Submitted by Osmar Camilo (oc.camilo@gmail.com) on 2013-02-26T21:39:05Z No. of bitstreams: 1 Dissertação_Osmar_Cesar Camilo_n311531_vFinal.pdf: 490286 bytes, checksum: ffbe41b1673d62eba3647fd98f9d5797 (MD5) / Approved for entry into archive by Eliene Soares da Silva (eliene.silva@fgv.br) on 2013-02-26T21:45:43Z (GMT) No. of bitstreams: 1 Dissertação_Osmar_Cesar Camilo_n311531_vFinal.pdf: 490286 bytes, checksum: ffbe41b1673d62eba3647fd98f9d5797 (MD5) / Made available in DSpace on 2013-02-26T21:47:34Z (GMT). No. of bitstreams: 1 Dissertação_Osmar_Cesar Camilo_n311531_vFinal.pdf: 490286 bytes, checksum: ffbe41b1673d62eba3647fd98f9d5797 (MD5) Previous issue date: 2013-01-29 / A indústria brasileira de fundos de investimento cresceu significativamente nos últimos anos. A revitalização do mercado de ações no final dos anos 1990 e início dos 2000 incentivou a procura e a abertura de muitos fundos de investimento em ações. Usualmente, os investidores procuram identificar os gestores mais habilidosos por meio de seu desempenho passado. A literatura internacional sobre o tema é vasta em estudos sobre persistência de desempenho passado e habilidade do gestor. No entanto, parte dos esforços dos pesquisadores da área tem se direcionado para investigação da relação entre fluxo de recursos e desempenho passado e o que tal relação tem a dizer sobre o comportamento do investidor. Conceitos de Finanças Comportamentais como viés de representatividade e aversão a perdas são normalmente associados ao comportamento de investidores individuais de ações. Mas o que se pode dizer sobre os investidores de fundos de ações? Eles apresentam vieses similares aos dos investidores individuais? Com base numa amostra mensal de 447 fundos de investimento em ações entre janeiro de 1996 e agosto de 2012, esse trabalho procurou identificar vieses comportamentais apresentados pelos investidores. Foram encontradas evidências da presença do viés de representatividade para o mercado brasileiro, por meio da estimação da relação fluxo-desempenho passado, o que representa a principal contribuição desse trabalho à literatura. / Brazilian mutual funds industry has grown significantly in recent years. The revival of the stock market in the late 1990s and early 2000s boosted demand and the opening of many equity mutual funds. The international literature on the subject is vast in studies on the persistence of past performance and skill of the manager. However, part of the efforts of researchers has been directed to investigate the relationship between money flows and past performance and what this relationship has to say about investor behavior. Behavioral Finance concepts as representativeness bias and loss aversion are usually associated with the behavior of individual equity investors. But what can be said about equity mutual fund investors? Do they present the same biases individual investors do? Based on a monthly sample of 447 equity mutual funds between January 1996 and August 2012, this study sought to identify behavioral biases presented by investors. Through the estimation of the flow-performance relationship, evidence of the presence of representativeness bias was found, which corresponds to the main contribution of this working paper to the literature.

La rationalité parfaite des investisseurs, base de l'hypothèse d'efficience desmarchés, est de plus en plus discutée. Ceci a conduit au développement de la financecomportementale. Le sentiment de marché, qui en est issu, est l'objet de cette étude.Après l'avoir mis en relation avec la rationalité et défini, ses modes de mesure courantset une évaluation de leur capacité à anticiper les rentabilités sont présentés. Ensuite, autravers de deux recherches largement indépendantes, nous (1) montrons de manièreempirique, essentiellement à partir de modèles multi-Agents et d'une modélisation del'impact des chocs d'information sur la distribution des rentabilités, que les skewness etkurtosis de la distribution des rentabilités peuvent être utilisés comme indicateurs dusentiment de marché ; (2) mettons en évidence la présence de mémoire sur de nombreuxindicateurs de sentiment, ce qui invalide les modalités habituelles de leur utilisation,dans le cadre de stratégies contrarian. / The perfect rationality of investors, one of the foundations of theefficient market hypothesis, is increasingly being questioned. This has led to thedevelopment of behavioral finance. Market sentiment, which stems from it, is the focusof this study. Having first linked this concept to rationality and defined it, this studygoes on to present the most common ways of measuring market sentiment and assesstheir ability to anticipate market returns. Then, using two different studies, we do twothings (1) using mainly multi-Agent models and by modeling the impact of informationshocks on the distribution of returns, we empirically show how skewness and kurtosis inthe distribution of returns can be used as market sentiment indicators; (2) wedemonstrate that many standard sentiment indicators are processes affected by long- orshort-Term memory, making them invalid as contrarian indicators even though this ishow they are typically used.

Börsåret 2020 har varit ett unikt år som präglats av ett kraftigt börsras, men även en historiskt snabb återhämtning. Det unika händelseförloppet härrör ur en pandemi orsakad av ett coronavirus, vilket skapat nya underlag för studier av investerares beslutsfattande ur ett börspsykologiskt perspektiv. Syftet med studien var att kartlägga vilka börspsykologiska faktorer som indikerats hos investerare under pandemin. Intentionen var att undersöka huruvida det förelåg samband mellan börspsykologiska faktorer och investerares beslutsfattande. Studien har främst tillämpat en kvantitativ metod i form av en tvärsnittsdesign för att uppnå generaliserbarhet, men har även inslag av kvalitativ forskningsdesign för att erhålla en djupare förståelse. I syfte att besvara studiens forskningsfrågor har en statistisk analys i form av bivariata och multivariata linjära regressionsanalyser genomförts. Resultatet visar att samtliga undersökta börspsykologiska faktorer indikeras hos investerare och att det existerar ett flertal signifikanta samband mellan faktorerna och investerares beslutsfattande. Vidare har studien uppmärksammat en problematik i investerares självuppfattning och brister i de tillämpade testerna för börspsykologiska faktorer. Slutligen har en modell framtagits i syfte att bistå med underlag som kan öka förståelsen och medvetenheten inom ämnesområdet och således skapa bättre förutsättningar för rationella investeringsbeslut. / The stock market during 2020 has been a remarkable year that has experienced a major marketcrash, but also a historical recovery. The unique course of events derives from a pandemic causedby a coronavirus, which has generated new data for research of investors’ decision making from abehavioral finance perspective. The purpose with the research was to map biases which havebeen indicated by investors during the pandemic. The intention was also to investigate whetherthere were relationships between biases and the decision making of investors. This thesis hasmainly applied a quantitative method in the form of a cross-sectional study to achievegeneralizability, but it also has elements of qualitative research to obtain a deeper understanding.In order to answer the research questions, a statistical analysis in the form of bivariate andmultivariate linear regression models has been applied. The result concludes that all theinvestigated biases were indicated, and several significant relationships between the biases andthe decision making of the investors. Furthermore, the research has shown two problematicaspects. The first is the self-perception of investors and the second is the weaknesses of theapplied tests for biases. Finally, a model has been developed with the aim to contribute withuseful research that can create better conditions for rational investment decisions through anincreased understanding and awareness in the area of behavioral finance.

Cette thèse présente trois contributions indépendantes. La première partie se concentre sur la modélisation de la moyenne conditionnelle des rendements du marché actions : le rendement espéré du marché. Ce dernier est souvent modélisé à l'aide d'un processus AR(1). Cependant, des études montrent que lors de mauvaises périodes économiques la prédictibilité des rendements est plus élevée. Etant donné que le modèle AR(1) exclut par construction cette propriété, nous proposons d'utiliser un modèle CIR. Les implications sont étudiées dans le cadre d'un modèle espace-état bayésien. La deuxième partie est dédiée à la modélisation de la volatilité des actions et des volumes de transaction. La relation entre ces deux quantités a été justifiée par l'hypothèse de mélange de distribution (MDH). Cependant, cette dernière ne capture pas la persistance de la variance, à la différence des spécifications GARCH. Nous proposons un modèle à deux facteurs combinant les deux approches, afin de dissocier les variations de volatilité court terme et long terme. Le modèle révèle plusieurs régularités importantes sur la relation volume-volatilité. La troisième partie s'intéresse à l'analyse des stratégies d'investissement optimales sous contrainte «drawdown ». Le problème étudié est celui de la maximisation d'utilité à horizon fini pour différentes fonctions d'utilité. Nous calculons les stratégies optimales en résolvant numériquement l'équation de Hamilton-Jacobi-Bellman, qui caractérise le principe de programmation dynamique correspondant. En se basant sur un large panel d'expérimentations numériques, nous analysons les divergences des allocations optimales / This PhD thesis presents three independent contributions. The first part is concentrated on the modeling of the conditional mean of stock market returns: the expected market return. The latter is often modeled as an AR(1) process. However, empirical studies have found that during bad times return predictability is higher. Given that the AR(1) model excludes by construction this property, we propose to use instead a CIR model. The implications of this specification are studied within a flexible Bayesian state-space model. The second part is dedicated to the modeling of stocks volatility and trading volume. The empirical relationship between these two quantities has been justified by the Mixture of Distribution Hypothesis (MDH). However, this framework notably fails to capture the obvious persistence in stock variance, unlike GARCH specifications. We propose a two-factor model of volatility combining both approaches, in order to disentangle short-run from long-run volatility variations. The model reveals several important regularities on the volume-volatility relationship. The third part of the thesis is concerned with the analysis of optimal investment strategies under the drawdown constraint. The finite horizon expectation maximization problem is studied for different types of utility functions. We compute the optimal investments strategies, by solving numerically the Hamilton–Jacobi–Bellman equation, that characterizes the dynamic programming principle related to the stochastic control problem. Based on a large panel of numerical experiments, we analyze the divergences of optimal allocation programs

In this thesis the relationship between regional composition and risk-adjusted performance is evaluated concerning Swedish issued green mutual equity funds. By using three different indices; Sharpe, Jensen and Treynor, a relationship has been able to establish. The study finds no strong relationship between geographic composition and performance concerning any of the indices and thus the impact of diversifying one's portfolio has little impact. By using the Modern Portfolio Theory, Stewardship Theory, Home Bias Theory and Behavioral Finance Theory a theoretical discussion has been established in order to further examine and analyze the fundamental dynamics of this relationship. Lastly, model risk and other variables impact on performance has been investigated. Our study finds a potential model risk since our three indices results disparate. Further, ESG related factors and Morningstar ratings seem to impact performance greater than regional composition.

The primary objective of profit-maximizing companies has long been seen as satisfying its shareholders. However, this orthodox view of corporate governance has been modernized as corporate social responsibility have become more relevant. In essence, corporate sustainability performance has evolved and is now divided into environmental, social and corporate governance, also known as ESG, closely scrutinized by all stakeholders.  The main purpose of this study is to investigate how ESG disclosures about Swedish-listed companies affect their market value. By analyzing these results, using both conventional and complementary theories in behavioral finance, the researchers in this study also aspires to add new perspectives to the research field on why and how the market reacts as it does. This aim was then fulfilled by quantifying the impact of 195 ESG news on market capitalization using three-event studies.  The results are sufficiently reliable to confirm both hypotheses of the study. The findings support both theories and previous research in the sense that deviations from the social contract between firms and stakeholders damage firms' legitimacy. Furthermore, the study’s results show that market reactions are asymmetric. Firstly, with the implication that the negative impact of negative news exceeds the corresponding positive impact of positive news. Secondly, with the meaning that positive news results in a negative impact on market value.  This can be attributed to market psychological factors and other factors, such as Swedish investors' valuation of sustainability work. In addition, the opposite market reaction to positive news is consistent with studies suggesting that certain ESG news are perceived as greenwashing. Against this background, the study concludes that companies' sustainability work and ESG compliance are not profitable to the extent previously advocated. However, the indirect cost of not acting in a socially responsible manner is greater than the opposite. / Det primära målet för vinstmaximerande bolag har länge ansetts vara att tillfredsställa aktieägarna. Denna ortodoxa syn på bolagsstyrning har dock moderniserats i takt med att hållbarhet och samhällsansvar blivit mer aktuellt. I huvudsak har bolagens hållbarhetsarbete utvecklats och delas numera upp i miljöfrågor, sociala frågor och bolagsstyrning, även kallat ESG, något som noga granskas av intressenter.  Det primära syftet med denna studie är att undersöka ESG nyheters inverkan på svensknoterade bolags börsvärden. Genom att analysera dessa resultat, med såväl konventionella som kompletterande teorier inom beteendeekonomi, ämnar författarna även att kunna bidra med nya perspektiv till forskningen om hur, men även varför, marknaden reagerar som den gör. Detta syfte har sedan uppfyllts genom att kvantifiera 195 ESG nyheters inverkan på börsvärde med hjälp av tre eventstudier.  Resultaten är tillräckligt tillförlitliga för att bekräfta studiens båda hypoteser. Fynden stödjer såväl teorier som tidigare forskning, i den mening att avvikelser från det sociala kontraktet mellan företag och intressenter skadar företagens legitimitet. Vidare visar studiens resultat att marknadsreaktionerna är asymmetriska. I första hand i det avseendet att den negativa inverkan från negativa nyheter överstiger den positiva inverkan från positiva nyheter. I andra hand i den bemärkelsen att positiva nyheter leder till en negativ inverkan på marknadsvärde.  Detta kan hänföras till marknadspsykologiska faktorer och andra faktorer, som exempelvis svenska investerares värdering av hållbarhetsarbete. Vidare är den motsatta marknadsreaktionen till positiva nyheter i linje med studier som antyder att vissa ESG nyheter kan tolkas som grönmålning. Mot denna bakgrund konkluderar studien att bolagens hållbarhetsarbete och efterlevnad av ESG inte är lönsamt i den utsträckning som tidigare förespråkats. Dock är den indirekta kostnaden för att ej agera socialt ansvarsfullt större än motsatsen.

The purpose of this study is to investigate the effects of COVID-19 initial hit and the associated lockdowns effect on the semiconductor industry. The study emanates from factors of return on investment in the equity market using the CAPM model alongside the theories of EMH and behavioral finance. The semiconductor industry is represented by the SOX index, and the S&P 500 index representing the general markets. The mapping of movements in these indexes are done in a daily time series between 01/01/2018 to 29/11/2021 to find out the behavior of the market during a period of shock. The conclusion is that equity markets is affected by lockdowns, but also has other factors affecting the industry. / Syftet med denna studie är att undersöka effekterna av COVID-19 och karantänregleringar på halvledarindustrin. Studien utgår från faktorer som risk och avkastning på aktiemarknaden genom att använda CAPM-modellen tillsammans med teorierna EMH och beteendeekonomi. Skiftet på aktiemarknaden observeras genom risk och avkastning på SOX-indexet som representerar halvledarindustrin och S&P 500-indexet som representerar de allmänna marknaderna. Kartläggningen av rörelser i dessa index görs i en daglig tidsserie mellan 01/01/2018 och 29/11/2021 för att ta reda på om det är värt att investera i halvledarindustrin under pandemin. Slutsatsen är att aktiemarknaderna kan överreagera på nyheter och att halvledarmarknaden initialt är motståndskraftig mot covid-19. Marknadensmotståndskraft följs dock av längre prissvängningar som resulterar i högre avkastning och lägre risk vilket gör investeringar i halvledarindustrin betydligt bättre än S&P 500.

Bakgrund: I Sverige finns det ett stort intresse för privat fondsparande. De svenska storbankerna erbjuder ett flertal fonder och utgör den huvudsakliga andelen av den svenska fondmarknaden. Fondförvaltares mål med en aktiv fond är att generera en högre avkastning jämfört med dess jämförelseindex, men tidigare forskning har visat att de svenska storbankernas aktiva fonder sällan presterar bättre än jämförelseindex. Syfte: Syftet med den här studien är att undersöka varför privatpersoner behåller fondinnehav i de svenska storbankernas aktiva fonder trots att tidigare studier visar att dessa fonder ofta har högre avgifter, men inte bättre avkastning jämfört med exempelvis indexfonder. Metod: Hypotesprövning har tillämpats med en kvantitativ ansats deriverad utifrån befintlig teori. Empiriska primärdata har samlats in med en fysisk enkätundersökning som 174 studenter vid Linköpings universitet har besvarat. I denna studie har ett icke-sannolikhetsurval med ett bekvämlighetsurval tillämpats. Bivariat och multivariat analys av studiens empiriska data har genomförts med logistisk regressionsanalys. Resultat: Nollhypotesen förkastas för den oberoende variabeln byteskostnader (p <0,1). För de oberoende variablerna finansiell kunskap och familjär-bias förkastas nollhypotesen tills vidare (p <0,1). Resultatet av beta-koefficientens riktning är negativ för byteskostnader avseende avgifter och andra finansiella kostnader, men positiv för relationskostnader, finansiell subjektiv och objektiv kunskap samt familjär-bias. Slutsats: De oberoende variabler som kan förklara varför privatpersoner i studiens urval behåller fondinnehav i de svenska storbankernas aktiva fonder är byteskostnader, finansiell kunskap och familjär-bias. Studiens resultat genererar ett kunskapsbidrag som kan öka kundrörligheten på fondmarknaden. / Background: In Sweden, there is a great interest in private fund savings. The major banks in Sweden offer several funds and constitute the majority of the Swedish fund market. Fund managers' goal with an active fund is to generate a higher return compared to its benchmark index, but previous research has shown that active funds rarely outperform the benchmark index. Purpose: The purpose of this study is to investigate why individuals retain fund holdings in the Swedish major banks’ active funds, although previous studies show that these funds often have higher fees, but not better returns than for example index funds. Methodology: Hypothesis testing has been applied with a quantitative approach derived from existing theory. Empirical primary data has been collected with a physical survey answered by 174 students at Linköping University. In this study, a non-probability sample with a convenience sample has been used. Bivariate and multivariate analysis of the study's empirical data was conducted with logistic regression analysis. Results: The null hypothesis is rejected for the independent variable switching costs (p <0.1). For the independent variables financial knowledge and familiarity bias, the null hypothesis is rejected for the time being (p <0.1). The result of the beta coefficient's direction is negative for switching costs regarding fees and other financial costs, but positive for relationship costs, financial subjective and objective knowledge, and familiarity bias. Conclusions: The independent variables, which might explain why private individuals in this study's sample retain fund holdings in the Swedish major banks' active funds, are switching costs, financial knowledge, and familiarity bias. The results of this study generate a knowledge contribution which might increase customer mobility in the fund market.

Bakgrund: 90-talister i Sverige står inför två tuffa val: att arbeta fram till 70–71-års åldereller att offra vissa angelägenheter idag för att kunna spara en relativt stor summa av sinlön till den framtida pensionen. Dagens pensionärer visar ett missnöje för sin ekonomiskasituation och med tanke på de sämre förutsättningarna som föreligger för 90-talister gällerdet att ta tag i pensionsförberedelser i tid för att ha någon chans att uppnå entillfredsställande pensionssituation. Trots det har det visat sig att unga vuxna skjuter framproblemet till framtiden och prioriterar mer kortsiktiga mål, samtidigt som de förväntarsig en tillfredsställande pensionssituation. Syfte: Studiens syfte är att, med utgångspunkt i en analys av de beteendepsykologiskafallgroparna övertro, ostrich effect och influerande av andra, skapa en djupare förståelseför det potentiella gapet mellan 90-talisters pensionsförväntningar och potentiellapensionssituation. Metod: För att uppfylla studiens syfte och få en djupare förståelse för hur debeteendepsykologiska fallgroparna influerar det potentiella gapet valdes en kvalitativmetod med tio semistrukturerade intervjuer. Genom intervjuerna kunde författarna få enbättre insikt i respondenternas subjektiva verklighet. Slutsats: Studien visar att det i många fall finns ett gap mellan pensionsförväntningar ochen potentiell pensionssituation och att faktorer inom de utvalda beteendepsykologiskafallgroparna både kan bidra till ett ökat och minskat gap. Gapet är stort hos majoritetenav respondenterna, på grund av de genomgående höga förväntningarna. Trots attförväntningarna ofta är för höga i jämförelse med respondenternas förutsättningar ochpensionsförberedelser, går det att skilja på ett positivt och negativt gap. Det viktigaste äratt börja spara i tid, och faktorer såsom självförtroende på egen förmåga och att ta hjälpav en finansiell rådgivare främjar ett pensionssparande och bidrar på så sätt till ett positivtgap, medan faktorer som att tro sig vara bättre än andra och prokrastinering hämmaragerandet och bidrar till ett negativt gap. / Background: Young adults in Sweden face two tough choices: to work until the age of70-71 or to sacrifice certain wants today in order to save a relatively large amount of theirsalary for future retirement. Today's pensioners show dissatisfaction with their financialsituation and, given the inferior conditions that exist for young adults, it is important tostart with retirement preparations in time to have any chance of achieving a satisfactorypension situation. Nevertheless, it has been shown that young adults postpone the problemuntil the future and prioritize more short-term goals, while expecting a satisfactoryretirement situation. Purpose: The purpose of this study is to, based on an analysis of the behavioralpsychological bias of overconfidence, ostrich effect and influence of others, create adeeper understanding of the potential gap between young adults’ retirement expectationsand potential retirement situation. Methodology: To fulfill the purpose of the study and gain a deeper understanding of howthe behavioral psychological biases influence the potential gap, a qualitative method withten semi-structured interviews was chosen. Through the interviews, the authors were ableto gain a better insight into the subjective reality of the respondents. Conclusion: The study shows that, in many cases, there is a gap between retirementexpectations and a potential retirement situation and that factors within the selectedbehavioral psychological biases can contribute to both an increased and a decreased gap.The majority of the respondents have a large gap, due to the consistently highexpectations. Despite the fact that the expectations are often too high in comparison withthe respondents’ conditions and retirement preparations, it is possible to distinguishbetween a positive and a negative gap. The most important thing is to start retirementsavings on time, and factors such as self confidence and taking the help of a financialadviser promote retirement saving and thus contribute to a positive gap, while factorssuch as believing oneself to be better than others and procrastination inhibits action andcontributes to a negative gap.

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.