In the first essay, in contrast to some earlier studies, I document statistically significant within-country style effects in several emerging Asian equity market portfolios. Small capitalization and value stocks tend to outperform their style counterparts. However, there are considerable periods of time when large capitalization and growth stocks outperform. Overall, single style strategies are risky when applied to each individual market. In the second essay, I report that average return correlations among the zero-cost style portfolios are low - emphasizing the value of an intra-regional diversification strategy. These correlations exhibit significant variation over time. Measures of integration for the style portfolios are also low on average but tend to vary over time. Style returns in the original ASEAN-5 markets exhibit much higher correlations following the Asian financial crisis, and, these correlations remain elevated for several years. These results suggest that while diversification is helpful on average, there are some periods of time when a regional style rotation strategy is warranted and other times when country-specific rotation strategies are reasonable. In the third essay, I conduct bootstrap experiments on significant winner and loser continuations for each style and the style triplets in Asian emerging equity markets. I provide only modest evidence of style continuation in Asian emerging markets. I also test for style-level momentum in emerging Asia and condition style momentum returns on January, market state, monetary policy and cross-sectional dispersion. I find significant conditional style-level momentum in some Asian emerging markets but not others. I attribute the weaker style momentum results in emerging Asia to a lack of country-level style-specific derivatives in these markets.

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<p>I analyze a large number of investment decisions based on theories that have been developed and formalized over the past 50 years. Previous work in this field unveils a number of biases which affect ones choices when the outcome is uncertain. In my thesis I find evidence of these already known biases and focus on finding rational explanations for their existence. I also introduce two unexplored biases; the homeboy bias and the menu bias.</p><p>The results clearly indicate that sophisticated investors are generally less subject to these biases. Since pension schemes in many nations are shifting towards defined contribution schemes, investment decisions and risk preferences will be of great consequence to investors’ personal economy and ability to consume, affecting the economy in general. It is therefore of great importance that policy makers do all that they can to increase investors sophistication and create a playing field which facilitates economically sound investing.</p>

I analyze a large number of investment decisions based on theories that have been developed and formalized over the past 50 years. Previous work in this field unveils a number of biases which affect ones choices when the outcome is uncertain. In my thesis I find evidence of these already known biases and focus on finding rational explanations for their existence. I also introduce two unexplored biases; the homeboy bias and the menu bias. The results clearly indicate that sophisticated investors are generally less subject to these biases. Since pension schemes in many nations are shifting towards defined contribution schemes, investment decisions and risk preferences will be of great consequence to investors’ personal economy and ability to consume, affecting the economy in general. It is therefore of great importance that policy makers do all that they can to increase investors sophistication and create a playing field which facilitates economically sound investing.

Submitted by MFEE Mestrado Profissional em Finanças e Economia Empresarial da EPGE (mfee@fgv.br) on 2015-02-24T19:52:06Z No. of bitstreams: 1 Daniel Pádua Versão Final.pdf: 2926735 bytes, checksum: 3a118ec117860cba182feae37fa5226f (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2015-03-03T19:10:36Z (GMT) No. of bitstreams: 1 Daniel Pádua Versão Final.pdf: 2926735 bytes, checksum: 3a118ec117860cba182feae37fa5226f (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2015-03-03T19:11:22Z (GMT) No. of bitstreams: 1 Daniel Pádua Versão Final.pdf: 2926735 bytes, checksum: 3a118ec117860cba182feae37fa5226f (MD5) / Made available in DSpace on 2015-03-03T19:11:40Z (GMT). No. of bitstreams: 1 Daniel Pádua Versão Final.pdf: 2926735 bytes, checksum: 3a118ec117860cba182feae37fa5226f (MD5) Previous issue date: 2013-01-29 / Wahal and Cruz (2009) published an essay adding to the literature on behavior fínance, unifying the concepts of momentum, comovement and style investing as tools for return predictability. They discovered that assets possessing larger comovement offered higher returns as opposed to those having low comovement. We endeavored to reflect their methodology to the Brazilian market in a matmer applicable scenario of low liquidity and reduced amount of asscts that are charactetistics o f our stock market. Our results did not present the same tendency of the original essay, but we verifíed that, albeit in a limited way, it is possible to explore profítable strategies by means ofusing this structure. / Wahal e Yavuz (2009) divulgaram trabalho ampliando a literatura da teoria de finanças comportamentais, unindo os conceitos de momento, estilo e comovimento como ferramentas de previsibilidade de retorno em investimentos. Eles descobriram que ativos com maior comovimento apresentam retornos mais elevados que os de baixo comovimento. Buscamos replicar a sua metodologia ao mercado brasileiro de maneira aplicável a realidade de baixa liquidez e quantidade reduzida de ativos do nosso mercado de ações. Nossos resultados não apresentaram a mesma tendência do trabalho original, porém verificamos, ainda que de forma limitada, a possibilidade de explorar estratégias lucrativas usando este arcabouço.

大約自1980年代初期開始，效率市場理論漸漸受到許多經由實證發現的市場異象(Anomalies)之挑戰，其中最具代表性的就是規模效應與價值效應(淨值市價比現象)。受到這些實證發現的啟示，如何針對股票市場中不同區隔的股票進行風格投資(Style Investing)早已經成為資產管理中的核心議題。學術界與實務界並開始逐漸針對多重風格(Multi-Style)投資組合進行研究，期望能發掘更多投資機會與策略意涵。 本研究採用1993年10月至2002年間台灣證券交易所非金融類上市普通股為研究對象，參考Ahmed、Lockwood and Nanda(2002)的分類與模擬方式，探討根據規模與價值雙重分類所形成的各種單一風格投資組合與多重風格投資組合之報酬率差異情形，並進行各風格投資組合之投資終值模擬。為了驗證輪動策略的價值，本研究更進一步以不同風格投資組合配對進行完美預見(Perfect Forecasting)輪動模擬。 根據實證結果顯示，台灣股市中價值類投資組合(價值股、大型價值股、小型價值股)報酬率顯著高於成長類投資組合(成長股、大型成長股、小型成長股)，而大型類投資組合與小型類投資組合間沒有產生顯著的報酬差異，但大型類與小型類間的報酬差變動有助於提升輪動策略的績效。 經由不同風格投資組合配對之完美預見(Perfect Forecasting)輪動模擬，顯示出輪動策略確實具有相當的潛在投資價值，且以多重風格投資組合進行輪動策略可以獲得更佳的模擬結果。

Nous étudions des stratégies d'investissement dont l'utilisation s'est généralisée sur les marchés financiers, et leur impact sur le prix des actifs et le risque de marché.Dans le premier chapitre nous nous intéressons aux stratégies de diversification de portefeuille. Nous montronsau travers d'un modèle théorique que si la diversification a un effet positif au niveau individuel pour l'investisseur,elle crée également des liens entre les différents investisseurs et titres, qui peuvent se révéler dangereux d'un pointde vue systémique. Nous mesurons les deux effets afin de discuter de la désirabilité globale de la diversification.Le second chapitre considère les stratégies d'investissement basées sur le groupement de titres financierspartageant certaines caractéristiques en différentes classes, ou styles. Nous postulons que ces stratégies créentun co-mouvement excessif entre titres d'un même style, qui seront vendus et achetés ensemble au sein d'une mêmeclasse. Appliquant cette intuition aux notes des agences sur les obligations, nous montrons qu'une obligation quichange de note se met en effet à varier comme sa nouvelle note, même quand les fondamentaux économiques ne lejustifient pas.Dans le troisième chapitre nous étudions trois types d'investisseurs opérant sur le marché des changes : les carry traders, les chartistes et les fondamentalistes. Notre modèle théorique suggère que l'interaction entre cestrois règles d'investissement peut expliquer la déconnexion bien documentée entre le taux de change et sa valeurfondamentale, ainsi que provoquer un effondrement endogène des taux de change. / We study how popular investment rules in financial markets may induce endogenous movements inasset prices, leading to higher market risk.In the first chapter, we focus on portfolio diversification. We show through a theoretical model that this strategyis beneficial at the individual investor level, but also creates endogenous links between assets and investors, whichcan be dangerous from a systemic perspective. We measure both effects in order to discuss the overall desirabilityof diversification.The second chapter considers strategies based on grouping assets that share common characteristics intodifferent classes, or styles. We postulate that these strategies create excess comovement between assets of asimilar style, as they are traded together as part of the same class. Applying this reasoning to bond credit ratings,we show that bonds joining a new rating class indeed start comoving more with the bonds of this rating, evenwhen fundamental factors suggest otherwise.In the third chapter, we study three investors who operate in the foreign exchange market: carry traders,chartists and fundamentalists. We provide a theoretical model which suggests that the interaction between thesetrading rules may explain the well documented exchange rate disconnect from its fundamental value, and lead toendogenous currency crashes.