The purpose and intent of this study is to conduct comparative research between domestic and foreign investors in regard to short selling positions on the Swedish financial market. The performance differences are measured by compounding short selling positions by the investors between 2015-2018. Two comparative methods were utilized to conduct this research: The cumulative abnormal return (CAR) and the buy-and-hold abnormal return, with each calculation being utilized in accordance with Barber & Lyon (1997). The produced results have been scrutinized via univariate descriptive statistics (t-test) and a regression in order to verify if there is any significant difference between the investors. The result of the study shows that there is a tangible, noteworthy difference in an average performance amongst the investors. We can now recognize that foreign investors who hold their short selling positions for a longer time-period demonstrate better performance. To compare with the domestic investors, their displayed trading behavior seems to be more unpredictable and they have not been performing as good in this selected time-interval.

Sobre os novos rumos das relações econômicas no ambiente virtual há que se observar a criação da moeda digital e suas implicações para o mercado de financeiro e para a soberania estatal mundial. O desenvolvimento de uma moeda digital é uma tecnologia que desafia a legitimidade do regime estatal como controlador da moeda e coloca a questão primordial: se a emissão de moeda, vinculada ao Estado, é expressão da soberania nacional na ordem econômica e se seria possível a soberania nacional na ordem econômica, em uma modelo de moedas privadas, isto é, sem controle por parte de uma autoridade central. / The creation of the digital currency and its implications for the financial market and world state sovereignty must be observed on the new directions of economic relations in the virtual environment. The development of a digital currency is a technology that challenges the legitimacy of the state regime as the controller of the currency and asks the primary question: if the issue of money, linked to the State, is an expression of national sovereignty in the economic order and if sovereignty would be possible national in the economic order, in a model of private currencies, that is, without control by a central authority.

The outcome of this thesis are the weights of each parameter of payment methods that are used to interpret consumer recommendations and conclusions. The research revealed that consumers mostly used payment method for purchases from online stores is delivery, although it does not seem like a good choice. Instead of delivery, I may recommend credit card payment, which has only one weakness and that is security. This weakness can be put down by purchasing only at trusted sellers. It is also meant to be the fastest way of payment. Also payment through a text message is convenient and easy. The results of my thesis can be used by consumers to help orient themeselves between the payment systems used for online store purchases, as well as the operators themselves.

Submitted by (ana.araujo@ufrpe.br) on 2016-08-08T14:55:37Z No. of bitstreams: 1 Milton Perceus Santos de Melo.pdf: 1526107 bytes, checksum: 8609667ad83d16fec1954e87b9d82745 (MD5) / Made available in DSpace on 2016-08-08T14:55:37Z (GMT). No. of bitstreams: 1 Milton Perceus Santos de Melo.pdf: 1526107 bytes, checksum: 8609667ad83d16fec1954e87b9d82745 (MD5) Previous issue date: 2012-03-09 / Conselho Nacional de Pesquisa e Desenvolvimento Científico e Tecnológico - CNPq / Usually after planting, the agricultural property attempts to assess the operational performance of the previous years through studies in order to face posteriorly a new period of activities with the beginning of a new crop. The results led the landowners to create expectations about the expansion or reduction of crops, staff hiring, supply purchasing and new investments. All these questions are relevant deriving from climatic variations, pest manifestations and from fluctuations in the economy which directly influence in the the prices of the agricultural products. However the producers face the need of making decisions which often completely change the operating process of production. In large scale these decisions influence directly the supply and the price of the products. Having in consideration that the techniques used in agricultural planning are of great value for the producers, a decision aid methodology which considers the risks in the process is applied on the spot market of agricultural commodities in order to provide the best combination of variables aiming the profit optimization. Therefore, in this it was jointly used simulation technique and linear programming taking into account the existent correlations between the coefficients of the model. The data were obtained from historic trends regarding the monthly average price of 44 agricultural commodities commercialized in the European spot market since January 1960 till September 2011. Regarding the computational part, it was used the software SAS, version 5.2. By applying the proposed method the results show that the use of simulation without dependence did not underestimate the risk when compared to the simulation with dependence and they also show that the technique did not allow the perception of the best moment to make the investment, yet fully satisfactory as a decision support tool. / Comumente após o plantio, a propriedade agrícola tenta avaliar o desempenho operacional dos anos anteriores através de estudos para posteriormente enfrentar um novo período de atividades com o início de uma nova safra. Os resultados levam os proprietários agrícolas a criar expectativas em torno de expansão ou redução de culturas, contratação de pessoal, compra de insumos e a novos investimentos. Todas estas indagações são pertinentes, provenientes de variações climáticas, manifestações de pragas e oscilações na economia que influenciam diretamente no preço dos produtos agrícolas. Contudo, os produtores deparam-se com a necessidade de tomar decisões que, muitas vezes, alteram completamente o processo operacional da produção. Em larga escala, estas decisões influenciam diretamente na oferta e no preço dos produtos. Entendendo que as técnicas utilizadas no planejamento agrícola são de grande valia para os produtores, uma metodologia de auxílio à decisão que consideram os riscos presentes no processo é aplicada no mercado à vista de commodities agrícolas com o objetivo de fornecer a melhor combinação de variáveis visando à otimização do lucro. Portanto, nesta dissertação foi utilizada uma técnica de simulação e programação linear, conjuntamente, levando em consideração as correlações existentes entre os coeficientes do modelo. Os dados foram obtidos de séries históricas referentes ao preço médio mensal de 44 commodities agrícolas comercializadas no mercado europeu à vista no período de janeiro de 1960 a setembro de 2011. Quanto à parte computacional, foi utilizado o software SAS, versão 9.2. Com a aplicação do método proposto, os resultados encontrados mostram que o uso da simulação sem dependência não subestimou o risco quando comparado à simulação com dependência e que a técnica não possibilitou a percepção do melhor momento para realizar o investimento, no entanto plenamente satisfatória como ferramenta de suporte à decisão.

In financial markets, momentum effect can be defined as the tendency of prices to maintain their short term movements. On the other hand, reversal effect is usually understood to be the change in direction of long term price movements. This paper examines whether momentum and reversal effects were in evidence in the Brazilian stock market between January 1999 and June 2012. After calculating 1296 trading strategies, no evidence of reversal effect is found. With regard to momentum effect, some weak evidence is presented for the very short term. Exposure to risk factors can explain returns on strategies, including returns on momentum strategies. The results are borne out with different market proxy specifications and size subsamples. When compared to previous studies, the results raise the question of whether the reversal effect is vanishing from the Brazilian stock market and whether the traces of momentum are sufficient to confirm its existence. Furthermore, evidence of seasonality is found for June in momentum strategies and for November in both reversal and momentum strategies. Subsequent tests reveal that the effects of seasonality are limited to small stocks. / Nos mercados financeiros, o efeito momento pode ser definido como a tendência dos preços em manter seus movimentos de curto prazo. Por outro lado, o efeito contrário é geralmente entendido como a mudança na direção dos movimentos de longo prazo dos preços. O presente trabalho examina a existência dos efeitos momento e contrário no mercado acionário brasileiro no período compreendido entre janeiro de 1999 e junho de 2012. A partir do cálculo de 1296 estratégias de investimento, nenhuma evidência de efeito contrário é encontrada. Com relação ao efeito momento, observou-se apenas uma fraca evidência no curtíssimo prazo. A exposição aos fatores de risco é capaz de explicar os retornos das estratégias, inclusive os retornos das estratégias de momento. Os resultados são robustos ao se utilizar diferentes especificações de proxy de mercado e subamostras de valor de mercado. Quando comparados a trabalhos anteriores, os resultados colocam em questão se o efeito contrário está desaparecendo no mercado acionário brasileiro e se as fracas evidências do efeito momento são suficientes para confirmar sua existência. Ademais, são observadas evidências de sazonalidade no mês de junho nas estratégias de momento e, no mês de novembro, em ambas as estratégias. Testes posteriores revelam que esses efeitos de sazonalidade estão restritos à subamostra de baixo valor de mercado.

In this study, we analyze the impact of financial development and market conditions on investment-cash flow sensitivity during the 2006-2014 for 76 countries. First, the results show a relationship between investment-cash flow sensitivity and an index of financial development and its components. Second, 68 countries are affected by the 2008-2009 financial crisis, but only 16 countries exhibit a higher investment-cash flow sensitivity during the crisis. Third, investment-cash flow sensitivity is lower in countries with a larger primary debt market, while the size of the primary equity market has no impact. Finally, analyzing investment-cash flow sensitivity over time, we find lower sensitivity during years associated with higher primary debt market activity. / Neste estudo, analisamos o impacto do desenvolvimento financeiro e das condições de mercado sobre a relação fluxo de caixa-investimento (\"investment-cash flow sensitivity\") para 76 países no período de 2006 a 2014. Primeiro, os resultados mostram que existe relação entre \"investment-cash flow sensitivity\" e o indicador de desenvolvimento financeiro e seus componentes. Segundo, 68 países são afetados pela crise financeira de 2008-2009, mas apenas 16 países apresentam um incremento da relação fluxo de caixa-investimento durante o período de crise. Terceiro, a relação fluxo de caixa-investimento decresce em países com maiores mercados de títulos de dívidas, enquanto o mercado acionário não apresenta efeito sobre o coeficiente. Por fim, ao analisar a relação fluxo de caixa-investimento no tempo, encontramos que o coeficiente decresce na presença de maior atividade de emissões de títulos de dívidas por parte das empresas.

A internet é, seguramente, a mídia que mais se expande no mundo, tendo importância crescente em todos os campos da atividade humana, seja profissional, educacional ou meramente recreativo. Essa importância é visível não apenas no grande número de pessoas que a usam em seu dia-a-dia (cerca de 33 milhões de pessoas no Brasil, 220 milhões nos Estados Unidos e mais de 1 bilhão de pessoas no mundo inteiro), nem somente pelo ritmo de crescimento nos primeiros anos da web comercial, mas principalmente pelo enorme leque de possibilidades de conteúdos e serviços disponíveis para os internautas. Dentre essas possibilidades estão os serviços de comércio eletrônico ou ecommerce, um dos mais importantes e com maior crescimento nos últimos anos, e o internet banking ou e-banking, responsável por profundas mudanças na relação dos usuários de serviços bancários com seus bancos, chegando ao ponto de correntistas não freqüentarem suas agências bancárias por anos seguidos, servindo-se apenas dos serviços online para resolver seus problemas diários e usando-se dos ATMs para saques financeiros. Esta dissertação tem o intuito de aprofundar o conhecimento da relação dos internautas com esses dois serviços, e-commerce e e-banking, analisando o fato de os dados disponíveis sobre o uso residencial da internet no Brasil indicarem que há queda no uso do segundo serviço, enquanto o primeiro continua em contínua ascensão. Esse conhecimento é importante, principalmente porque ambos são considerados similares pela literatura e, além disso, apresentavam curvas de crescimento similar até o final de 2003. Esse conhecimento passa também por entender o motivo que faz com que a intersecção dos grupos de usuários residenciais dos dois serviços seja em torno de 50% apenas, já que o internauta brasileiro, basicamente das classes A e B, tende a ser um consumidor de ambos os serviços off-line. / The internet is, for sure, the media with faster and higher growth in the world, with growing importance in all areas of human activities, from professional, educational or for entertainment. Such importance is visible not only because there are a huge number people with internet access for daily activities (around 33 million in Brazil, 220 million in the United States and 1 billion people around the world, nor because its very positive growth curve, but mainly due to its range of possibilities of contents and services available to the users. Among these possibilities are the e-commerce, one of the most important and with great growth during the recent years, and the e-banking, responsible for deep changes in the relation between banking services users and the banks, allowing some clients to stop visiting their physical agencies, using only the online channel to solve their daily problems and the ATMs to get some cash. This work intends to go deep in the knowledge of the relation among the internet users and the two services, namely e-commerce e e-banking, analyzing why the available at-home data about the Brazilian web use indicates that the second mentioned service loses audience, while the first one continues to grow in terms of visitors. Such knowledge is important, especially because both services are considered similar by the literature and, besides that, used to present a similar growth curve until de end of the year 2003. This knowledge also needs to understand why the intersection of the two groups of domestic users of both mentioned services is around 50% only, as the Brazilian internet user belongs to the richest A and B socio-economic classes, and because of this fact tends to be a consumer of both services off-line.

Submitted by Hugo Rego (hl_freitas@yahoo.com.br) on 2012-05-20T18:47:32Z No. of bitstreams: 1 Dissertação de Mestrado_Hugo L F de Moraes Rêgo.pdf: 699903 bytes, checksum: 7d039f1507408214660b09b7998f05b3 (MD5) / Approved for entry into archive by Gisele Isaura Hannickel (gisele.hannickel@fgv.br) on 2012-05-21T12:11:12Z (GMT) No. of bitstreams: 1 Dissertação de Mestrado_Hugo L F de Moraes Rêgo.pdf: 699903 bytes, checksum: 7d039f1507408214660b09b7998f05b3 (MD5) / Made available in DSpace on 2012-05-21T12:30:46Z (GMT). No. of bitstreams: 1 Dissertação de Mestrado_Hugo L F de Moraes Rêgo.pdf: 699903 bytes, checksum: 7d039f1507408214660b09b7998f05b3 (MD5) Previous issue date: 2012-04-19 / The goal of this work was to compare two different asset allocation methodologies, the classic and the Bayesian one. The utilized model was that of Meucci (2005). In order to reach this goal, empirical exercises were performed, utilizing data from the Brazilian financial market. The results found indicate that the Bayesian asset portfolio outperformed the classic one in terms of return and volatility, whereas the classic portfolio outperformed the market index. Moreover, this work also comprises modifications in the prior utilized in the Bayesian estimation. / Este trabalho teve como objetivo comparar duas metodologias de alocação ótima de ativos, a metodologia clássica e a metodologia bayesiana. O modelo utilizado foi o de Meucci (2005). Foram realizados diversos exercícios empíricos de montagem de carteiras de ativos seguindo essas metodologias, utilizando para isso dados do mercado acionário brasileiro. Os resultados encontrados indicam uma superioridade de desempenho, tanto em termos de retorno quanto de volatilidade, da carteira bayesiana em relação à clássica e desta em relação ao índice de mercado. Ademais, o trabalho também compreende modificações na prior utilizada na estimação bayesiana.

Cette thèse porte sur la modélisation, la prévision et la couverture du risque de contagion financière. Après une présentation générale des fondements théoriques et des mécanismes de propagation relatifs à la contagion financière, nous introduisons une modélisation fondée sur les modèles de cointégration non linéaire et de causalité non linéaire dans lesquels, les variables et le terme d’erreur du modèle à correction d’erreur obéissent à la dynamique de processus auto-régressifs à changement de régime de type TAR et M-TAR pour capter l’effet de contagion. Une extension de cette modélisation au cadre de prévision probabiliste conditionnelle a été faite par la suite à travers les réseaux de croyance Bayésienne pour renforcer le pouvoir prédictif. Ensuite, nous montrons comment une institution financière peut couvrir son portefeuille contre ce type de risque par de nouvelles approches. Nous proposons pour cela, une stratégie de couverture purement statique dans une perspective règlementaire à l’aide de modèles génératifs de type Vines-copula, une stratégie de couverture semi-statique fondée sur la budgétisation des risques et une stratégie de couverture dynamique à partir des processus de diffusion à sauts mutualisés. Ces nouvelles modélisations sont testées empiriquement sur un ensemble d’indices boursiers. / This Ph.D thesis focuses on modeling, forecasting and hedging financial contagion. After an overview of the theoretical foundations and spread mechanism relating to financial contagion, we introduce modeling based on nonlinear cointegration and non-linear causality models in which the variables and the error term in the correction model error obey at the dynamics of autoregressive regime change process of type TAR and M-TAR to catch the contagion effect. An extension of this model to conditional probabilistic forecasting framework was done through Bayesian belief networks, to enhance the predictive power. Then we show how a financial institution can hedge its portfolio against this risk by new specifications. Therefore, we offer a purely static hedging strategy in a regulatory perspective using generative models Vines-copula, a semi-static hedging strategy based on risk budgeting and dynamic hedging strategy based on mutually exciting jumps diffusion process. These new models are tested empirically on set of market indices.

Ontologies are a key factor of Information management as they provide a common representation to any domain. Historically, finance domain has suffered from a lack of efficiency in managing vast amounts of financial data, a lack of communication and knowledge sharing between analysts. Particularly, with the growth of fraud in financial markets, cases are challenging, complex, and involve a huge volume of information. Gathering facts and evidence is often complex. Thus, the impetus for building a financial fraud ontology arises from the continuous improvement and development of financial market surveillance systems with high analytical capabilities to capture frauds which is essential to guarantee and preserve an efficient market.This thesis proposes an ontology-based approach for financial market surveillance systems. The proposed ontology acts as a semantic representation of mining concepts from unstructured resources and other internet sources (corpus). The ontology contains a comprehensive concept system that can act as a semantically rich knowledge base for a market monitoring system. This could help fraud analysts to understand financial fraud practices, assist open investigation by managing relevant facts gathered for case investigations, providing early detection techniques of fraudulent activities, developing prevention practices, and sharing manipulation patterns from prosecuted cases with investigators and relevant users. The usefulness of the ontology will be evaluated through three case studies, which not only help to explain how manipulation in markets works, but will also demonstrate how the ontology can be used as a framework for the extraction process and capturing information related to financial fraud, to improve the performance of surveillance systems in fraud monitoring. Given that most manipulation cases occur in the unregulated markets, this thesis uses a sample of fraud cases from the unregulated markets. On the empirical side, the thesis presents examples of novel applications of text-mining tools and data-processing components, developing off-line surveillance systems that are fully working prototypes which could train the ontology in the most recent manipulation techniques.