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Saggi sull'economia dei mercati finanziari / Essays on the Economics of Financial MarketsLEPORI, GABRIELE MARIO 21 February 2007 (has links)
I primi due capitoli di questa tesi mirano a determinare se il processo decisionale e le scelte di investimento degli individui possono essere influenzati da variabili psicologiche che non hanno alcuna valenza puramente economica. L'analisi empirica, condotta utilizzando dati relativi ai mercati italiano e statunitense, fornisce dei risultati che sono coerenti con l'ipotesi secondo cui esistono svariati fattori psicologici che giocano un ruolo nel processo mentale che produce le scelte di portafoglio degli agenti economici. Il terzo capitolo affronta la teoria della segmentazione di mercato, secondo cui la curva dei rendimenti è articolata in diversi segmenti temporali che sono a tutti gli effetti separati in termini di allocazione degli investimenti da parte degli operatori. / The first two chapters of this dissertation investigate whether some economically-neutral but psychologically-relevant factors can affect investors' decision-making and, in turn, their investment choices. The empirical analysis, conducted on Italian and US stock market data, provides some evidence consistent with the view that several psychological elements indeed play a role in the mental process that generates people's portfolio allocation choices. The third chapter consists in an examination of the market segmentation hypothesis, according to which government bonds with different maturities are not perceived to any extent as substitutes by investors, the consequence being that the yield curve in fact contains different maturity segments that are totally separated from one another.
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The effects of economic variables in the UK stock marketLeone, Vitor January 2006 (has links)
This thesis examines the links between economic time-series innovations and statistical risk factors in the UK stock market using principal components analysis (PCA) and the general-to-specific (Gets) approach to econometric modelling. A multi-factor risk structure for the UK stock market is assumed, and it is found that the use of economic 'news' (innovations), PCA, the Gets approach, and different stock grouping criteria helps to explain the relationships between stock returns and economic variables. The Kalman Filter appears to be more appropriate than first-differencing or ARIMA modelling as a technique for estimating innovations when applying the Gets approach. Different combinations of economic variables appear to underpin the risk structure of stock returns for different sub-samples. Indications of a possible influence of firm size are found in principal components when different stock sorting criteria are used, but more definite conclusions require simultaneous sorting by market value and beta. Overall it appears that the major factor affecting the identification of specific explanatory economic variables across different sub-samples is the general economic context of investment. The influence of firm size on stock returns seems in particular to be highly sensitive to the wider economic context. There is an apparent instability in the economic underpinnings of the risk structure of stock returns (as measured by principal components) that might also be a result of changing economic conditions.
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The determinants of UK Equity Risk PremiumChandorkar, Pankaj Avinash January 2016 (has links)
Equity Risk Premium (ERP) is the cornerstone in Financial Economics. It is a basic requirement in stock valuation, evaluation of portfolio performance and asset allocation. For the last decades, several studies have attempted to investigate the relationship between macroeconomic drivers of ERP. In this work, I empirically investigate the macroeconomic determinants of UK ERP. For this I parsimoniously cover a large body of literature stemming from ERP puzzle. I motivate the empirical investigation based on three mutually exclusive theoretical lenses. The thesis is organised in the journal paper format. In the first paper I review the literature on ERP over the past twenty-eight years. In particular, the aim of the paper is three fold. First, to review the methods and techniques, proposed by the literature to estimate ERP. Second, to review the literature that attempts to resolve the ERP puzzle, first coined by Mehra and Prescott (1985), by exploring five different types of modifications to the standard utility framework. And third, to review the literature that investigates and develops relationship between ERP and various macroeconomic and market factors in domestic and international context. I find that ERP puzzle is still a puzzle, within the universe of standard power utility framework and Consumption Capital Asset Pricing Model, a conclusion which is in line with Kocherlakota (1996) and Mehra (2003). In the second paper, I investigate the impact of structural monetary policy shocks on ex-post ERP. More specifically, the aim of this paper is to investigate the whether the response of UK ERP is different to the structural monetary policy shocks, before and after the implementation of Quantitative Easing in the UK. I find that monetary policy shocks negatively affect the ERP at aggregate level. However, at the sectoral level, the magnitude of the response is heterogeneous. Further, monetary policy shocks have a significant negative (positive) impact on the ERP before (after) the implementation of Quantitative Easing (QE). The empirical evidence provided in the paper sheds light on the equity market’s asymmetric response to the Bank of England’s monetary policy before and after the monetary stimulus. In the third paper I examine the impact of aggregate and disaggregate consumption shocks on the ex-post ERP of various FTSE indices and the 25 Fama-French style value-weighted portfolios, constructed on the basis of size and book-to-market characteristics. I extract consumption shocks using Structural Vector Autoregression (SVAR) and investigate its time-series and cross-sectional implications for ERP in the UK. These structural consumption shocks represent deviation of agent’s actual consumption path from its theoretically expected path. Aggregate consumption shocks seem to explain significant time variation in the ERP. At disaggregated level, when the actual consumption is less than expected, the ERP rises. Durable and Semi-durable consumption shocks have a greater impact on the ERP than non-durable consumption shocks. In the fourth and final paper I investigate the impact of short and long term market implied volatility on the UK ERP. I also examine the pricing implications of innovations to short and long term implied market volatility in the cross-section of stocks returns. I find that both the short and the long term implied volatility have significant negative impact on the aggregate ERP, while at sectoral level the impact is heterogeneous. I find both short and long term volatility is priced negatively indicating that (i) investors care both short and long term market implied volatility (ii) investors are ready to pay for insurance against these risks.
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Inflação e retornos acionáriosChaves, Carlos Roberto Simões 19 May 2017 (has links)
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Previous issue date: 2017-05-19 / This paper examines the impact of expected inflation on stock returns and earnings per share projections for the next 12 months. We used the Ibovespa's weekly real returns and FOCUS survey for IPCA and Industrial Production growth. A one-percentage point increase in projected inflation over the next 12 months is associated with a decline of 0.56 percentage points in the weekly Ibovespa real change to a significance level of 1%. No statistically significant relationships were found between the expected inflation and the projections for Ibovespa's profits. It was verified that the Ibovespa's weekly returns also react negatively to the 5-year CDS oscillations and the VIX index. / Este trabalho examina o impacto da inflação esperada sobre os retornos das ações e as projeções de lucros por ação para os próximos 12 meses. Utilizamos os retornos reais semanais do Ibovespa e as expectativas da pesquisa FOCUS para o IPCA e crescimento da Produção Industrial. Um aumento de 1 ponto percentual na inflação projetada paras os próximos 12 meses está associado a um declínio de 0.56 pontos percentuais na variação real semanal do Ibovespa para um nível de significância de 1%. Não foram encontradas relações estatisticamente significativas entre a inflação esperada e as projeções para os lucros das empresas do Ibovespa. Verificou-se que os retornos semanais do Ibovespa também reagem negativamente às oscilações do CDS de 5 anos e o índice VIX.
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Essays in Finance and Macroeconomics: Household Financial Obligations and the Equity PremiumJanuary 2017 (has links)
abstract: This dissertation is a collection of three essays relating household financial obligations to asset prices. Financial obligations include both debt payments and other financial commitments.
In the first essay, I investigate how household financial obligations affect the equity premium. I modify the standard Mehra-Prescott (1985) consumption-based asset pricing model to resolve the equity risk premium puzzle. I focus on two channels: the preference channel and the borrowing constraints channel. Under reasonable parameterizations, my model generates equity risk premiums similar in magnitudes to those observed in U.S. data. Furthermore, I show that relaxing the borrowing constraint shrinks the equity risk premium.
In the Second essay, I test the predictability of excess market returns using the household financial obligations ratio. I show that deviations in the household financial obligations ratio from its long-run mean is a better forecaster of future market returns than alternative prediction variables. The results remain significant using either quarterly or annual data and are robust to out-of-sample tests.
In the third essay, I investigate whether the risk associated with household financial obligations is an economy-wide risk with the potential to explain fluctuations in the cross-section of stock returns. The multifactor model I propose, is a modification of the capital asset pricing model that includes the financial obligations ratio as a ``conditioning down" variable. The key finding is that there is an aggregate hedging demand for securities that pay off in periods characterized by higher levels of financial obligations ratios. The consistent pricing of financial obligations risk with a negative risk premium suggests that the financial obligations ratio acts as a state variable. / Dissertation/Thesis / Doctoral Dissertation Economics 2017
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A relação do retorno das ações com o EVA, com o lucro residual e com as medidas contábeis tradicionais: um estudo empírico aplicado às empresas brasileiras de capital aberto / The relation between stock returns and EVA, residual income, mandated performance measures: a empirical study applied to Brazilian companies with open capitalAndrea Salvi 26 April 2007 (has links)
A ampla divulgação do conceito de valor econômico adicionado (EVA®) fez com que as empresas utilizassem essa medida de desempenho para evidenciar o quanto de valor foi adicionado aos seus proprietários. Essas empresas esperam que EVA®s positivos aumentem o valor da empresa no mercado. Nesse sentido, alguns estudos comprovaram uma relação forte entre o EVA® e o retorno das ações no mercado, confirmando que o EVA® positivo valoriza a empresa no mercado (FELTHAM et al, 2004; SILVEIRA et al, 2004). Entretanto, ao se analisarem as medidas contábeis tradicionais, como lucro líquido e fluxo de caixa operacional, encontra-se uma forte relação dessas medidas com o retorno das ações e uma fraca relação do EVA® com o retorno das ações (BIDDLE et al, 1997). Neste trabalho, foi aplicado o estudo de Biddle et al, para todas as empresas não-financeiras de capital aberto listadas na Bovespa, no período de 1997 a 2006. Foi apurado o lucro líquido, o fluxo de caixa operacional, o EVA® e o lucro residual (EVA® sem ajustes contábeis) e foi analisada a relação dessas medidas com o retorno das ações das empresas brasileiras. Foi analisada também a influência dos ajustes contábeis na explicação do retorno das ações, para o mesmo período. Os testes de regressões com efeito fixo e efeito aleatório para as amostras com as variáveis independentes ajustadas e não-ajustadas mostraram que o poder de explicação, medido pelo r-quadrado, encontrado nos testes foi muito baixo. Este resultado se aproximou do encontrado por Biddle et al e Feltham et al, fato este que não permitiu afirmar claramente o quanto as medidas de valor econômico e as medidas contábeis explicaram o retorno das ações e se afastou dos resultados encontrados por Silveira et al fato este que poderia evidenciar que o mercado brasileiro apresentou alguma eficiência na sua forma semi-forte. / The huge propagation of the EVA® (Economic Value Added) concept allows companies to use this performance measure to prove how much value was added for the owners. These companies hope positive EVA®s increase firm values in the market. In this direction, some studies prove a strong association between EVA® and stock returns, confirming that the positive EVA® valorizes companies in the market (Felthan et al, 2004; Silveira et al, 2004). However, when analyzing mandated performance measures, such as earning and operate cash flow, there is a strong association between these measures and the stock returns, and a weak association between EVA® and stock returns (Biddle et al, 1997). At this study, Biddle et al study was applied to all of no-financial companies with open capital listed at Bovespa, from 1997 to 2006. Earning, operate cash flow, EVA® and residual income (EVA® without accounting adjustments) were verified, and the association between these measures and Brazilian company stock returns was analyzed. The influence of accounting adjustments in the explanation of stock returns was analyzed too, in the same period of time. The tests of fixed effect regression and random effect regression for the samples with independent, adjusted and non-adjusted variables showed that the explanation power, measured by r-square, found in the tests, was very low. This result got closer to the results presented by Biddle et al, which did not allow clearly stating how much the economic value and accounting measures explain the stock returns. In the other hand, this result got far from the results presented by Silveira et al, which could prove that Brazilian market has some efficiency in its semistrong-form.
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O papel da liquidez/iliquidez no retorno das ações: análise do mercado brasileiro no período entre 1995 e 2010 / The role of liquidity/iliquidity in stock returns: the brazilian market analysis in the period between 1995 and 2010Justen Junior, Ari Aloisio 15 May 2012 (has links)
The influence of liquidity / illiquidity on the return on assets has been widely researched in last years, from both individual assets and market perspectives.Given the evidence that the liquidity / illiquidity is a multidimensional measure and that a single proxy is not sufficient to assess it, this study, aiming for greater robustness, seek to evaluate the role of same using different measures, making sure that its use influence the results. This paper analyzes the influence of liquidity / illiquidity in stock returns in the Brazilian market, using the measures proposed by Amihud (2002) and Liu (2006) beyond traditional measures such as trading volume, number of trades, spread and turnover. To that we use data from December, 1994 to April 2010 of the stocks traded on the Bolsa de Valores, Mercadorias e Futuros de São Paulo (BOVESPA). The results obtained through the estimation of the model using the measure of illiquidity for the actions allow to concluding that the expected illiquidity has positive impact on the monthly return, supporting the first hypothesis of the original study by Amihud (2002), which suggests that the expected stock return is an increasing function of expected illiquidity. Regarding the second hypothesis tested, the unexpected illiquidity (residual) showed negative impact on return, confirming the hypothesis that unexpected illiquidity has a negative effect on the stock price, that is, the illiquidity is priced in the Brazilian market. In another way, the estimation results of the model that used the measure of Liu (2006) for the actions, demonstrated that the variables expected liquidity and unexpected liquidity were not significant in explaining returns. As to the model that has used variables of market liquidity the estimation with the measure of Amihud (2002) did not present significance for the variables expected market iliquidity and unexpected market illiquidity. Differently, the model estimated using the variables of market liquidity for the stock returns presented positive impact to the variable expected market liquidity. In turn, the variable unexpected market liquidity showed negative impact on monthly returns. It can be inferred that in Brazil, a country with great heterogeneity in the liquidity, the market liquidity risk of lose space for the individual liquidity risk. / A influência da liquidez/iliquidez sobre o retorno dos ativos vem sendo vastamente pesquisada nos últimos anos, tanto da perspectiva individual quanto do mercado. Tendo em vista as evidências de que a liquidez/iliquidez seja uma medida multidimensional e que uma única proxy não é suficiente para avaliá-la, este estudo, na busca de maior robustez, se propôs a avaliar o papel da mesma a partir de diferentes medidas, verificando se o seu uso influencia os resultados. O presente trabalho analisa a influência da liquidez/iliquidez no retorno das ações no mercado brasileiro, empregando as medidas propostas por Amihud (2002) e Liu (2006), além das medidas tradicionais como o volume financeiro, quantidade de negócios, spread e turnover. Para tanto são utilizados dados de dezembro de 1994 a abril de 2010 de ações negociadas na Bolsa de Valores, Mercadorias e Futuros de São Paulo (BM&FBOVESPA). Os resultados obtidos por meio da estimação do modelo utilizando a medida de iliquidez para as ações permitem concluir que a iliquidez esperada apresentou impacto positivo no retorno mensal, corroborando a primeira hipótese do estudo original de Amihud (2002), a qual sugere que o retorno esperado de ações é uma função crescente da iliquidez esperada. No que diz respeito à segunda hipótese testada, a iliquidez inesperada (residual) mostrou impacto negativo no retorno, confirmando a hipótese de que a iliquidez inesperada tem um efeito negativo sobre o preço das ações, ou seja, que a iliquidez é precificada no mercado brasileiro. De outra forma, os resultados da estimação do modelo que empregou a medida de Liu (2006) para as ações, demonstraram que as variáveis liquidez esperada e liquidez inesperada não foram significativas para a explicação dos retornos. Quanto ao modelo que utilizou as variáveis de liquidez de mercado a estimação com a medida de Amihud (2002) não apresentou significância para as variáveis iliquidez esperada-mercado e iliquidez inesperada-mercado. De modo diferente, o modelo estimado empregando as variáveis de liquidez de mercado para o retorno das ações apresentou impacto positivo para a variável liquidez esperada-mercado. Por sua vez, a variável liquidez inesperada-mercado mostrou impacto negativo nos retornos mensais. Pode-se inferir que no Brasil, um país que apresenta grande heterogeneidade na liquidez, o risco da liquidez de mercado perde espaço para o risco de liquidez individual.
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Indicadores contábeis, ambiente informacional de mercados emergentes e retorno das ações / Accounting rates, informational environments in emerging markets and stock returnsRenata Turola Takamatsu 02 July 2015 (has links)
Este trabalho tem por objetivo principal avaliar a capacidade de explicação das variações dos retornos das ações de empresas que negociam seus títulos em bolsas de valores de mercados emergentes. Esta tarefa foi conduzida a partir de indicadores com o seu cálculo baseado em valores advindos das demonstrações contábeis, tais: como price-to-book, accruals, investimento, tamanho, lucro bruto e crescimento de vendas. Em adição, busca-se avaliar se o ambiente econômico e institucional afeta essa relação em países emergentes. Para isso investigaram-se empresas de capital aberto de 20 países classificados como emergentes, com base no índice elaborado pela agência Standard&Poors. Por essa via, as demonstrações contábeis das firmas nativas dessas economias foram utilizadas como insumo, restringindo-se aquelas de capital aberto que estavam disponíveis na base de dados da Capital IQ. Em paralelo, foram selecionadas informações macroeconômicas organizadas pelo International Country Risk Guide. A amostra abrangeu dados de 2004 a 2013, com a exclusão de dados faltantes (missings), variáveis consideradas outliers e daquelas empresas que apresentaram patrimônio líquido a descoberto. Os resultados demonstraram que a variável lucro bruto e price-to-book foi positivamente correlacionadas com os retornos. De outro lado, as variáveis investimento e tamanho foram estatisticamente significativas e negativamente correlacionadas com a variável retorno. As variáveis apresentaram sinais condizentes com a literatura, com exceção a variável price-to-book e a variável mudança de ativos. A análise fatorial gerou quatro fatores, para controlar as condições macroeconômicas que poderiam afetar o preço das ações no período analisado. Por essa via, mesmo após a inclusão dos fatores, as variáveis analisadas permaneceram estatisticamente significativas e com o sinal esperado. A inclusão de variáveis relacionadas ao ambiente informacional da contabilidade ofereceu indícios de que quanto mais opaco o ambiente da contabilidade no país, menor a capacidade dos lucros em retratar as variações dos retornos das ações. Em outra linha, a origem legal do país exibiu influência significativa sobre a variável dependente. Ainda, os resultados sugerem que a transição para normas internacionais ampliou a relevância da informação contábil / The thesis aim was to assess how variables calculated from financial statements affect stock return (such as Price-to-Book, Accruals, Investments, Size, Gross Profit, and Sales Changes). The research also investigates whether firms\' economic and institutional environments affect this relationship in emerging countries. We have investigated listed companies in 20 markets that are classified as emerging in Standard & Poor\'s index. Financial statement data were collected from the Capital IQ database. We also have collected macroeconomic information from the International Country Risk Guide. The sample comprised data from 2004 to 2013. Firms with missing data, outliers, and those with negative equity were excluded. The results showed that the variables Gross Profit and Price-to-Book were positively correlated with stock returns. On the other hand, Investment and Size were statistically significant and negatively correlated to returns. All variables reached the expected sign except Price-to-Book. Further research is needed to understand this result and determine if this signal is systematically achieved. We used principal component analysis to estimate macroeconomic risk and to address problems related to excess variables and multicollinearity. Four main factors were reached in principal component analysis to control the macroeconomic conditions that could affect stock prices during the period. In this way, even after the inclusion of factors, variables calculated from financial statements remained statistically significant and with expected signs. After analyzing variables related to the country\'s information environment it was sugested that the more opaque the accounting environment in the country, the lower the ability of earnings to portray variations in stock returns. The legal origin of the country also significantly influenced the results: Countries that follow laws originating from the French code has the weakest explanatory power. This finding supports the argument of La Porta et al. (1998, 1997) that such countries has the weakest legal protection and enforcement, compared with the German code or common law. The results also suggest that the relation between the adoption of international accounting standards and the ability of accounting information to portray variations in stock returns.
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Geo-Political Risk-Augmented Capital Asset Pricing Model and the Effect on Long-Term Stock Market ReturnsNakhjavani, Arya 01 January 2018 (has links)
This paper examines the capital - asset pricing model (CAPM) which has been extended with a factor for geo-political risk. I use monthly stock return data for all stocks listed on a major US exchange from January 1990 to December 2016 and utilize a Fama-Macbeth Regression with Newey-West standard errors to test the geo-political augmented Sharpe-Lintner CAPM. The paper first determines if increased sensitivity to geopolitical risk lead s to lower average returns and second assesses if geo-political risk as an explanatory variable is a significant enough to expose a failure of the CAPM to capture expected returns fully through beta. The results of our regressions do not confirm the hypothesis that firms with high sensitivities to geo-political risk have expressly different returns in the long run. Furthermore, our Fama-Macbeth regression does not find expressly significant average slopes for geo-political risk as a variable.
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Economic risk exposure in stock market returns :|ba sector approach in South Africa (2007-2015)Molele, Sehludi Brian January 2019 (has links)
Thesis (M.A. Commerce (Economics)) -- University of Limpopo, 2019 / South Africa had targeted the oil and gas sector for investment through the industrial action plan as a special economic zone. However, certain economic fundamentals might negate the anticipated sector financial development. This study investigate how economic risk exposure influence oil & gas sector stock market returns from 2007 to 2015 on a monthly basis. The four macroeconomic variables used to measure economic risk exposure are Brent crude oil prices, the USD/ZAR exchange rate, broad money supply and gold prices. The adopted techniques include the GARCH model to incorporate volatility, the Johansen cointegration and Granger causality techniques.
The results of the study found that change in Brent crude oil prices and broad money supply had a positive and significant impact on changes in oil & gas sector stock returns. Changes in exchange rate and gold prices had a negative and significant impact on the sector returns. The long-run relationship established one cointegrating equation in the series. Only Brent crude oil prices indicated a bi-directional Granger causality on the sector returns.
Based on the findings, it is recommended that government may use exchange rate as a policy tool to attract interest in the sector. Regarding money supply, the reserve bank should further preserve its effective regulatory infrastructure including the laws, regulations and standards towards the achievement and maintenance of a stable financial system. Portfolio managers, risk managers and investors should monitor the gold price to mitigate losses due to its strength as a safe haven asset.
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