Submitted by Alvaro Germano Albernaz (aga050@gmail.com) on 2016-01-25T12:32:08Z No. of bitstreams: 1 Dissertação_final final_versão certa_3 V16 220116.pdf: 3740558 bytes, checksum: cdf2c2c779f7fc18a9d89f5cac0bda6f (MD5) / Approved for entry into archive by Janete de Oliveira Feitosa (janete.feitosa@fgv.br) on 2016-02-05T16:49:09Z (GMT) No. of bitstreams: 1 Dissertação_final final_versão certa_3 V16 220116.pdf: 3740558 bytes, checksum: cdf2c2c779f7fc18a9d89f5cac0bda6f (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2016-02-22T12:23:32Z (GMT) No. of bitstreams: 1 Dissertação_final final_versão certa_3 V16 220116.pdf: 3740558 bytes, checksum: cdf2c2c779f7fc18a9d89f5cac0bda6f (MD5) / Made available in DSpace on 2016-02-22T12:23:46Z (GMT). No. of bitstreams: 1 Dissertação_final final_versão certa_3 V16 220116.pdf: 3740558 bytes, checksum: cdf2c2c779f7fc18a9d89f5cac0bda6f (MD5) Previous issue date: 2015-11-16 / This work intends to subsidize the real estate investment funds investor in choosing a FII investment portfolio in order to obtain performance at or above the industry benchmark (IFIX). Such a grant is made initially by methodology which considers the concept of Efficient Portfolio (Risk / Return) proposed by Markowitz, can work together with the dimension of the concept of Behavioral Finance, led by Daniel Kahneman, constituting the investor’s orientation bases. We add the methodological approach to the indications suggested by Bazerman and Moore, in the decisionmaking process that reduces the effects of heuristics and viésis. To start the way the investor responds to questionnaire of 5 questions that aims to classify the degree of ’capacity and tolerance ―by the IFI prod-uct. From their responses the investor will be referred to a‖ cluster ―of funds, classified according to the perception of retail investor, according to the complexity of analyzing the background. Selected FIIs with potential for application, bring the investor as an ‖Ranking― of the funds in question answering three questionnaires that motivate the expansion of its research in the following dimensions :. (i) Capacity of the fund, (ii) on the (s) Active (s) of the fund, and (iii) of the Income Generation of FII Complementing the creation of ‖Ranking― is also considered its Anchor decision, ie, the main investor reason to choose each selected fund. Finally, we use the concept of Markowitz to identify the most efficient Portfolio considering the ‖Ranking' of the investor, with the EXCEL package with the tool SOLVER. The results of that portfolio were higher than the industry benchmark (IFIX), demonstrating technically than using appropriate tools and establishing a path to guide the investor research in finding structural information you can build an efficient portfolio that helps the his applications long term. / O presente trabalho tem por objetivo subsidiar o investidor de Fundos de Investimento Imobiliário na escolha de uma carteira de aplicação de FIIs, visando obter performance igual ou superior ao índice de referência do setor (IFIX). Tal subsídio é constituído, inicialmente, por uma metodologia que considera que o conceito de Carteira Eficiente (Risco/Retorno) preconizada por Markowitz pode trabalhar em conjunto com a dimensão do conceito das Finanças Comportamentais, liderada por Daniel Kahneman, constituindo as bases de orientação do investidor. Acrescentamos o caminho metodológico com as indicações, sugeridas por Bazerman e Moore, no processo de tomada de decisão, que reduza os efeitos de heurísticas e vieses.

Using three different models, we examine the determinants of average stock returns on the Stockholm Stock Exchange during 2012-2016. By using time-series data, we find that a Fama-French three-factor model (directed at capturing size and book-to-market ratio) functions quite well in the Swedish stock market and is able to explain the variation in returns better than the traditional CAPM. Additionally, we investigated if the addition of a Price/Earning variable to the Fama-French model would increase the explanatory power of the expected returns of the different dependent variables portfolios. We conclude that the P/E ratio does not influence the expected returns in the sample we used.

Economic bubbles are playing an increasingly significant role in the current global economy. We believe these bubbles are to a certain extent dominating the real economy, and, therefore, research based on this specific economic phenomenon is becoming increasingly popular and important. The focus of this master's thesis is based upon analysis of stock price bubbles. This thesis contains author analyzed historical cases representative of stock price bubbles; summarizations of their traditional features; common factors causing their formation; and reasons leading to their bursting. Solutions to the dilemma of stock price bubbles are discussed in depth, and emphasis is placed upon clearly deciphering different theoretical approaches regarding this phenomenon-not only from the efficient market hypothesis viewpoint but also from the perspective of behavioral finance. The research contains testing and measuring methodologies of stock price bubbles, and the author's view concerning them is strongly supported by the results within the empirical data-testing chapter. Upon reading, one can expect to achieve a basic overview of this forefront science.

Generation Z har under sin korta tid som investerare på den finansiella marknaden varit med om en säregen börskrasch till följd av coronapandemin 2020. Börskraschen 2020 var unik i förhållande till tidigare börskrascher såsom IT-kraschen 2000 och finanskrisen 2008 eftersom marknaden återhämtade sig och nådde nya rekordnivåer inom ett halvår. Samtidigt stod svenska investerare under de första månaderna av 2022 inför ett nytt ras där den genomsnittliga aktien på Stockholmsbörsen sjunkit med ungefär 36% från dess högsta nivå under perioden 2020–2022 till följd av en hög inflationstakt samt Rysslands invasion av Ukraina. Forskningen kring den yngsta gruppen investerare, generation Z, som saknar erfarenhet av långvariga osäkra marknadsförhållanden är bristfällig och ger därmed upphov till en ny grupp investerare att studera. Studiens syfte är att studera hur riskbenägenhet samvarierar med börspsykologiska bias, kognitiv reflektionsförmåga och erfarenhet från tidigare finansiella kriser samt hur dessa faktorer skiljer sig mellan generation Z och tidigare generationer. Studien finner att generation Z till större del faller för samtliga börspsykologiska bias förutom överreaktion och visar på ett flertal signifikanta skillnader mellan generation Z och äldre generationer. Resultatet visar även att anchoring och konfirmeringsbiassamvarierar signifikant med riskbenägenhet och att den största skillnaden mellan generation Z och äldre generationer kan hänföras till börspsykologiska bias. / Generation Z has during their short time as investors experienced a market crash due to the covid-pandemic in 2020 but also a quick recovery in the same year where the market reached a new all-time high. The market crash in 2020 was unique compared to the crash following the burst of the Dot-com bubble in 2000 and the financial crisis in 2008 because of the quick recovery of the stock market that led to new all-time highs. However, during the first months of 2022, Swedish investors were once again experiencing a market crash where the average stock on the Stockholm stock exchange had lost more than 36% of its value since their peak between 2020-2022 due to high inflation and Russia’s invasion of Ukraine. The youngest group of investors, generation Z, lacks experience from long-lasting uncertainties in the stock market. Research regarding generation Z is insufficient which gives rise to a new group of investors to study. The purpose of the thesis is to study the relationship between risk tolerance and psychological biases, cognitive reflection and experience from previous stock market crashes and how these factors differ between generation Z and older generations. The thesis finds that generation Z is indicated to be more affected by every psychological bias except overreaction and finds several significant differences between generation Z and the older generations. The result also shows that confirmation bias and anchoring have a significant relationship to risk tolerance and that the largest differences between generation Z and older generations are derived from psychological biases.

Bakgrund: Coronapandemin präglade under lång tid människors vardag såväl som de finansiella marknaderna. Den kraftiga nedgången i februari - mars år 2020 och den rekordsnabba återhämtningen påverkade privatinvesterare. Dessa investerare stod inför tuffa beslut, och präglades av stress och oro. Under volatila tider sker inte alltid rationella beslut, och denna typ av beslutsmiljö kan påverka investerare att vara mer mottagliga av psykologiska bias. För att undvika att gå i samma fällor, är det av intresse att kartlägga börspsykologiska faktorers påverkan på privatinvesterares agerande och vilken effekt det har på deras diversifiering i aktieportföljen. Eventuella skillnader i agerande under börsnedgångarna visar även om investerarna själva lärde sig någonting från den första börsnedgången och ändrade sitt beteende till den andra börsnedgången. Syfte: Syftet med studien är att kartlägga privatinvesterares agerande på aktiemarknaden under Coronapandemin. Detta för att kunna uttala sig om, privatinvesterares beteende under börsnedgången i februari - mars 2020, samt den andra börsnedgången i oktober samma år. Genom att undersöka två tidsperioder går det att observera skillnader i beteende. Metod: Studien använde sig av en enkätstudie med tvärsnittsdesign för att på generell nivå ha möjlighet till att uttala sig om privatinvesterares agerande under börsnedgångarna. Slutsats: Studien har visat att samtliga undersökta börspsykologiska bias har påverkat privatinvesterare under båda börsnedgångarna men det finns dock skillnader mellan perioderna. Om respondenterna själva får beskriva deras agerande har många angett att de har agerat rationellt under krisen, något som tidigare forskning också konstaterat. Diversifieringen har ökat i aktieportföljen efter börsnedgångarna, jämfört med hur det såg ut vid slutet av 2019. Det är dock inte säkerställt att detta är en effekt av nedgångarna. Slutligen finns det även skillnader i börspsykologiska faktorer och diversifiering mellan demografiska faktorer och erfarenhet från tidigare kriser. / Background: The Corona pandemic has affected people’s everyday life as well as the financial markets. The big decline in the stock market that happened in February-March 2020 and the record fast recovery impacted private investors in a big way. Investors had difficult decisions to make during times of stress and worry, which does not always lead to optimal decisions. The investors could be more affected by biases during times of crisis. To avoid walking into the same traps again it is of investor’s interest to map psychological biases and how they affect the diversification in their stock portfolios. Eventual differences in behavior between the stock market decline in February-Mars and the one in October could be spotted by comparing the two periods. This would show if the respondents themselves learned from the first stock market decline to the second one, hence changing their behavior. Purpose: The purpose of this study is to map private investors’ behavior in the stock market during the Corona pandemic. This will make it possible to discuss private investors’ behavior during the stock market declines in February-March 2020 as well as the one in October the same year. This will make it possible to see differences in behavior. Method: The study used a survey study with cross-sectional design to be able to discuss private investors’ behavior at a general level. Conclusion: The study has shown that all studied psychological biases to affect private investors during the stock market declines, showing there are differences between these periods. If the respondents describe their own actions, then many of say themselves that they acted rational during the crisis, something that previous studies have shown. The diversification has also increased after the stock market declines compared to how it was at the end of 2019, but it is not certain that it is an effect of the stock market declines. There are also differences between demographic factors and experience from previous crises with regards to psychological biases and diversification.

Bakgrund: Kapital på börsen förflyttas fram och tillbaka mellan olika tillgångar, vilket ären naturlig del av diversifieringen i portföljer. När osäkerheten ökar i marknaden väljerinvesterare normalt att förflytta kapital från aktier till säkrare tillgångar som exempelvisobligationer, vilket beskrivs som Flight to Quality (FTQ). Däremot har räntorna efter denglobala finanskrisen 2008 varit historiskt låga och under vissa perioder negativa, vilket i sintur försvagar förflyttningen. Sverige har här utmärkt sig, genom att till skillnad från USA,fortsatt att sänka räntan och legat på låga nivåer under en väldigt lång tid. Därmed uppstårfunderingar kring hur förflyttningar av kapital har sett ut i Sverige de senaste 30 åren, samthur det senaste lågränteklimatet påverkar. Syfte: Syftet med studien är att undersöka förhållandet mellan avkastningen på noteradeobligationer och aktier i Sverige från 1993 till 2022. Studien ska även undersöka hur enlågräntemiljö påverkar förhållandet. Metod: OMXSPI samt BMSD10Y har använts för att beräkna avkastningen på aktierrespektive obligationer från databaserna Refinitiv Eikon samt Refinitiv Datastream. Urvaleti studien uppgick till 7271 respektive 1526 observationer. Genom en kvantitativ metod ochdeduktiv ansats har studien utgått från teorin gällande FTQ för att undersöka hurkorrelationen förändrats. Vidare har regressioner använts för att säkerställa påverkan pånivån av korrelationen samt hur ett lågränteklimat påverkar styrkan i FTQ. Slutsats: Studiens resultat påvisar att korrelationen mellan aktier och obligationer undertidsperioden har varit svagt negativ med fyra olika strukturella förändringar under perioden.Vidare visar studiens resultat att ett lågränteklimat under perioden har försvagat styrkan iFTQ:er som inträffat i Sverige mellan 1993 och 2022. Studien bidrar till litteraturen inomområdet korrelation mellan aktier och obligationers avkastningar, samt litteraturen kringlågränteklimats påverkan på finansiella marknader. / Background: Capital on the stock exchange is moved back and forth between differentassets, which is a natural part of the diversification of portfolios. When uncertainty increasesin the market, investors normally choose to move capital from equities to safer assets such asbonds, which is described as Flight to Quality (FTQ). On the other hand, interest rates afterthe global financial crisis in 2008 have been historically low and in some cases negative,which in turn weakens the capital movement. Sweden has distinguished itself, in that unlikethe United States, it has continued to lower its interest rates and have kept them at low levelsfor a very long time. This raises concerns about how capital movements over the past 30 yearshave developed in Sweden, and how the recent low interest rate climate is affecting. Purpose: The purpose of the study is to investigate the relationship between returns onstocks and bonds in Sweden from 1993 to 2022. The study will also investigate how a lowyield environment effects the relationship. Method: OMXSPI and BMSD10Y have been used to calculate the return on stocks andbonds from the databases Refinitiv Eikon and Refinitiv Datastream, respectively. The samplein the study amounted to 7271 and 1526 observations. Through a quantitative method anddeductive approach, the study has been based on the theory regarding FTQ to investigatehow the correlation has changed. Furthermore, regressions have been used to ensure theimpact on the level of the correlation and how a low interest rate climate affects the strengthof the FTQ. Conclusion: The result shows a weak negative correlation between returns on stocks andbonds during the time period, with four different structural breaks during the period.Furthermore, the results show that a low yield environment has weakened the strength of theFlights to Quality that have occurred in Sweden between 1993 and 2022. This studycontributes to the literature in the field of stock-bond return correlation and the field of lowyield effects on financial markets.

Bakgrund: År 2022 kantades av Rysslands invasion av Ukraina, börsnedgång, stigande inflation och styrräntor. Det bidrog till att allt fler sökte hjälp av finansiella rådgivare för att utifrån livssituationen få hjälp med att nå sina sparmål och maximera sin avkastning. I tidigare forskning råder det delade meningar kring om den finansiella rådgivaren faktiskt bidrar till positiva ekonomiska utfall hos kunden. Å andra sidan får den finansiella rådgivaren, åtminstone privat, kunskap till sig via sitt arbete som torde leda till en hög finansiell bildning. Huruvida det faktiskt bidrar till positiva ekonomiska utfall i den finansiella rådgivarens egna investeringsbeslut och sparande under 2022 leder således till frågan, om de kan hjälpa andra, kan de även hjälpa sig själva? Syfte: Studien syftar till att skapa en förståelse för hur finansiella rådgivares privata sparande och investeringsbeslut samvarierar med olika faktorer såsom livssituation, psykologiska bias och erfarenheter under 2022. Vidare ämnar studien utforska hur finansiella rådgivare ställer sig till ytterligare utbildning inom beteendeekonomi och huruvida de tror att det kan bidra till bättre finansiellt beslutsfattande. Metod: En kvalitativ metod har använts för att uppfylla studiens syfte. Tio finansiella rådgivare intervjuades genom semistrukturerade djupintervjuer. Slutsats: Studien finner att placering i livscykeln, psykologiska bias samt erfarenhet samvarierar med den finansiella rådgivarens privata investeringsbeslut och sparande under 2022. Placeringen i livscykeln samvarierar främst med riskaversionen, därutöver har de finansiella rådgivarna inte kunnat motstå fall av samtliga undersökta bias i studien. Erfarenheten samvarierar med en minskad benägenhet att falla offer för vissa psykologiska bias, förutom överkonfidens, där effekten snarare är den motsatta. Vidare anser de finansiella rådgivarna att ytterligare utbildning inom beteendeekonomi inte skulle vara värdeskapande för deras privata investeringsbeslut, samtidigt som de anser sig ha behov av det i sitt arbete. / Background: The year 2022 was characterized by the invasion of Ukraine, the downturn of the stock market, rising inflation and increases in the benchmark interest rate. This led to the increasing search for financial advisors who, using life circumstances, could assist the individual in reaching personal saving goals and maximizing returns on investments. In prior research, there are divided opinions about whether financial advisors contribute to positive financial outcomes for the client. The financial advisors, at least privately, gain knowledge through their work which should lead to a high level of financial literacy. Whether it contributes to positive financial outcomes in the financial advisor's own investment decisions and savings in 2022 thus leads to the question, if they can help others, can they also help themselves? Aim: The study aims to create an understanding of how financial advisers' private investments decisions and savings in 2022 have been affected by various factors such as life situation, psychological bias, and experiences. Furthermore, the study intends to explore financial advisers' perception of how further education in behavioral economics could have contributed to better financial decision-making. Method: A qualitative method has been used to fulfill the purpose of the study. Ten financial advisors were interviewed through semi-structured in-depth interviews. Conclusion: The study finds that placement in the life cycle, psychological bias, and experience had an impact on financial advisors’ private investment decisions and savings during 2022. The placement in the lifecycle primarily influences the risk aversion, while the financial advisors have not been able to withstand cases of all investigated biases in the study. Experience has contributed to mitigating the impact of psychological biases to some extent while also creating overconfidence. The financial advisors believe that additional education in behavioral economics would not add value to their private investment decisions, while they consider themselves to need it in their work.

Bakgrund: Intresset för att engagera sig inom investeringar och aktiemarknaden har sett en betydlig ökning genom den senaste årtionden, särskilt bland allt fler yngre individer. Inom dagens samhälle är det allt vanligare att människor inte enbart kommunicerar ansikte mot ansikte, utan också på den digitala arenan via internet och sociala medier. Detta är något som även kommit att förändra hur aktiemarknaden ser ut idag och hur informationsutbytet genomförs bland investerare på marknaden. Syfte: Analysera och beskriva betydelsen av informationsutbyte för unga aktieinvesterare. Teori: Studien tillämpar sig av teorier såsom beteendemässiga finansteorin, heuristik, inramningseffekten, flockbeteende, överdriven självförtroende, effektiva marknadshypotesen, mun-till-mun metoden och elektronisk mun-till-mun metoden. Metod: Studien använde sig av en kvalitativ metod i form av semistrukturerade intervjuer. Urvalet riktade sig mot unga investerare som var från 18 till 29 år gamla och sammanlagt deltog åtta respondenter.  Slutsats: Studiens resultatet kom fram till att informationsutbytet hade en betydelsefull roll för unga aktieinvesterares beslutsfattande och att de hade en större tilltro till information som härstammade från deras närmaste omkrets än från digitala medier. Dessutom framkom det att individer med högre finansiell kunskap och erfarenhet var mindre påverkade av snedvridningar och informationsutbytet. Det gick även att observera att respondenter som påverkades i mindre utsträckning av yttre påverkan, också hade en större nivå av medvetenheten om dessa snedvridningar och heuristik. / Background: Interest in investing and the stock market has seen a significant increase over the past decade, especially among an increasing number of younger individuals. In today's society, it is becoming increasingly more common for people to not only communicate face-to-face but also in the digital arena through the internet and social media. This is something that has also come to change how the stock market looks today and how information is exchanged among investors in the market. Purpose: Analyze and describe the importance of information exchange for young equity investors. Theory: The study applies theories such as the behavioral finance theory, heuristics, the framing effect, herd behavior, overconfidence, the efficient market hypothesis, word-of-mouth communication and electronic word-of-mouth communication. Method: The study used a qualitative method in the form of semi-structured interviews. The sample was aimed at young investors who were from 18 to 29 years old and a total of eight respondents participated. Conclusion: The results of the study concluded that the exchange of information played a significant role in the decision-making of young stock investors and that they had greater trust in information that originated from their immediate circle than from digital media. In addition, it emerged that individuals with higher financial knowledge and experience were less affected by biases and the exchange of information. It was also possible to observe that respondents who were influenced to a lesser extent by external influences also had a greater level of awareness of these biases and heuristics.

In this paper, market participants’ tendency to form investor herds in the stocks listed on Nasdaq First North Growth Market of Sweden is examined for the period from 2018 to 2023. The models used in this study to detect herd behavior in stocks consist of two measures of dispersions, Cross-Sectional Standard Deviation of returns (CSSD) and Cross-Sectional Absolute Deviation of returns (CSAD), which were proposed by Christie and Huang (1995) and Chang, et al. (2000), respectively. An equally-weighted index consisting of all of the stocks that have traded on this market during the period is created and a quantitative analysis is conducted. Evidence showed absence of herd behavior when using both models, as well as when accounting for robustness tests consisting of small, mid-and large cap portfolios. Our results also support the prediction of rational asset pricing models, which suggest that stock return dispersions around the market returns increase during periods of market stress.