Made available in DSpace on 2010-04-20T20:48:01Z (GMT). No. of bitstreams: 3 71050100718.pdf.jpg: 12656 bytes, checksum: 70340ae65c49c6fee3a991247dc4ef5b (MD5) 71050100718.pdf.txt: 321921 bytes, checksum: 2a3fd8e10dce647d19b0906c936496e2 (MD5) 71050100718.pdf: 1109092 bytes, checksum: fd5777ca389880dab6d98b5c7c624391 (MD5) Previous issue date: 2008-02-20T00:00:00Z / The main objective of this thesis is to test the hypothesis that utility preferences that incorporate asymmetric reactions between gains and losses generate better results, when applied to the Brazilian market, than the classic Von Neumann-Morgenstern expected utility function. The asymmetric behavior can be computed through the introduction of a disappointment (or loss) aversion coefficient in the classical expected utility function, which increases the impact of losses against gains. This kind of adjustment is supported by recent developments in financial theory, specially those studies that try to solve the violations of the expected utility axioms. The analysis of the implications of such adjustment is made through the comparison of the results regarding the participation of the risky asset (stock market) in the composition of the optimum portfolio (the one that maximizes utility) generated by both types of preferences: expected utility and loss aversion utility functions. The results are then compared with real data from two types of Brazilian investors (pension funds and households) aiming at verifying the capacity of each utility function to replicate real investment data from these investors. The results of the tests show that it is not possible to reject the expected utility function as an adequate representative model for the aggregate behavior of Brazilian pension funds. However, the simulations indicate that this type of function should be rejected as an adequate model to replicate real investment decisions of Brazilian individual investors (households). The behavior of this type of investors can be better replicated by applying a loss aversion utility function. / O principal objetivo deste trabalho é analisar se o uso de preferências que incorporem assimetria na reação do investidor frente a ganhos e perdas permite gerar resultados mais coerentes com o comportamento real de investidores brasileiros na seleção de portfólios ótimos de investimento. Uma das formas de tratar o comportamento assimétrico se dá através da introdução do coeficiente de aversão a perdas (ou ao desapontamento) na função utilidade tradicional, coeficiente este que aumenta o impacto das perdas frente aos ganhos. A aplicação deste ajuste na função utilidade tradicional decorre de recentes avanços na teoria de finanças, mais especificamente daqueles estudos que buscam solucionar as violações dos axiomas da teoria da utilidade esperada, violações estas já demonstradas empiricamente através de testes de laboratório. A análise das implicações do uso deste tipo de função é feita através da comparação dos resultados quanto à participação do ativo com risco (mercado acionário) na composição do portfólio ótimo (aquele que maximiza a utilidade) do investidor gerados por dois tipos de função utilidade: tradicional e com aversão a perdas. Os resultados são comparados com dados reais de participação do mercado acionário nos investimentos totais de dois tipos de investidores brasileiros - fundos de pensão e investidores individuais - visando verificar a adequação dos resultados de cada função em relação ao comportamento destes investidores. Os resultados mostram que não é possível rejeitar a função utilidade tradicional como modelo representativo do comportamento agregado dos fundos de pensão. Por outro lado, as simulações indicam que a função utilidade tradicional deve ser rejeitada como modelo representativo do comportamento dos investidores individuais, sendo o comportamento destes investidores melhor representado por uma função que incorpora aversão a perdas.

Submitted by Mila Pires (mila.pires@itau-unibanco.com.br) on 2013-02-20T18:57:30Z No. of bitstreams: 1 Versão_escrita_base_dados_estudos_anteriores_v12.pdf: 455595 bytes, checksum: f92da58e5624182947033d01042c45bf (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2013-02-20T19:07:35Z (GMT) No. of bitstreams: 1 Versão_escrita_base_dados_estudos_anteriores_v12.pdf: 455595 bytes, checksum: f92da58e5624182947033d01042c45bf (MD5) / Made available in DSpace on 2013-02-20T19:10:08Z (GMT). No. of bitstreams: 1 Versão_escrita_base_dados_estudos_anteriores_v12.pdf: 455595 bytes, checksum: f92da58e5624182947033d01042c45bf (MD5) Previous issue date: 2013-02-04 / O objetivo deste trabalho foi testar a presença de dois efeitos no mercado acionário brasileiro: disponibilidade e momento, amplamente estudados para o mercado norte-americano em publicações anteriores. Utilizando uma amostra de 70 empresas foram analisadas séries temporais de retornos mensais do período de ago/2006 a jan/2011, cujos resultados não foram suficientes para rejeitar a hipótese de não eficiência do mercado brasileiro. No teste do efeito disponibilidade, apenas uma das quatro estratégias testadas com a utilização do indicador de retorno do mês anterior da ação gerou retornos positivos (2,27% ao mês), e os indicadores de volume anormal e 'presença na mídia' geraram retornos negativos nas estratégias testadas. No caso do efeito momento, das 16 estratégias estudadas, a única que proporcionou retorno positivo estatisticamente significativo foi a que considerou o período de três meses de formação e manutenção das carteiras (2,01% ao mês). / The objective of this study was to test the presence of two effects in the Brazilian stock market: availability and momentum, widely studied for the American market in previous publications. Using a sample of 70 companies a time series of data returns from Aug/2006 to Jan/2011 was analyzed and the results were not sufficient to reject the hypothesis of an efficient market. In the availability effect test, only one of the four strategies tested using the return of the preceding month indicator had a positive return (2,27% p.m), whilst abnormal volume and "media presence" indicators generated negative returns. In the momentum effect test, out of the 16 studied strategies, the only statistically significant positive return was with portfolio considering three months for the formation and maintenance periods (2,01% p.m).

Corporate social responsibility (CSR) and sustainability are concepts that have become increasingly more relevant, where it is no longer accepted by society that companies only prioritize the interests of shareholders without also looking to the interests of society. This has led to large companies being obligated to make sustainability reports in order to report their impact on society. This does not apply to small and medium-sized enterprises (SME) and therefore we have chosen to investigate how SMEs that have a clear sustainability profile are affected by sustainability in their decision-making. There has been some research on why one chooses to be more sustainable as an SME, but there has been little research on how this affects the SMEs who work with sustainability in their day-to-day business decisions when they have more than the shareholders to answer to. To investigate this phenomenon, we have done five case studies where we have interviewed five people who are involved in the decision-making in different SMEs. The purpose is to understand how small and medium-sized enterprises that have a clear sustainability profile work with sustainability and how that in turn affects their decision-making. To descriptively describe how decisions are made in relation to sustainability we have used several theories to capture the overall multifaceted reality that these SMEs are faced with in their decision-making. This in turn has made it possible for us to describe this reality by understanding to what extent the companies work with sustainability, how that in turn affects the reference points the companies have and how the interpretation of risk becomes a determining factor in how a SME makes its decisions.  What we have seen is that decisions are governed by aspects such as the extent to which sustainability permeates the company which in turn affects the reference point that is chosen when weighing the utility of different decisions. We have also seen how companies interpret risk affects to what extent they choose to compromise in their sustainability work. Industry aspects have also been an affecting factor as some companies are more dependent on other stakeholders for their operations which creates a complicated balance between how you weigh the financial against the sustainable. / Corporate social responsibility (CSR) och hållbarhet är något som har blivit alltmer relevant, där det inte längre accepteras av samhället att företag bara prioriterar aktieägarnas intressen utan att man också ser till samhällets intressen. Detta har lett till att stora företag har blivit tvungna att göra hållbarhetsrapporteringar för att redovisa deras påverkan på samhället. Detta gäller inte små och medelstora företag (SME) och därför har vi valt att undersöka hur SME som har en tydlig hållbarhetsprofil påverkas i sitt beslutsfattande när det kommer till hållbarhet. Det har forskats en del om varför man väljer att vara mer hållbar som SME men det har forskats lite kring hur detta påverkar SMEs med en hållbarhetsprofil i sina dagliga beslut när man har fler intressenter att svar till. För att undersöka detta fenomen har vi gjort fem fallstudier där vi har intervjuat fem personer i en beslutsfattande position i olika SMEs. Syftet är att förstå hur små och medelstora företag som har en tydlig hållbarhetsprofil arbetar med hållbarhet och hur det påverkar deras affärsbeslut. För att deskriptivt beskriva hur beslut tas gentemot hållbarhet har vi nyttjat flera teorier för att på en övergripande nivå fånga den multifacetterade verklighet som dessa SME ställs inför i sina beslut. Detta har gjort att vi har kunnat beskriva denna verklighet genom att förstå i vilken utsträckning man arbetar med hållbarhet, hur det i sin tur påverkar de utgångspunkter man har och hur tolkningen av risk blir avgörande för hur dess SME tar sina beslut. Det vi har sett är att beslut styrs av aspekter som i vilken utsträckning hållbarhet genomsyrar företaget vilket i sin tur påverkar mot vilken referenspunkt företaget värderar sina beslut. Detta påverkar i sin tur hur man upplever nyttan av olika beslut. Vi har också sett att hur man tolkar risk leder till i vilken utsträckning man är villig att kompromissa i sitt hållbarhetsarbete. Branschaspekter har också haft en påverkan då vissa företag är mer beroende av andra intressenter för sin verksamhet vilket skapar en mer komplicerad balansgång mellan hur man väger det finansiella mot det hållbara.

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En granskning har avslöjat att många svenska ungdomar lockas med att köpa dyra utbildningar för att lära sig handel med riskfyllda finansiella instrument. Med argument att slippa traditionella heltidsarbeten samt drömmen om ekonomisk frihet väljer allt fler ungdomar att tillträda börsen och handla med finansiella instrument. Antalet svenska aktieinvesterare har de senaste fem åren ökat från 2,1 till 2,7 miljoner där största faktorn är att unga hittat till börsen. Hoppet om god avkastning är anledningen till att personer väljer att placera tillgångar i värdepapper i stället för att spara på sparkontot. Sammantaget i takt med att investeringsalternativen blivit allt fler bör det finnas en ökad ofrivillig riskbenägenhet hos unga investerare. Då risktagande är en av de mest centrala delarna vid investering av finansiella instrument kan en monetär förlust avskräcka en ung investerare från börsen om inte risk tas med i beaktningen. Syftet med studien är därmed att undersöka unga människors attityd till risktagande gällande investeringar på börsen. Vidare undersöks unga investerares syn på risk för att bilda en förståelse kring varför allt fler unga agerar som de gör på börsen. Denna studies syfte besvaras med hjälp av en kvantitativ forskningsmetod och med utgångspunkt i portföljteorin, prospektteorin, beslutsteorin och det kulturella riskperspektivet. Studien har gjorts i syfte att bidra med kunskap och förståelse kring unga människors investeringsstrategi för att kunna öka riskmedvetenheten bland unga investerare. Datamaterialet har inhämtats via en enkätundersökning som belyser hur de 611 respondenter ser på risk. Studiens resultat påvisar att det finns högmod bland unga investerare vilket betyder att de underskattar sitt risktagande eller rentav inte förstår vilken risk de utsätter sig för. Studien bekräftar att lockelsen av att tjäna snabba pengar genom handel med riskfyllda finansiella instrument kan komma att ta över den unga investerares rationella och välgrundade investeringsbeslut. / An investigation has revealed that many Swedish young people are lured into buying expensive training courses to learn how to trade risky financial instruments. With the argument of avoiding traditional full-time jobs and the dream of financial freedom, more young people choose to join the stock exchange and trade in financial instruments. In the last five years, the number of Swedish investors has increased from 2.1 to 2.7 million, where the biggest factor is that young people have found the stock market. The hope of a good return is the reason why people choose to invest assets in financial instruments instead of holding it at a savings account. Overall, as the investment alternatives have become more abundant, there should be an increased involuntary risk propensity among young investors. As risk taking is one of the most central parts of investing in financial instruments, a monetary loss can discourage a young investor from the stock market if risk is not taken into consideration. The purpose of the study is thus to examine young people's attitude to risk-taking regarding investments on the stock market. Furthermore, young investors' view of risk is examined to form an understanding of why more and more young people act as they do on the stock market. The purpose of this study is answered using a quantitative research method and based on portfolio theory, prospect theory, decision theory and the cultural risk perspective. The study has been done with the aim of contributing knowledge and understanding about young people's investment strategy in order to increase risk awareness among young investors. The data has been collected through a survey that highlights how the 611 respondents view risk. The results of the study show that there is arrogance among young investors, which means that they underestimate their risk-taking or even do not understand the risk they are exposing themselves to. The study confirms that the lure of making quick money by trading in risky financial instruments can overtake the young investor's rational and informed investment decisions.

<p>Facing increasingly sophisticated attacks from external adversaries, interdependent systems owners have to judiciously allocate their (often limited) security budget in order to reduce their cyber risks. However, when modeling human decision-making, behavioral economics has shown that humans consistently deviate from classical models of decision-making. Most notably, prospect theory, for which Kahneman won the 2002 Nobel memorial prize in economics, argues that humans perceive gains, losses and probabilities in a skewed manner. While there is a rich literature on prospect theory in economics and psychology, most of the existing work studying the security of interdependent systems does not take into account the aforementioned biases.</p> <p><br></p> <p>In this thesis, we propose novel mathematical behavioral security game models for the study of human decision-making in interdependent systems modeled by directed attack graphs. We show that behavioral biases lead to suboptimal resource allocation patterns. We also analyze the outcomes of protecting multiple isolated assets with heterogeneous valuations via decision- and game-theoretic frameworks, including simultaneous and sequential games. We show that behavioral defenders over-invest in higher-valued assets compared to rational defenders. We then propose different learning-based techniques and adapt two different tax-based mechanisms for guiding behavioral decision-makers towards optimal security investment decisions. In particular, we show the outcomes of such learning and mechanisms on four realistic interdependent systems. In total, our research establishes rigorous frameworks to analyze the security of both large-scale interdependent systems and heterogeneous isolated assets managed by human decision makers, and provides new and important insights into security vulnerabilities that arise in such settings.  </p>

This paper investigates the investor trading behavior and the relationship between investor sentiment and stock returns. First we explore whether individual investors behave as the Disposition Effect stated — hold their losers too long while realize their winners too soon. Second, we apply four sentiment indicators — number of recommended stocks, margin purchase value, net fund redemption and odd-lot trade value — to examine relationship between investor sentiment and stock returns. We would like to see if past returns have anything to do with current sentiment, and if sentiment provides predictive power to future returns. First of all, from our analysis to over eight hundreds cash accounts trading records in two research periods, January to March and September to December in 2000, we found the Disposition Effect holds in average but not statistically. Second, the number of recommended stocks, weighted number of recommended stocks, margin purchase value, change in margin purchase value, net fund redemption and odd-lot trade value as proxies of investor sentiment are good at measuring the effect of past 4-week and 26-week returns on sentiment. Third, the margin purchase value, net fund redemption and odd-lot trade value provide predictive power to future 26-week returns in our study, which also implies there is likely underlying mean-reversion within half year during the research period. 　Finally, exploiting the change in margin purchase value as proxy of investor sentiment, we found the past 4-week returns volatility is inversely related with the indicator. That is, investors are scared on facing with high returns volatility.

Le Niger est un pays enclavé d’Afrique de l’Ouest. Son positionnement à la périphérie des pôles essentiels de la sous région explique en partie son retard de développement. A cela, s’ajoute, un nouveau retard, qualifié de fracture numérique. Son parc d’infrastructures vétuste ne lui permet pas de profiter des flux mondiaux d’information pour bénéficier des avantages de la compétitivité de la nouvelle société de l’information. Sous l’impulsion de récents débats internationaux sur les nouvelles technologies, il apparaît que le développement économique du Niger nécessiterait une appropriation des TIC par la population. Dès lors, ces nouvelles technologies de l’information sont à l’épicentre des questions de développement qui se posent au Niger. Cette recherche s’est donnée le but d’analyser le système actuel des TIC au Niger et sa capacité à enclencher le développement économique dans un contexte de mondialisation des économies fondé sur l’information et la connaissance grâce à l’usage des TIC. Elle examine en premier lieu, le potentiel des ressources techniques, humaines et des plans et politiques gouvernementaux en matière des TIC, à l’échelle territoriale. A la suite de cette analyse et des questionnements qu’elle pose, des théories économiques ont émergé : l’économie de l’information et ses dérivées. En second lieu, cette étude explore, décrit, explique, interprète et illustre ces théories dans un contexte d’accès aux TIC. Les exemples illustratifs montrent que les TIC corrigent certaines de ces prédictions. Elles améliorent le capital humain, affinent les anticipations des agents et réduisent le risque des décisions économiques. C’est en cela que les TIC peuvent être considérées comme un facteur de développement économique au Niger. Dans cette révolution des NTIC, les économies n’ont nécessairement pas besoin de passer par l’étape de l’industrialisation comme à l’ancienne. L’exemple de la Chine et des dragons asiatiques le témoigne. / Niger is a landlocked country in West Africa. Its position on the outskirts of essential poles in the under-region partly explains its delayed development. To this is added, a further delay, called digital divide. Its fleet of obsolete infrastructure does not allow it to take full advantage of global flows of information to take advantage of the competitiveness of the new information society. Spurred on by recent international discussions on new technologies, it appears that the economic development of Niger would require an appropriation of ICTs by the population. Therefore, these new information technologies are at the epicenter of development issues facing the Niger. This research was given the objective to analyze the current system of ICT in Niger and its ability to set off economic development in a context of globalization of economies based on information, knowledge and expertise, by using ICTs. Following this analysis and the questions it poses, some economic theories have emerged, the information economy and its derivatives. In the second time, this study explores, describes, explains, interprets and illustrates these theories in the context of ICTs access. Illustrative examples show that ICT correct some of these predictions. ICT improves human capital, refine agents' anticipations and reduce the risk of economic decisions. That’s why, ICTs can be considered as an economic development factor in Niger. In this revolution of new technologies, the economies have not necessarily need to go through the stage of industrialization as the old theories. The example of China and the Asian dragons shows that.

Made available in DSpace on 2010-04-20T21:00:18Z (GMT). No. of bitstreams: 3 martincasalsturma2003.pdf.jpg: 11517 bytes, checksum: 930c75c74ff8269d877983110854646d (MD5) martincasalsturma2003.pdf: 975293 bytes, checksum: f41cfd3a5f3e659d07e2861acf4e23d4 (MD5) martincasalsturma2003.pdf.txt: 107784 bytes, checksum: e96ad0fb809a12f13ba7d3f08e24c1ee (MD5) Previous issue date: 2006-02-15T00:00:00Z / O objetivo deste trabalho é analisar a alocação de investimentos no mercado acionário brasileiro, utilizando a teoria do prospecto de Tversky e Kahneman (1979) e o conceito de Aversão a Perdas Míope (Myopic Loss Aversion) proposto por Benartzi e Thaler (1995). Foram levantados através de experimento de laboratório os parâmetros da função de valor e da função de ponderação de probabilidades da teoria do prospecto e foi verificada a alocação de investimentos entre ações e renda fixa que maximizam a utilidade. Chegamos à conclusão que o total de recursos atualmente direcionados ao mercado de ações no Brasil, que é de aproximadamente 2,7% para pessoas físicas e de 6,0% para pessoas jurídicas, é compatível com a teoria do prospecto. / The objective of this study is to analyze the investment allocation in the Brazilian stock market, using Tversky and Kahneman’s prospect theory (1979) and the concept of myopic loss aversion proposed by Benartzi and Thaler (1995). We run a laboratory experiment to obtain the parameters of the value function and the probability weighting function of the prospect theory and identify the allocation that maximizes utility in the Brazilian Market We conclude that the actual allocation of investment in the stock market, of around 2.7% for individuals and around 6% for all the segments, is in accordance with the prospect theory.