acase@tulane.edu / ABSTRACT Multimarket competition theory centers in interfirm competition, specifically when a set of firms have presence and face each other as competitors in multiple different markets (Baum & Korn, 1996; Bernheim & Whinston, 1990; Gimeno, 1999; Gimeno & Woo, 1994, 1996; Haveman & Nonnemaker, 2000; Jayachandran, Gimeno, & Varadarajan, 1999). In such situation, the chances of knowing, hurting or benefiting each other increase, allowing firms to recognize their interdependence, pressing them to be cautious when deciding which competitive actions to make because the outcome of a move depends heavily on how rivals respond to it (Baum & Korn, 1996; Bernheim & Whinston, 1990; Gimeno, 1999; Haveman & Nonnemaker, 2000; Jayachandran et al., 1999). This situation pushes firms to tacitly collude and mutually forbear (Bernheim & Whinston, 1990; Edwards, 1955; Feinberg, 1985), lowering the intensity of competition understood as the level of aggressiveness and speed of the actions and counteractions firms initiate to compete in the market (Chen, 1996). According to Smith, Ferrier and Ndofor (2001), most competitive actions can be classified as pricing actions, marketing actions, new product actions, capacity and scale-related actions, service and operations actions, and signaling actions. Each one describes a set of similar moves, that are assumed to have similar implications for the intensity of rivalry (Chen, 1996). However, in the field of marketing it is widely argued that many actions across categories are naturally interconnected (Borden, 1984; Constantinides, 2006; Magrath, 1986; McCarthy, 1978), and categorization used in competitive dynamics ignores that fact. Thus, in this dissertation, I propose to categorize all product, pricing, distribution, and promotional actions as marketing actions, and group them in the marketing mix (McCarthy, 1978), which presents marketing tactics as sets of actions that can be categorized as either product, price, promotion, or place. I emphasize in this dissertation that what is broadly accepted by competitive dynamics researchers as different competitive action categories should be considered all marketing actions, and equally important, these actions should be jointly analyzed as tactical competitive moves, rather than analyzed in isolation or as independent strategic action categories. Since tactical marketing actions, those of the marketing mix, are deployed on a day-to-day basis, even under multimarket contact conditions it may seem that competitive aggressiveness and intensity of competition increase, contrary to the tenets of the theory. In this line, I am proposing to analyze the consequences of multimarket contact from a tactical marketing perspective, mainly with the aim of understanding how firms under a multimarket contact setting deploy competitive movements at the marketing mix’s tactical level without disrupting mutual forbearance. For this, I will develop some hypotheses and test them using the Colombian car industry as empirical setting. / 1 / Juan Manuel González Sánchez

Resource similarity and market commonality are receiving increased attention in the strategic management literature. In this thesis, I attempt to explore how the firm¡¦s characteristics and the resource similarity between two firms affect the tendency of firm¡¦s action. And follow this with a discussion of the necessity to put the resource similarity into consideration when we analyze the firm¡¦s action tendency from the aspect of market commonality. The thesis focuses on the competitive interaction in Taiwan domestic automobile industry between 1991 and 1996. In the concluding section, I explore the implication of each hypothesis under the empirical evidences.

京都大学 / 新制・課程博士 / 博士(経済学) / 甲第24378号 / 経博第665号 / 新制||経||303(附属図書館) / 京都大学大学院経済学研究科経済学専攻 / (主査)教授 関口 格, 教授 原 千秋, 准教授 陳 珈惠 / 学位規則第4条第1項該当 / Doctor of Economics / Kyoto University / DFAM

O objetivo desse estudo foi analisar a origem dos retornos dos fundos de investimentos multimercados brasileiros. Baseado em uma conjuntura econômica de perspectivas futuras, dado queda sistêmica da taxa de juros nos últimos anos, com reformas estruturais - na área trabalhista e previdenciária - de movimentação dos capitais alocados nos fundos de renda fixa para os fundos de investimentos multimercados foi definido o universo dos fundos multimercados brasileiros como o objeto de estudo da presente dissertação. Com base em dados iniciais que envolviam o período de janeiro de 1996 e setembro de 2018, caracterizou-se a indústria de fundos multimercados de forma ampla. Após a análise geral dos fundos e, mais especificamente, dos fundos multimercados, tomou-se como base fundos que estiveram ativos entre 01/01/2008 e 31/08/2018, com o intuito de avaliar o desempenho em um período de amplas mudanças na economia brasileira. Os ganhos desses fundos foram relacionados, através de regressão linear, com índice IBOVESPA, índice IMA-B, taxa SELIC, índice S&P 500 e taxa de cambio R$/US$, representado pela taxa PTAX do Banco Central do Brasil. Os resultados obtidos demonstram que a indústria de fundos multimercados e caracterizada por poucas gestoras no mercado, caudas longas nos patrimônios dos fundos, efeito smartmoney e alta mortalidade dos fundos. Ha indícios de relação positiva entre o patrimônio do fundo e seu desempenho. A maioria dos fundos gera taxas de retorno efetiva anual positiva, especialmente os mais antigos, porém, o ganho acima do CDI está limitado a um número menor de fundos, sem associação com a longevidade do fundo. Os principais mercados de origem dos retorno dos fundos e o acionário nacional (IBOVESPA) e o renda fixa de títulos públicos atrelados a inflação (IMA-B). Ha uma relação positiva entre o número de variáveis explicativas significativas e o desempenho dos fundos multimercados. Fundos que conseguem extrair retornos de um maior número de mercados apresentam desenho superior. Em síntese fundos que melhor analisam o mercado nacional, tanto acionário quanto o de renda fixa, tendem a superar seus pares ao gerar ganhos superiores para o investidor. / The objective of this study was to analyze the origin of the returns of Brazilian multimarket investment funds. Based on an economic outlook for the future, a systemic fall in interest rates in recent years, with structural reforms - in the labor and social security area - to move funds allocated to fixed income funds to multi-market investment funds was defined as the object of study of the present dissertation. Based on initial data that covered the period of January 1996 and September 2018, the multimarket funds industry was characterized in a broad way. After the general analysis of the funds and, more specifically, of the multimarket funds, funds were used that were active between 01/01/2008 and 08/31/2018, in order to evaluate the performance in a period of extensive changes in the Brazilian economy. The gains from these funds were related to the IBOVESPA index, the IMA-B index, the SELIC rate, the S&P 500 index and the R$/US $ exchange rate, represented by the PTAX rate of the Central Bank of Brazil. The results show that the multimarket funds industry is characterized by few managers in the market, long tails in the fund assets, smartmoney effect and high fund mortality. There is evidence of a positive relationship between the fund\'s assets and its performance. Most funds generate positive annual effective return rates, especially the older ones, however, the gain above the CDI is limited to a smaller number of funds, with no association with the longevity of the fund. The main markets for return of funds are the national stock (IBOVESPA) and the fixed income of inflation-linked government bonds (IMA-B). There is a positive relationship between the number of significant explanatory variables and the performance of multimarket funds. Funds that manage to extract returns from a greater number of markets present superior design. In summary, funds that better analyze the domestic market, both shareholder and fixed income, tend to outperform their peers by generating superior gains for the investor.

Multimarket competition has become a substantial part of the modern economy. As such, it has drawn the attention of academics in both economics and strategy fields. Many studies have found empirical evidence of mutual forbearance in several industries, but despite its importance, its behavioral roots have not been explored. In my dissertation I integrate the reality of boundedly-rational decision makers into the mutual forbearance hypothesis. I apply an outgrowth of the behavioral theory of the firm – the shifting focus model of risk taking – to the study of competitive behavior. I propose a behavioral model of multimarket competition that focuses on corporate strategic decisions - market entry and exit decisions, regardless of entry mode (e.g. acquisitions) or exit mode (e.g. divestitures). This approach provides a granular view of changes in the business scope of the firms in terms of product and geographic markets served. I test my hypotheses in the U.S. property liability insurance industry over a 12-year period (1998-2008). I argue that firms follow the mutual forbearance logic as long as their performance goals are satisfied. However, under conditions of adversity, firms shift attention to recovering from the performance shortfall and their actions deviate from the mutual forbearance predictions. This dissertation shows that underperforming firms with abundant slack take longer to forbear, and underperforming firms with limited slack start forbearing sooner, as predicted. By bridging behavioral and competitive perspectives to the study of market entry and exit decisions, I underscore the value of cross-fertilization in strategy research.

Most of investment funds has the advantage of shares liquidity. For that reason, managers of some types of funds may find it difficult to maintain the position of their portfolios and provide higher returns to their investors quota. Some evidences on edge funds suggest that quota performance is positively affected by establishing larger time intervals before investors realize the rescue of their applications, called as lockup periods. Therefore, by selecting from a sample of 165,386 observations from 2009 to 2014 formed by the monthly net returns of 4,667 hedge funds that resemble the investment strategies of hedge funds in the United States, this research aimed to analyze whether lockup periods influence Brazilian multimarket funds quotes. By using econometric models, we tested this policy imposition under three forms allied to other variables in literature such as fund age, size of fund liquid equity, management fees and performance fees on investment funds in quotas. It was possible to predict the share performance in hedge funds in the period selected for this study. Results suggest the existence of lookup award in the Brazilian scene only when this variable is estimated by a dummy or values range, which indicates that using this policy may help Brazilian multimarket fund managers to keep their investment portfolios and provide greater profitability to quotas. This fact corroborates some previous studies in USA hedge funds context. Furthermore, finding lockup award for the category of hedge funds brought implications for the Efficient Market Hypothesis (EMH), for Agency theory and also to the field of Behavior Finances. For EMH the evidences suggest the existence of market inefficiencies in Brazilian context, in the semi-strong form propagated by this theory. For Agency Theory, this study provides evidence that conflicts of interest between shareholders and hedge fund managers can be mitigated by imposing periods of lockup. To Behavior Finances the results stimulate the investigation of present bias, by demonstrating the possibility of existing investors considered as sophisticated in this category of investment funds. Concerning to control variables we found the influence on the share profitability in hedge funds for characteristics related to fund age, fund size of the equity and management fees. This study shows that lockup periods can contribute in obtaining better indicators of profitability in the financial market. / A maioria dos fundos de investimento apresenta como vantagem a liquidez das cotas. Por essa razão, gestores de algumas modalidades de fundos podem encontrar dificuldades em manter a posição de suas carteiras e proporcionar maior rentabilidade às cotas de seus investidores. Evidências no âmbito dos hedge funds sugerem que o desempenho das cotas é afetado de forma positiva pelo estabelecimento de um maior intervalo de tempo para que os investidores realizem o resgate de suas aplicações, denominado como períodos de lockup. Nessa linha, por meio da seleção de uma amostra de 165.386 observações no período de 2009 a 2014, formada pela rentabilidade líquida mensal de 4.667 fundos multimercados, que se assemelham às estratégias de investimento dos hedge funds nos Estados Unidos, o objetivo desta pesquisa consistiu em analisar se períodos de lockup influenciam a rentabilidade das cotas de fundos multimercados brasileiros. Com o auxílio de modelos econométricos, testou-se a imposição dessa política, estimada sob três formas distintas, aliada a outras variáveis previstas na literatura, tais como idade do fundo, tamanho do patrimônio líquido do fundo, taxa de administração, taxa de performance e fundos de investimento em cotas. Foi possível predizer o desempenho das cotas de fundos multimercados no período selecionado para esta pesquisa. Os resultados obtidos sugerem a existência do prêmio de lockup no cenário brasileiro, somente quando essa variável é estimada por meio de uma dummy ou em faixas de valores, indicando que a utilização dessa política pode auxiliar os gestores de fundos multimercados brasileiros a manterem suas carteiras de investimento e proporcionar maior rentabilidade às cotas, fato que corrobora alguns estudos anteriores no contexto dos hedge funds nos Estados Unidos. Ademais, a constatação do prêmio de lockup para a categoria de fundos multimercados trouxe implicações para a Teoria de Hipótese de Mercado Eficiente (HME), Teoria de Agência e ainda, para o campo das Finanças Comportamentais. Para a HME, as evidências sugerem a existência de ineficiências de mercado no âmbito brasileiro, na forma semiforte propagada por essa teoria. Para a Teoria de Agência, esta pesquisa forneceu indícios de que os conflitos de interesses entre cotistas e gestores de fundos multimercados podem ser mitigados mediante a imposição de períodos de lockup. Já para o campo das Finanças Comportamentais, os resultados encontrados estimulam a investigação do viés do presente, ao demonstrar a possibilidade de existirem investidores tidos como sofisticados nessa categoria de fundos de investimento. Com relação às variáveis de controle empregadas, constatou-se influência sobre a rentabilidade das cotas de fundos multimercados para as características relacionadas à idade do fundo, tamanho do patrimônio líquido do fundo e taxa de administração. Este estudo evidencia que a imposição de períodos de lockup pode contribuir para a obtenção de melhores indicadores de rentabilidade no mercado financeiro. / Mestre em Ciências Contábeis

Multimarket competition has become a substantial part of the modern economy. As such, it has drawn the attention of academics in both economics and strategy fields. Many studies have found empirical evidence of mutual forbearance in several industries, but despite its importance, its behavioral roots have not been explored. In my dissertation I integrate the reality of boundedly-rational decision makers into the mutual forbearance hypothesis. I apply an outgrowth of the behavioral theory of the firm – the shifting focus model of risk taking – to the study of competitive behavior. I propose a behavioral model of multimarket competition that focuses on corporate strategic decisions - market entry and exit decisions, regardless of entry mode (e.g. acquisitions) or exit mode (e.g. divestitures). This approach provides a granular view of changes in the business scope of the firms in terms of product and geographic markets served. I test my hypotheses in the U.S. property liability insurance industry over a 12-year period (1998-2008). I argue that firms follow the mutual forbearance logic as long as their performance goals are satisfied. However, under conditions of adversity, firms shift attention to recovering from the performance shortfall and their actions deviate from the mutual forbearance predictions. This dissertation shows that underperforming firms with abundant slack take longer to forbear, and underperforming firms with limited slack start forbearing sooner, as predicted. By bridging behavioral and competitive perspectives to the study of market entry and exit decisions, I underscore the value of cross-fertilization in strategy research.

This thesis provides a study on stochastic models of financial markets related to problems of asset pricing and hedging, optimal portfolio managing and statistical changepoint detection in trends of asset prices. Chapter 1 develops a general model of a system of interconnected stochastic markets associated with a directed acyclic graph. The main result of the chapter provides sufficient conditions of hedgeability of contracts in the model. These conditions are expressed in terms of consistent price systems, which generalise the notion of equivalent martingale measures. Using the general results obtained, a particular model of an asset market with transaction costs and portfolio constraints is studied. In the second chapter the problem of multi-period utility maximisation in the general market model is considered. The aim of the chapter is to establish the existence of systems of supporting prices, which play the role of Lagrange multipliers and allow to decompose a multi-period constrained utility maximisation problem into a family of single-period and unconstrained problems. Their existence is proved under conditions similar to those of Chapter 1.The last chapter is devoted to applications of statistical sequential methods for detecting trend changes in asset prices. A model where prices are driven by a geometric Gaussian random walk with changing mean and variance is proposed, and the problem of choosing the optimal moment of time to sell an asset is studied. The main theorem of the chapter describes the structure of the optimal selling moments in terms of the Shiryaev–Roberts statistic and the posterior probability process.

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Submitted by Elba Lopes (elba.lopes@fecap.br) on 2017-12-19T23:43:16Z No. of bitstreams: 2 Estev??o Garcia de Oliveira Alexandre.pdf: 334978 bytes, checksum: 69b02b620b3b65622dfb7a5492fa4e21 (MD5) license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) / Made available in DSpace on 2017-12-19T23:43:16Z (GMT). No. of bitstreams: 2 Estev??o Garcia de Oliveira Alexandre.pdf: 334978 bytes, checksum: 69b02b620b3b65622dfb7a5492fa4e21 (MD5) license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) Previous issue date: 2017-02-20 / This study analyzes the Brazilian Multimarket Investment Funds and aims to establish a relationship between characteristics of these funds and their respective financial returns. The variables discussed here are: the number of shareholders, the funds equity, time of existence (age), their administration and the performance fees. Through a sample of 216, we identified multimarket investment funds and the returns presented in the last 10 years. Thus, we performed regression tests (MQO and robust) based on two distinct models, one comprising the five variables studied and a second with analysis of these variables from four different groups. Statistical evidence was found to establish a relationship between fund equity and profitability, age and profitability in the model 1. In the model 2, only the construct fund assets presented some explanation for the four working groups, while the fund age variable had some explanatory power in two of the four working groups. The results are convergent with those obtained by Malaquias and Eid (2014) and Laes and Silva (2014), and the study of these characteristics helps to better understand the market of Multi-Market Investment Funds in Brazil. / Esta pesquisa analisa os Fundos de Investimento Multimercados brasileiros e tem o objetivo de estabelecer rela????es entre caracter??sticas desses fundos e seus respectivos retornos. As vari??veis aqui discutidas s??o: a quantidade de cotistas, o patrim??nio l??quido dos fundos, tempo de exist??ncia (idade), sua taxa de administra????o e a taxa de performance. Utilizando uma amostra de 216 fundos de investimento multimercados, identificaram-se os retornos apresentados nos ??ltimos 10 anos. Para tal, foram realizados testes de regress??o (MQO e robusta), com base em dois modelos distintos, o primeiro compreendendo as cinco vari??veis estudadas e o segundo com as mesmas, mas que foram analisadas em quatro diferentes grupos. Pelo modelo 1, foram encontradas evid??ncias estat??sticas para estabelecer rela????o entre patrim??nio do fundo e rentabilidade, idade e rentabilidade. Pelo modelo 2, apenas o patrim??nio dos fundos apresentou algum poder de explica????o para os quatro grupos de trabalho, enquanto a vari??vel idade do fundo apresentou algum poder de explica????o em dois dos quatro grupos de trabalho. Estes resultados est??o convergentes com aqueles obtidos por Malaquias e Eid (2014) e Laes e Silva (2014). O estudo destas caracter??sticas ajuda a compreender melhor o mercado de Fundos de Investimentos Multimercados no Brasil.