Made available in DSpace on 2015-05-08T14:44:47Z (GMT). No. of bitstreams: 1 arquivototal.pdf: 1401888 bytes, checksum: b42ad9ebc33bc9b9e8aa504e4476c14e (MD5) Previous issue date: 2009-04-30 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / This work deepens the discussion in the Technical Analysis field, aligning it premises to the theoretical framework of Behavioral Finance. In this purpose, this paper aimed to make, for the period between the years of 2007 and 2008, an empirical study of the brazilian stock market in the light of Technical Analysis and Behavioral Finance, as well as verifying the performance of technical index as auxiliary instrument for the decision taking. This way, the work is divided in two parts. In the first part, adopting the complementarity hypothesis of behavioral-technique approach in the process of analysis and taking of decision in the stock market, is aimed to establish a relation between Technical Analysis (Dow Theory and Elliott Waves Theory) and Behavioral Finance assumptions in the interpretation of the subprime crisis in the Brazilian stock market, through a documentary research with referring information of the years 2007 and 2008, crisis development period. The results had evidenced the utility of these theories, not only for the analysis of the subprime crisis consequences, as, also, for the examination of financial market agent s behavior in a historical perspective of larger reach. In the second part, adopting the hypothesis that the technical index are capable to assist the investors in the process of decision taking, had been refined the performances of the Exponential Moving Average, Moving Average Convergence/Divergence, Relative Force Index, Stochastic and Directional System, using as base, Brazilian s stock market data referring to the year of 2007. The research results demonstrated that the Assertiveness (A) of the purchase signals is superior to the Assertiveness (A) of the sales signals the results had demonstrated as well, the uselessness of Directional System (DS) as beeper of the market s predominant trend. / Este trabalho aprofunda a discussão no campo de estudos da Análise Técnica, alinhando suas premissas ao arcabouço teórico das Finanças Comportamentais. Neste intuito buscou-se realizar, para o período compreendido entre os anos de 2007 e 2008, um estudo empírico do mercado brasileiro de ações à luz da Análise Técnica e das Finanças Comportamentais, bem como verificar o desempenho de indicadores técnicos como instrumento auxiliar para a tomada de decisão. Desta forma, o trabalho encontra-se dividido em duas partes. Na primeira parte, adotando a hipótese de complementaridade das abordagens técnica-comportamental no processo de análise e tomada de decisão no mercado de ações, busca-se estabelecer uma relação entre os pressupostos da Análise Técnica (Teoria Dow e Teoria da Ondas de Elliott) e das Finanças Comportamentais na interpretação da crise subprime no mercado de ações brasileiro, através de uma pesquisa documental com informações referentes aos anos de 2007 e 2008, período de desenvolvimento da crise. Os resultados evidenciaram a utilidade destas teorias, não só para a análise dos reflexos da crise subprime, como, também, para o exame do comportamento dos agentes do mercado financeiro numa perspectiva histórica de maior alcance. Na segunda parte, adotando a hipótese de que os indicadores técnicos são capazes de auxiliar os investidores no processo de tomada de decisão, foram apurados os desempenhos dos indicadores Média Móvel Exponencial, Convergência/Divergência da Média Móvel, Índice de Força Relativa, Estocástico e Sistema Direcional, tomando como base dados do mercado de ações brasileiro referentes ao ano de 2007. Os resultados encontrados demonstraram que a Assertividade (A) dos sinais de compra é superior à Assertividade (A) dos sinais de venda, bem como apontaram a inutilidade do Sistema Direcional (SD) enquanto sinalizador da tendência predominante do mercado.

We investigate how tax loss offset restrictions affect an investor's evaluation of risky investments under bounded rationality. We analytically identify behavioral tax effects for different levels of loss offset restrictions, tax rate and prospect theoretical biases (loss aversion, probability weighting and reference dependence) and find tax loss offset restrictions significantly bias investor perception, even more heavily than the tax rate. If loss offset restrictions are rather generous, investors are very loss averse or assign a huge weight to loss probabilities, taxation is likely to increase the preference value of risky investments (behavioral tax paradox). Surprisingly, the identified significant perception biases of tax loss offset restrictions occur under both high and low tax rates and thus are relatively insensitive to tax rate changes. Finally, we identify huge differences in behavioral tax effects across countries indicating that tax loss offset restrictions crucially determine the perceived tax quality of a country for risky investments. Our analysis is relevant for policy makers discussing future tax reforms as well as for investors assessing risky investment opportunities. / Series: WU International Taxation Research Paper Series

Reward prediction errors are quantitative signed terms that express the difference between the value of an obtained outcome and the expected value that was placed on it prior to its receipt. Positive reward prediction errors constitute reward, negative reward prediction errors constitute punishment. Reward prediction errors have been shown to be powerful drivers of reinforcement learning in formal models and there is thus a strong reason to believe they are used in the brain. Isolating such neural signals stands to help elucidate how reinforcement learning is implemented in the brain, and may ultimately shed light on individual differences, psychopathologies of reward such as addiction and depression, and the apparently non-normative behaviour under risk described by behavioural economics. In the present thesis, I used the event related potential technique to isolate and study electrophysiological components whose behaviour resembled reward prediction errors. I demonstrated that a candidate component, “feedback related negativity”, occurring 250 to 350 ms after receipt of reward or punishment, showed such behaviour. A meta-analysis of the existing literature on this component, using a novel technique of “great grand averaging”, supported this view. The component showed marked asymmetries however, being more responsive to reward than punishment and more responsive to appetitive rather than aversive outcomes. I also used novel data-driven techniques to examine activity outside the temporal interval associated with the feedback related negativity. This revealed a later component responding solely to punishments incurred in a Pavlovian learning task. It also revealed numerous salience-encoding components which were sensitive to a prediction error’s size but not its sign.

The dissertation called Economic and Psychological Aspects of a Consumer's Behaviour and Decision-Making is dedicated to a consumer's behaviour and decision-making in economic and financial issues from the perspective of classic economy, psychology and behavioural economy. The theoretical part describes the expected utility theory and psychological findings on one hand, and presents the so called Prospect Theory and systematic biases on the other hand. The practical part comprises a research. Mission of the questionnaire survey is to find out whether behaviour and decision-making are rational and correspond with the classic economy theory or whether consumers behave irrationally and verify presumptions of behavioural economy.

The topic of work "Investor's psychology on Foreign Exchange market" is to explain basic assumption for business on the Foreign Exchange markets and also methods how to profit on them. Work focus on soft factors, which are important in investor's decisions making process. These factors are typical for human's decisions, which are not always optimal from statistical and logical side, and may cause mistakes and investor's lost. The most important economic theories of client's behavior are used for conclusions. The major part of work foces on client as individual, describes his motivation, expectation, trade joining and risk adaptation. Theoretical data are participants of the research, which is based in two decision's making games. Conclutions are created from results of games and their comparison.

>Magister Scientiae - MSc / The North West Shelf of Australia is a prolific gas province. The Thebe Gas Field is situated within the northern central Exmouth Plateau in the Northern Carnarvon Basin. The Exmouth Plateau is a submerged continental block whose culmination lies at about 800m below sea level. The seismic data used for this study is the HEX07B survey which was conducted in 2007. The objective of this study was to interpret all available seismic data, of which six horizons were picked, generating two-way-time structure maps and an average velocity map, performing depth conversion and generating various depth maps. The horizons picked were the economic basement, Triassic Mungaroo, Murat Siltstone, Muderong Shale, Gearle Siltstone and the Sea Bed. The horizon of interest was the Triassic Mungaroo Formation and therefore it was the only horizon with an average velocity map. The seismic sections were used in conjunction with the structure maps generated to identify possible locations for appraisal wells to be drilled. Prospect X was identified on the basis of amplitude and structure present within the Triassic Mungaroo Formation. The final task was to calculate the volumes present and a Monte-Carlo Simulation was used for this. The results obtained showed that Prospect X has a good petroleum system in place. The Mungaroo Formation is identified as being the possible source and reservoir rock, the Muderong Shale is the seal, structural traps are provided by large fault block and faults provided the migration pathways from the source in to the reservoir. The volumes were calculated using three areas identified on the structure maps by three closing contours. These areas are the P90, P50, P10 and the volumes for the gas in place were as follows, P90 = 893 Bcf (0.9Tcf), P50 = 1128 Bcf (1.1 Tcf), P10 = 1367 Bcf (1.4Tcf). Using the various parameters the probability of success for Prospect X was calculated to be 20%.

Insurance has been considered as a useful tool for farmers to mitigate income volatility. However, there remain concerns that insurance may distort crop production decisions. Positive mathematical programming (PMP) models of farmers’ cropping decisions can be applied to study the effect of agricultural business risk management (BRM) policies on farmers’ decisions on land use and their incomes. Before being used to examine agricultural producer responses to policy changes under the expected utility framework, the models must first be calibrated to obtain the values of the risk aversion coefficient and the cost function parameters. In chapter 2, three calibration approaches are compared for disentangling the risk parameter from the parameters of the cost function. Then, in chapter 3, to investigate the impacts on production incentives of changes in Canada’s AgriStability program, farm management models are calibrated for farms with different cost structures for three different Alberta regions. Results indicate that farmers’ observed attitudes towards risk vary with cost structure. After joining the program, all farmers alter their land allocations to some extent. The introduction of a reference margin limit (RML) in the AgriStability program under Growing Forward 2 (2013-2018), which was retained in the replacement legislation until 2020, has the most negative impact on farmers with the lowest costs. The removal of RML significantly increases the benefits to low-cost farmers. Traditional insurance products provide financial support to farmers. However, for fruit farmers, the products’ quality can be greatly affected by the weather conditions during the stage of fruit development and ripening, which may lead to quality downgrade and a significant loss in revenue with little impacts on yields. Hence, chapters 4 and 5 investigate the conceptual feasibility of using weather-indexed insurance (WII) to hedge against non-catastrophic, but quality-impacting weather conditions to complement existing traditional insurance. Prospect theory is applied to analyze a farmer’s demand for WII. The theoretical model demonstrates that an increase in the volatility of total revenue and the revenue proportion from blueberries increases the possibility of farmers’ participation in WII. On the other hand, the increase in the value loss aversion coefficient and WII’s basis risk leads to less demand for WII. To design a WII product for blueberry growers to hedge against quality risk, a quality index must be constructed and the relationship between key weather conditions, such as cumulative maximum temperature and cumulative excess rainfall, and the quality index should be quantified. The results from a partial least squares structural equation modeling (PLS-SEM) show that the above goals are achievable. Further, rainfall and temperature can be modelled via a time-series model and statistical distributions, respectively, to provide reasonable estimates for calculating insurance premia. / Graduate / 2022-08-05

Cette thèse a pour objectif d’évaluer et de comparer la performance des stratégies d’assurance de portefeuille pour tenter de définir quelles stratégies doivent être privilégiées par les investisseurs. Nous comparons de nombreuses stratégies d’assurance (OBPI, CPPI, put synthétique et Stop-loss) entre elles mais également avec quelques autres stratégies de référence. Nous utilisons différents critères de comparaison qui comprennent: 1. Les distributions de pay-off, le niveau de protection, la dominance stochastique et le coût d’assurance dans différentes conditions de marché identifiées par des modèles à changements de régime markovien. 2. Les mesures de la performance ajustée au risque qui peuvent refléter les préférences des investisseurs vis-à-vis du risque et de la rentabilité. 3. Les préférences des investisseurs en intégrant la théorie cumulative des perspectives (TCP). Nos résultats semblent mettre en évidence une dominance des stratégies CPPI dans la majorité des cas et pour la majorité des critères de comparaison. / This thesis is set out with the objective of evaluating and comparing the performance of portfolio insurance strategies. We try to figure out when and why one portfolio insurance strategy should be preferred by investors in practice. To meet this objective, main portfolio insurance strategies (OBPI, CPPI, Synthetic put and Stop-loss) are compared relatively to each other and to some benchmark strategies. Portfolio insurance strategies are applied within different implementation scenarios and compared according to various criteria that include:1. The payoff functions, stochastic dominance, the level of protection and the cost of insurance under bull and bear market conditions. 2. Various risk adjusted performance measures that reflect different investors’ preferences toward risk and return. 3. The preferences of investors who act according to cumulative prospect theory (CPT). Our results reveal a dominant role of CPPI strategy at the majority of cases and according to the majority of comparison criteria.

Bakgrund: Informationssäkerhet är någonting som företag inom alla branscher bör ägna sig åt eftersom samtliga organisationer är utsatta för informationsrisker. Avsikten med informationssäkerhet är att skydda information så att den finns tillgänglig vid behov, är tillförlitlig och för att säkerställa att endast behöriga har åtkomst (Informationssäkerhet, 2015). Bristande informationshantering kan exempelvis resultera i dataförluster och läckt kunddata vilket i sin tur kan leda till försämrat kundförtroende och stora intäktsförluster. Företags utsatthet för informationsrisker påverkas både av interna och externa faktorer. Utbrottet av Covid-19 är ett exempel på en extern faktor (Humla, 2020). Enligt en rapport är svensk tillverkningsindustris hantering av informationsrisker kraftigt eftersatt i förhållande till övriga sektorers hantering av informationsrisker (Radar Ecosystems Specialists, 2017). Syfte: Denna uppsats undersöker hur ett företag inom svensk tillverkningsindustri arbetar med informationssäkerhet (eng. information security risk management, ISRM). Vidare applicerar vi en teoretisk lins i form av prospektteorin för att förklara informationssäkerhetsarbetet. Vi undersöker även om beslutfattare inom IT-säkerhet uppvisar tendens till övermod och huruvida detta kan påverka företagets arbete med informationssäkerhet. Metod: Uppsatsen är en kvalitativ fallstudie och det empiriska materialet har inhämtats genom semistrukturerade intervjuer med beslutfattare och utvecklare som arbetar medinformationssäkerhet. Fallföretaget är ett anonymiserat svenskt tillverkningsföretag som tillhandahåller produkter och tjänster inom säkerhetsbranschen. Resultat: Enligt vår studie utgår beslutfattare från tidigare erfarenheter av informationssäkerhet när hanteringsstrategier utformas. Det framkommer även att beslutfattarens resonemang och riskhantering förändras i takt med personens erfarenhet. Vi kan även konstatera att beslutfattarens agerande kan förklaras utifrån prospektteorin och att hanteringen påverkas av kognitiva aspekter såsom övermod. / Background: Every organization needs to manage its information security risks (ISRM) as all industries are exposed to information risks. The purpose of ISRM is to protect information so that it is accessible when needed, reliable and to ensure only authorized access (Informationssäkerhet, 2015). Lack of ISRM may result in data loss or personal data leaks, which in turn may lead to a decrease of consumer confidence and reduced revenue streams. Enterprises exposure to information risks are affected by both internal and external factors. The outbreak of Covid-19 is an example of an external factor (Humla, 2020). According to a report, the Swedish manufacturing industry's management of information risks is severely neglected in relation to other sectors ́ handling of information risks (Radar Ecosystems Specialists, 2017). Purpose: This thesis explores how a Swedish manufacturing company manages its information security risks. This is explored by applying a theoretical framework of Prospect Theory to explain decision makers ́ reasoning behind its current ISRM practices. We are also exploring whether decision makers within IT-security have a tendency towards Overconfidence bias and whether it may affect the company's ISRM. Method: The thesis is a qualitative case study and the empirical data has been obtained through semi structured interviews with decision-makers and developers working with information security. The case company is an anonymous Swedish manufacturing company that provides products and services in the security industry. Results: According to our thesis, decision makers rely on previous information security experiences when designing management strategies. It also appears that the decision maker's reasoning and risk management change as the person's experience. We can also note that the decision maker's behavior can be explained on the basis of Prospect Theory and that the ISRM is influenced by cognitive aspects such as overconfidence.

This thesis analyzes and evaluates the relationship between insider trading and the long-term stock performance of Initial Public Offerings (IPO) in Sweden. The study looks at firms that recently conducted an IPO and how the stock performance of the firm is impacted by insiders making transactions in their own stock. An IPO is known to generate high returns on its first day on the public stock market, but to underperform the market in the long term. The characteristics of an IPO are deviant from the rest of the stock market, and with less information available to the public compared to other firms, the IPO market is hard to navigate for investors. Transactions made by insiders in the share of their own company is usually seen as guidance in public companies. An insider purchase is usually followed by a positive stock return, and insiders selling shares have the opposite impact. The aim of this thesis is to investigate if the information provided by insider transactions can be used to create a potential trading strategy for IPOs. Through statistical analysis, a negative relationship is found between the insider trading and IPO long-term stock performance, indicating that insider buying shares are connected to lesser stock performance. This contradicts previous research regarding insider trading in seasoned firms and opens up for discussion. By implementing a theoretical framework, a deeper analysis of the proposed relationship is be made. This study concludes that the negative relationship between insider trading and long-term IPO stock performance is not directly caused by insider trading itself. Instead, it is a result of insiders making poor investment decisions due to outside pressure and behavioral factors.