imperialism is, still, the current phase of capitalism, on this account the recorded changes in this mode of production along the XX century were not able to overcome it. The imperialism intensified its expropriating and wasteful capacity through the formation of an imperialist system on a global scale, which intersects the interests of sundry capitals located in distinct social formations. The known relation among the spoiler imperialist center, formed by a restrict core of nations, and the massive set of subdued peripheral nations, no longer accurately portrays the reality. Regardless the continuity of political-economics hierarchies among the nations, the imperialism can not be explained simply by them. The hegemonic reach of finance capital and the dissemination of its parasitic face, the fictitious capital, urged worldwide interpenetration of purposes among based corporations in numerous countries and states. No longer can determine the boundary of a capital, because its stateless rationality presented itself in clamant way, by means of mergers, associations, joint ventures, cartels and profusion of actions and derivatives. Intensified the primary and secondary expropriations practiced against workers and the rivalries between national bourgeoisies are increasingly blend of the common desire to leverage the profit gather and all social wealth. What allowed us to conclude that contemporary imperialism is more harmful and represents a risk not only to workers, but also to humanity, because it coincides with the time wherein the articulated capital in different scales virulently subtracts the rights, the social wealth and even the elementary means to (re) production of the species. / A presente Tese de doutorado objetiva refletir acerca das singularidades do imperialismo contemporâneo. Nas últimas décadas, o imperialismo como categoria de análise, perdeu centralidade nas análises marxistas da macroeconomia e geopolítica mundial, sendo substituído por categorias como globalização, mundialização, neoliberalismo e império. Não raramente, o imperialismo passou a ser concebido como uma investida militar de uma nação sobre outra ou, que representa um pensamento ainda mais simplificador, uma ação militar e econômica dos Estados Unidos. Prima facie, todos estes pressupostos parecem estar corretos, todavia o estudo das contradições imanentes ao movimento do capital e do significado do imperialismo capitalista mostra-nos o quão são insuficientes. Temos como tese que o imperialismo, não obstante às tentativas de obnubila-lo por meio de várias expressões mistificadoras, continua a se constituir em ferramenta indispensável à compreensão da totalidade contraditória do capitalismo. A exata compreensão da dinâmica imperialista contemporânea representa uma tarefa hercúlea e não talmúdica, que exige perscrutar os escritos dos primeiros críticos marxistas do fenômeno, situados na II Internacional, transitando pelas análises dos teóricos marxistas da dependência, das décadas de 1960/70, em direção às análises mais recentes. As investigações realizadas por meio da leitura de ampla bibliografia sobre o tema, de documentos institucionais e da realidade nas diferentes escalas geográficas permitiram comprovar nossa Tese que o imperialismo é, ainda, a fase vigente do capitalismo, pois as alterações registradas neste modo de produção ao longo do século XX não foram capazes de superá-lo. O imperialismo recrudesceu sua capacidade expropriadora e perdulária, através da formação de um sistema imperialista em escala mundial, que entrecruza os interesses dos diversos capitais situados em distintas formações sociais. A conhecida relação entre o centro imperialista espoliador, formado por um núcleo restrito de nações, e o volumoso conjunto de nações periféricas subjugado, já não retrata com rigor a realidade. Em que pese a continuidade das hierarquias político-econômicas entre as nações, o imperialismo não pode ser explicado simplesmente pelas mesmas. O alcance hegemônico do capital financeiro e a disseminação de sua face parasitária, o capital fictício, instou em escala mundial a interpenetração de propósitos entre as corporações sediadas em inúmeros países e os Estados. Já não se pode determinar a fronteira de um capital, pois sua racionalidade apátrida se apresenta de modo gritante, por meio das fusões, associações, joint ventures, carteis e profusão de ações e derivativos. Intensificaram-se as expropriações primárias e secundárias praticada contra os trabalhadores e as rivalidades entre as burguesias nacionais estão crescentemente imiscuídas do desejo comum de alavancar a auferição do lucro e de toda riqueza social. O que nos permitiu concluir que o imperialismo contemporâneo é mais nocivo e representa um risco não somente aos trabalhadores, mas, também, à humanidade, pois coincide com o momento em que o capital articulado em diferentes escalas subtrai virulentamente os direitos, a riqueza social e, inclusive, os meios elementares à (re)produção da espécie.

Die vorliegende kumulative Dissertationsschrift beschäftigt sich mit theoretischen Fragestellungen der Finanzwissenschaft im Bereich des Asset Pricing und im Detail der Unternehmensbewertung. Dabei wird sowohl auf Problemstellungen der akademischen und praxisnahen Forschung eingegangen. Der erste Artikel beschäftigt sich mit der Fragestellung welche Implikationen die Annahme einer arithmetischen Brownschen Bewegung auf bestimmte Aspekte der Unternehmensbewertung hat. Es folgen drei Artikel die sich auf unterschiedliche Weise mit der Zinsschrankenregelung auseinandersetzen. Die darauf folgenden zwei Artikel behandeln hauptsächlich die Modellierung von Insolvenz im Rahmen der Unternehmensbewertung bei Annahme verschiedener Finanzierungspolitiken. Der achte Artikel geht näher auf die Thematik der empirischen Bestätigung bestimmter Kapitalstrukturtheorien ein. Die Dissertation schließt mit einem Artikel zu wichtigen Parametern für die Unternehmensbewertung.:1. Thematische Einordnung und Forschungsbeitrag … 1 2. The Arithmetic Brownian Motion in Corporate Valuation … 12 3. Die Bewertung der Zinsschranke … 52 4. Zinsschranke, Unternehmensbewertung und APV-Ansatz- eine Anmerkung zum Beitrag von Förster/Stöckl/Brenken (ZfB 2009, S. 985 ff.) … 97 5. Der Einfluss der Zinsschranke auf den Unternehmenswert … 122 6. Tax Shield, Insolvenz und Zinsschranke … 147 7. Tax Shield, Insolvenzwahrscheinlichkeit und Zinsschranke - eine empirische Analyse … 207 8. Zur Überprüfung von Kapitalstrukturtheorien in einer von Krisen geplagten Zeit … 249 9. Die Kapitalmarktdaten von www.finexpert.info und der Fachverlag Gruppe … 291

Die vorliegende kumulative Dissertationsschrift beschäftigt sich mit finanzwissenschaftlichen Fragestellungen im Bereich der Unternehmensbewertung. Dabei wurden aktuelle Themen diskutiert, die in Theorie oder Praxis ungelöste Probleme darstellen. Hervorzuheben ist an dieser Stelle, dass sich die ersten drei Artikel mit dem Werteinfluss der Zinsschanke auf den Wert von fremdfinanzierungsbedingten Steuerersparnissen (Tax Shield) beschäftigen. Die drei darauf folgenden Artikel beschäftigen sich schwerpunktmäßig mit der konsistenten Modellierung von Finanzierungspolitiken und dem Werteinfluss der Insolvenzmöglichkeit von Unternehmen. Der siebte und achte Artikel haben die Kapitalstruktur und weitere wichtige Parameter für die Unternehmensbewertung zum Thema.:1. Thematische Einordnung und Forschungsbeitrag … 1 2. Die Bewertung der Zinsschranke … 14 3. Zinsschranke, Unternehmensbewertung und APV-Ansatz - eine Anmerkung zum Beitrag von Förster/Stöckl/Brenken (ZfB 2009, S. 985 ff.) … 59 4. Der Einfluss der Zinsschranke auf den Unternehmenswert … 84 5. Tax Shield, Insolvenz und Zinsschranke … 109 6. Tax Shield, Insolvenzwahrscheinlichkeit und Zinsschranke - eine empirische Analyse … 169 7. The Impact of Credit Rating and Frequent Refinancing on Firm Value … 211 8. Zur Überprüfung von Kapitalstrukturtheorien in einer von Krisen geprägten Zeit … 258 9. Die Kapitalmarktdaten von www.finexpert.info und der Fachverlag Gruppe … 300

The aim of this thesis is to create a comprehensive view of financial reporting of lease contracts from lessee's and lessor's point of view in accordance with International Financial Reporting Standards (IFRS) and US Generally Accepted Accounting Principles (US GAAP). The thesis is divided into four parts. The first part is devoted to basic characteristics of the lease and its reporting according to the currently applicable standards - IAS 17 and ASC 840. Content of the next part is Convergence of Accounting Standards. Second half of the thesis focuses on the Exposure Draft and Comment Letters.