The aim of this study is to investigate an inter-action and a roleplay activity that takes place every Friday at a preschool in a suburb of Stockholm. The aim is to investigate learning in this activity and how it is corresponding to the curriculum for preschools. What is the teachers aim and how do the children think, talk and act before, during and after the game. It is a qualitative study and data was collected through qualitative interviews, field notes from observations and recordings with my I-phone. The results showed that the play is useful as a pedagogical documentation and as a tool for reflection. According to the educators it is possible to involve the entire curriculum for preschool in this roleplay, such as fundamental value, conflict resolution, children´s participation, traditional topics as mathematics and languages. The activity has developed in a cooperation with children and teachers together.

This work attempts to make a breakthrough in the empirical research of market inefficiency by introducing a new approach, the value frontier method, to estimate the magnitude of stock bubbles, which has been an interesting topic that has attracted a lot of research attention in the past. The theoretical framework stems from the basic argument of Blanchard & Watson’s (1982) rational expectation of asset value that should be equal to the fundamental value of the stock, and the argument of Scheinkman & Xiong (2003) and Hong, Scheinkman & Xiong (2006) that bubbles are formed by heterogeneous beliefs which can be refined as the optimism effect and the resale option effect. The applications of the value frontier methodology are demonstrated in this work at the market level and the firm level respectively. The estimated bubbles at the market level enable us to analyse bubble changes over time among 37 countries across the world, which helps further examine the relationship between economic factors (e.g. inflation) and bubbles. Firm-level bubbles are estimated in two developed markets, the US and the UK, as well as one emerging market, China. We found that the market-average bubble is less volatile than industry-level bubbles. This finding provides a compelling explanation to the failure of many existing studies in testing the existence of bubbles at the whole market level. In addition, the significant decreasing trend of Chinese bubbles and their co-moving tendency with the UK and the US markets offer us evidence in support of our argument that even in an immature market, investors can improve their investment perceptions towards rationality by learning not only from previous experience but also from other opened markets. Furthermore, following the arguments of “sustainable bubbles” from Binswanger (1999) and Scheinkman & Xiong (2003), we reinforce their claims at the end that a market with bubbles can also be labelled efficient; in particular, it has three forms of efficiency. First, a market without bubbles is completely efficient from the perspective of investors’ responsiveness to given information; secondly, a market with “sustainable bubbles” (bubbles that co-move with the economy), which results from rational responses to economic conditions, is in the strong form of information-responsive efficiency; thirdly, a market with “non-sustainable bubbles”, i.e. the bubble changes are not linked closely with economic foundations, is in the weak form of information-responsive efficiency.

[pt] O objetivo desta tese é entender o papel de frições de credito em modelos de Equilíbrio Geral com mercados financeiros incompletos. Primeiro, o trabalho estuda a importância das restrições ao endividamento dos agentes para a existência de equilíbrio monetário em uma economia com informação simétrica onde a moeda (aqui caracterizada como um ativo que não paga dividendos, pode ser vendido a descoberto e está em oferta líquida positiva) tem apenas o papel de reserva de valor e é o único ativo da economia. Além disso, mostra que, apesar da moeda possibilitar as transferências de riqueza intertemporais e entre os estados da natureza, o equilíbrio monetário ainda é Pareto ineficiente. A tese também caracteriza a hipótese de impaciência uniforme, um importante requerimento para a existência de equilibrio, em termos das propriedades assintóticas dos fatores de desconto intertemporal. Como consequência, mostra que desconto hiperbólico é incompatível com a impaciência uniforme de funções de utilidade separáveis. Finalmente, mostra que, se os ativos financeiros são colateralizados para a proteção dos emprestadores em caso de default, sempre existe equilíbrio em um modelo de dois períodos com mercados incompletos e informação assimétrica onde os ativos são nominais, independente da estrutura informacional. / [en] This thesis aims to understand the role of credit frictions in general equilibrium models with incomplete financial markets. First, this work studies the importance of debt constraints for the existence of monetary equilibrium in an economy with symmetric information and where money has only the role of store of value. It also characterizes the uniform impatience assumption, an important requirement to equilibrium existence, in terms of asymptotic properties on intertemporal discount factors. Finally, it shows that, if assets are collateralized in order to protect lenders in the case of default, equilibrium always exists in a two-period incomplete markets model of asymmetric information with nominal assets, independently of the financial-informational structure.

Abstract  Master thesis in Business Administration, School of Business and Economics Linnaeus University 4FE17E VT2022  Authors: Eric Månsson & Marcus Nykvist  Supervisor: Magnus Willesson  Examiner: Christopher von Koch  Title: Identifying Reflexivity  Keywords: Reflexivity, EMH, AMH, fundamental value, market value, feedback loop, cognitive function, manipulative function.  Background: Current economic theory describes the risks the financial markets face as exogenous in nature. Several studies suggest the presence of an unaccounted-for risk which is not exogenous in nature but endogenous. Seemingly, the initial risk is exogenous but through the interaction between the market and its participants this risk can be either amplified or dulled. As such, current economic theory illustrates only partially the risks of financial markets as they do not account for endogenous risk. A theory is necessary which not only acknowledges the influence of exogenous risk but also considers the impact of endogenous risk after the fact. The theory of reflexivity offers a solution to this problem as it considers the interactions between the market and its participants and how these two affect each other, through the so-called cognitive- and manipulative function.  Purpose: As reflexivity entails a more complete description of the behavior of financial markets than current economic theory, the purpose of this study is to identify its occurrence.  Method: This study uses a deductive research approach along with a quantitative strategy to test its purpose. The utilized model is constructed through the theory of reflexivity and the implications this theory poses toward statistical testing. The study conducts its testing on a random sample of firms from the S&P 500 between 1992-2021 using annual data.  Results: The results of the study are invalidated due to the use of weak instruments in the market model, and due to a lack of endogeneity in the fundamental model. As such, the occurrence of reflexivity cannot be confirmed through this study. An interesting ancillary finding however is a methodological implication which suggests that different proxies for fundamental value as well as different instrumental variables may be necessary given a certain context to identify endogeneity and instrumental relevance respectively. / Sammanfattning  Examensarbete, Ekonomihögskolan vid Linnéuniversitetet, Företagsekonomi 4FE17E VT2022  Författare: Eric Månsson & Marcus Nykvist  Handledare: Magnus Willesson  Examinator: Christopher von Koch  Titel: Identifying Reflexivity  Sökord: Reflexivity, EMH, AMH, fundamental value, market value, feedback loop, cognitive function, manipulative function.  Bakgrund: Nuvarande ekonomiska teorier behandlar de risker som finns på de finansiella marknader som exogena. Hursomhelst, flertalet studier indikerar att det även finns risker som inte har tagits i beaktning och som eventuellt kan anses vara endogena. Det verkar därmed som att den ursprungliga risken är endogen, men genom samspelet mellan marknad och dess deltagare kan denna stärkas eller dämpas. Till följd av detta verkar det som att de nuvarande ekonomiska teorierna bara tar hänsyn till en del av alla de risker som existerar på de finansiella marknaderna. Med andra ord, det behövs en teori som inte bara tar hänsyn till de exogena riskerna, men som också uppmärksammar de endogena riskerna. Reflexivity erbjuder en sådan lösning i och med dess hänseende till interaktionen mellan marknad och marknadsdeltagare och dessas påverkan på varandra genom de så kallade kognitiva och manipulativa funktioner.  Syfte: Syftet med detta arbete är att identifiera reflexivity på marknaderna, eftersom att denna teori erbjuder en mer heltäckande beskrivning av marknadsbeteendet.  Metod: Tillvägagångssättet i denna studie är i form av en deduktiv forskning med en kvantitativ strategi för att testa syftet. Modellen som används är uppbyggd genom reflexivity-teorin och dess innebörd som denna teori har för statistisk testning. Testningen utgår från ett slumpmässigt urval av företag från S&P 500 mellan 1992 och 2021 på en årlig basis.  Resultat: Resultaten från denna studie ogiltigförklarades på grund av svaga instrumentala variabler i testningen och till följd av bristande endogenitet i den fundamentala modellen. Det gick därmed inte att bekräfta förekomsten av reflexivity genom denna studie.

隨著中國大陸經濟的高度成長，不動產市場也隨之發展。在貸款利率及不動產相關稅負長期偏低之下，住宅產品的投資需求不斷上升，使得房價一路高漲。房屋價格的增幅過大、增速過高，已經超出了合理的範圍。截至2010年，中國大陸推出一系列以抑制房價為主要目的的宏觀調控政策，許多重點城市也陸續推出以“限購令”為主要內容的地方性政策來調控不動產市場。由於中國大陸地幅遼闊，各地的不動產市場因受各種因素影響而發展各異，因此挑選了北京、上海、廣州三個頗具代表性的重點城市作為研究對象。本文應用年租金與加權平均資本成本（WACC）還原基本價值，以其與市場價格間的差距作為泡沫程度的估計，計算出這三個城市2007年至2012年間不動產價格泡沫程度。藉由這三個城市的不動產市場泡沫狀況，運用共整合分析檢視中國城市不動產價格泡沫的影響因素，并以Granger因果關係檢定探討三地不動產價格泡沫與各因素之領先落後關係。 實證結果顯示，人均可支配收入和金融機構各項信貸總額對不動產價格泡沫具有正向影響，不動產價格泡沫則對其本身具有負向影響，而抵押貸款利率與不動產價格泡沫先是正相關而後轉為負相關的關係。而根據Granger因果關係檢定結果，北京不動產價格泡沫落後於金融機構各項貸款總額，而上海不動產價格泡沫領先於人均可支配收入，廣州不動產價格泡沫則落後於人均可支配收入、抵押貸款利率與金融機構各項貸款總額。 / With the rapid economic development in China, the real estate market has been undergoing a great boom. The low interest and tax rates are very favorable for the continuously increasing house demands, and thus resulting in higher housing prices. And the extremely rapidly increasing housing prices are not reasonable. Until 2010, Chinese government had published a series of national housing regulatory decisions to address the over-heating real estate market. And the restrictions on house purchase have been put into practice in some major cities. Given that China has a vast territory with large variety, the impact of these regulations on the local real estate markets of the cities can hardly be determined. Therefore, we study here the real estate market in Beijing, Shanghai and Guangzhou, three of the most representative major cities in China. This study evaluates the housing bubbles situations in these cities from 2007 to 2012 by comparing fundamental values with market prices. The fundamental value of real estate can be calculated by annual rents and WACC. Based on the evaluated housing bubbles situations, this study then applies Cointegration analysis to further explore the factors that may contribute to China’s housing bubbles. In addition, Granger causality test is employed to examine the lead/lag relationship between housing bubbles and the variables. The empirical result shows that per-capita disposable incomes and total loans of financial institutions are positively related to China’s housing bubbles. And the housing bubbles in these three cities are negatively related to themselves. In addition, the impact of interest rates on housing bubbles is positive and later turns negative with respect to the magnitude of increasing rates. According to the results of Granger causality tests, Beijing’s housing bubbles are Granger caused by total loans while property bubbles in Shanghai lead personal incomes. Furthermore, housing bubbles in Guangzhou are Granger caused by personal disposable incomes, interest rates and total loans.

L’objectif des travaux présentés dans cette thèse est d’étudier la diffusion de l’information dans les marchés financiers. Considérant comme établi que les individus sont hétérogènes et à rationalité limitée, nous avons fondé nos travaux sur une catégorie de modèles computationnels dans le but de simuler les actions et les interactions des agents autonomes. Cette catégorie est communément nommée modélisation agent (ABM).Plus concrètement, cette recherche se concentre sur le rôle de l’hétérogénéité des agents dans la diffusion et l’utilisation de l’information. À cet effet, nous avons développé deux structures de marché, qui diffèrent par leur transparence. Dans les chapitres 1 et 2, nous introduisons un marché centralisé, où une partie du carnet d’ordre est accessible (information publique). Dans le chapitre 3, nous développons un marché de gré à gré dans lequel les agents négocient et échangent avec leurs relations. / The piece of work’s aim is to understand information diffusion in financial markets. Starting from the empirical evidences that agents are heterogeneous and bounded rational, we based our investigations on a class of computational models for simulating the actions and interactions of autonomous agents: the agent - based model (ABM). More precisely, this research focuses on the impacts of agents heterogeneity in diffusion and use of information. For this purpose, we developed two market structures, in which the market transparency varies. In the chapters 1 and 2, we introduce a centralised market, where a part of the order-book is available as a public information. In the chapter 3, we build an Over-The-Counter market, where agents bargains with their trading contacts.

The phenomenon of financial bubbles is known to have impacted various markets since the seventeenth century. Such bubbles are known to form when the market drastically overvalues the price of an asset, causing its market value to increase hyperbolically, only to suddenly collapse once the untenable perceived future prospects of the asset are realized. Hence, it remains crucial for investors to be able to sell off assets residing within a bubble before they burst and their value is significantly diminished. Thus, portfolio optimization methods capable of accounting for financial bubbles in stock dynamics is a field of great value and interest for market participants. Portfolio optimization with respect to the mean-field is a relatively novel approach to accounting for the bubble-phenomenon. Hence, this paper investigates a previously unattempted method of portfolio optimization, providing a mean-field solution to the mean-variance trade-off problem, as well as providing new definitions of stock dynamics capable of diverting investors from bubbles. / Finansiella bubblor är ett fenomen som har påverkat marknader sedan 1600-talet. Bubblor tenderar att skapas när marknaden kraftigt övervärderar en tillgång vilket orsakar en hyperbolisk tillväxt i marknadspriset. Detta följs av en plötslig kollaps. Därför är det viktigt för investerare att kunna minska sin exponering mot aktier som befinner sig i en bubbla, så att risken för stora plötsliga förluster reduceras. Således är portföljoptimering där aktiedynamiken tar hänsyn till bubblor av högt intresse för marknadsdeltagare. Portföljoptimering med avseende på medelfältet är ett relativt nytt tillvägagångssätt för att behandla bubbelfenomen. Av denna anledning undersöks i detta arbete en hittills oprövad lösningsmetod som möjliggör en medelfältslösning till avvägningen mellan förväntad avkastning och risk. Där-utöver presenteras även ett antal nya modeller för aktier som kan bortleda investerare från bubblor.