Standard finance theory portrays investors as rational utility maximisers. Persisting market anomalies and observed investor practice, however, have led to widespread recognition that the fundamental axioms of rationality are often violated. In response to the limitations inherent in standard theory, the Behavioural Finance approach relaxes the rationality assumption and takes account of psychological influences on individuals’ decision-making processes. Adopting the behavioural approach, this thesis, which includes two empirical studies, examines why, and to what extent, investors depart from rational or optimal investment practices. The thesis examines the effect of Myopic Loss Aversion (MLA) suggested by Benartzi and Thaler (1995) as a response to the Equity Premium Puzzle highlighted by Mehra and Prescott (1985). While previous studies are almost exclusively based on experiments in a laboratory setting, this approach provides more compelling empirical evidence by investigating the effects of MLA on real individual investors’ portfolio allocations through the use of the Dutch National Bank Household Survey. For the first time, the concept of MLA is identified through the interaction of two separate effects, firstly, individuals’ myopia, reflected in portfolio evaluation and rebalancing frequencies, and secondly, loss aversion. The thesis finds that individuals who are less affected by MLA invest more in risky financial assets. Further, individuals who are less myopic increase their share of risky assets invested in their financial portfolios over time, although this is unrelated to their loss aversion. These findings support the prediction of MLA theory that short investment horizons and high loss aversion lead to a significantly lower share of risky investments. In summary, the high equity premium can be explained by the notion of MLA. If individuals evaluate their investment performance over the long-term, they perceive much smaller risks relative to stockholding returns; consequently, they will be prepared to accept smaller equity premiums. The findings suggest possible interventions by policy makers and investment advisors to encourage individuals to remain in the stock market, such as providing long-term investment instruments, or restricting evaluation frequency to the annual reporting of investment performance. In response to the stockholding puzzle (Haliassos and Bertaut, 1995), this thesis also investigates individuals’ stock market returns expectations and their varying levels of risk aversion. Previous studies find that individuals’ heterogeneous stock market expectations determine variations in their stockholdings. The thesis accounts for the effect of risk aversion on stock market expectations, as well as on stockholding decisions. Additionally, the causality issue as between individuals’ expectations and stockholding status is controlled. The thesis finds that more risk averse individuals hold lower stock market expectations, and that the stock market return expectations of more risk averse individuals affect their stock market participation decisions negatively. The portfolio allocation decisions of individuals who already hold stocks are only affected by their expectations, with risk aversion being no longer significant. The thesis argues that persistent risk aversion effects cause individuals to hold pessimistic views of stock market returns, thus contributing to the enduring stockholding puzzle. The thesis reinforces existing perceptions that individuals in the real world may not make fully rational decisions due to their judgments which are based on heuristics and affected by cognitive biases. Individual investors often fail to maximise their utility given their preferences and constraints. Consequently, this thesis draws attention to the possible role of institutions, policy makers, and financial advisory bodies in providing effective interventions and guidelines to improve individuals’ financial decisions.

A central topic in behavioural finance is extensive trading. One of the most common behav- ioural explanations for this phenomenon is overconfidence. In finance, overconfident traders feel that their information is sufficient to justify a trade even though it is not. Investors who consider themselves to be above average in their level of expertise show higher trading volumes. During the COVID-19 pandemic, the trading volume in the financial markets increased significantly. Further, young and inexperienced traders entered financial markets and volatility increased. Overconfidence could provide explanations for some of these financial market particularities. The study of Glaser and Weber (2007), which investigates the correlation of overconfidence and trading volume, lays the foundation for this study. We extend their research with a survey testing the degree of overconfidence and trading volume during COVID-19. The central aim of the thesis is to investigate to what extent overconfidence influences the trading volume during the COVID-19 pandemic. The analysis is unable to show a significant positive effect of overconfidence on the trading volume during COVID-19. But our research supports the findings that younger and inexperienced traders entered the market during 2020, who are on average more overconfident than experienced traders. The results further show that retail investors with more than two years of trading experience have significantly increased their trading volume during COVID-19. The analysis also provides evidence that during the COVID- 19 pandemic, traders who assign themselves above average within their investment skills traded significantly more.

This dissertation studies three topics in financial economics. In the first chapter, "ESG Investing in Emerging Markets: Betting on Firm Fundamentals or Riding Investor Preferences?", we examine the relation between firms' environmental, social, and governance (ESG) practices and the pricing of corporate bonds in emerging markets, which is an important yet understudied market for ESG-related issues. Firms with different ESG scores can have different costs of capital, either because ESG scores help forecast future cash flows -- the "fundamental" channel -- or because investors have non-pecuniary preferences for high-ESG-score assets -- the "preference" channel. We identify the existence of a preference channel with a natural experiment -- the historical opening of the Chinese onshore bond market -- that leads to an increase in the proportion of international investors, who are more ESG-conscious. Consistent with theory, we find that the bond yield of companies with high ESG scores decreases more than that of companies with low ESG scores. By focusing on firms that also have bonds traded in the offshore market, which, as opposed to the onshore market, does not experience any change in regulation, we can control for issuer-time fixed effects in a triple difference design, hence reducing considerably the influence of the fundamental channel. In the second chapter, "Watch what they do, not what they say: Estimating regulatory costs from revealed preferences", we show that distortion in the size distribution of banks around regulatory thresholds can be used to identify costs of bank regulation. We build a structural model in which banks can strategically bunch their assets below regulatory thresholds to avoid regulations. The resulting distortion in the size distribution of banks reveals the magnitude of regulatory costs. Using U.S. bank data, we estimate the regulatory costs imposed by the Dodd-Frank Act. Although the estimated regulatory costs are substantial, they are significantly lower than those in self-reported estimates by banks. In the third chapter, "Fuzzy Bunching", we introduce a new fuzzy bunching approach that is robust to noise. The existing bunching approach identifies the extent of bunching from a sharp spike in the probability density function. In many finance settings, however, the sharp spike could be diffused by data noise. The key idea behind our fuzzy bunching estimator is to identify bunching from the area of a bulge in the cumulative distribution function. The fuzzy bunching approach also avoids density estimation, which makes it easy to implement in sparse data. We provide the theoretical foundation of this approach and illustrate the advantages by using simulated and real data.

The study of macroeconomics and finance has evolved tremendously over the last few decades---significant advancements have taken place in both gaining access to an increasing scale and scope of observational, policy and private data, as well as empirical methods to derive novel economic insights from such data. In this dissertation, I attempt to shed light on three problems broadly across macroeconomics and asset pricing, taking a data-driven approach to answer them. For the first essay, we construct a novel dataset which captures the geographic incidence of government revenues and expenditures. Government revenues and expenditures revenues and expenditures occur on three different levels in the United States: local, state, and federal. At all levels, government revenues and expenditures add and subtract resources from the private sector. The dataset encompasses all revenues and expenditures at the county-level and thus allows to see the net resource allocation through the government. We use this dataset to document several new facts about the relationship between economic activity and the resource allocation by the government. The governments' resource allocation is generally redistributive. That is, levels and changes of median income are associated with the level and changes of net resources. Second, we evaluate response of governmental revenues and spending in response to the China shock. We find a decline in total governmental receipts in counties that are hardest hit, while a muted response of total governmental spending. The aggregate response conceals a lot of heterogeneity: a decomposition at the governmental level shows an increase in expenditures and lower receipts at the federal level; at the local and state level we find a simultaneous reduction of receipts and spending. The latter is a consequence of the balanced budget constraint. Overall, total government spending is approximately constant while total receipts are falling. As a result, the insurance function of the federal government is offset by a reduction at the state and local level which renders total government spending neutral to the China shock. This stands in contrast to prior research which has focused on the federal response. In our second essay, we attempt to answer the question---how should an investor value financial data? The answer is complicated because it depends on the characteristics of all investors. We develop a sufficient statistics approach that uses equilibrium asset return moments to summarize all relevant information about others' characteristics. It can value data that is public or private, about one or many assets, relevant for dividends or for sentiment. While different data types, of course, have different valuations, heterogeneous investors also value the same data very differently, which suggests a low price elasticity for data demand. Heterogeneous investors' data valuations are also affected very differentially by market illiquidity. Lastly, in the third essay, we examine the economic impact of droughts on asset markets, specifically on land valuation. Specifically, we focus on farmland valuations in California---one of the most productive farmlands in the world. The semi-arid climate makes its valuation particularly sensitive to the amount of surface and groundwater water available for irrigation. The detailed administrative transaction data from the counties' assessor offices allows us to estimate repeat sales indices as opposed to a hedonic model which make our results less likely to be affected by omitted variables. We find that parcels with better access to freshwater see a larger appreciation in land values from 2011 to 2020; whereas we find no statistical significant differential price change between 2000-2011. The differential change in land values points towards large economic effects of water scarcity with beliefs about future climatic conditions being updated due to two severe episodes of drought and signals of legislative willingness to curb groundwater overdraft.

As technology and capital markets complexity increases, so does the amount of accounting information disclosed by companies in their financial reports. Nowadays, we reached an impasse, where it is questionable if more information will in fact reduce information asymmetry. Previous authors strongly criticize the length of financial statements and annual reports, arguing that they should communicate more rather than just be voluminous as the current volume of information can be counterproductive to the average individual to acquire, retain and process all available information. Based on evidence of previous accounting literature on presentation format and the psychology theories of attribution theory and cognitive load theory, we hypothesize that, by manipulating accounting information using a more general accessible format such as the narrative one, individual investors are able to better understand accounting information and, thereafter, make a more effective use of it versus the concurrent non-fundamental information available in a standard investment decision making setting. To achieve our research goal, we use a mixed method research strategy with an Exploratory Sequential Design: the qualitative method act as a preparation for the quantitative one. Concerning the qualitative method, we interview- using the Q methodology approach - 31 subjects, being 13 analysts/professional investors and 18 individual investors. Our objective in this phase is to identify patterns in the usage of accounting/non-accounting information by analysts/professional investors, in contrast to individual investors\' information choices. By doing so, we can use the obtained results to base our experimental information choices regarding (a) which accounting information pieces were most preferable to professional investors and (b) the information presentation sequence to be followed in the experimental setting. Next, we develop a 2 X 2 between-subjects experimental design in which we manipulate the presentation format of a hypothetical company between the traditional \'tabular and footnotes\' design versus the narrative content-only design. We also vary the financial performance between \'good\' and \'bad\' to check if the variables of interest would impact (a) investment propensity on the company\'s shares and (b) the amount of information retrieved from memory. As our main results, we find that the narrative format per se does not impact investment propensity and that the alternative presentation format is beneficial for participants with less than 5 years of investment experience in capital markets in the poor financial performance condition, adjusting their investment propensity to the same investment propensity level of more experienced investors. / A medida que a complexidade da tecnologia e dos mercados de capitais aumentou, o montante da informação contábil divulgada pelas empresas em seus relatórios financeiros também aumentou. Atualmente, chegamos a um impasse, onde é questionável se mais informações reduzem a assimetria de informações. Autores anteriores criticam fortemente o tamanho das demonstrações financeiras e relatórios anuais, argumentando que eles devem comunicar mais ao invés de apenas serem volumosos, já que o atual volume de informações pode ser contraproducente para o indivíduo médio adquirir, reter e processar todas as informações disponíveis. Com base na evidência de literatura contábil anterior sobre o formato de apresentação e as teorias de psicologia, teoria da atribuição e teoria da carga cognitiva, temos a hipótese de que, ao manipular informações contábeis através de um formato amplamente mais acessível, como a narrativa, os investidores individuais serão capazes de compreender melhor as informações contábeis e, posteriormente, ter um uso mais proeminente delas em relação às atuais informações não fundamentais disponíveis para uma avaliação de decisão de investimento. Para alcançar nosso objetivo de pesquisa, utiliza-se uma estratégia de pesquisa de método misto com um Desenho Sequencial Exploratório, o método qualitativo atua como uma preparação para o quantitativo. Como método qualitativo, entrevistou-se - usando a abordagem da Metodologia Q - 31 sujeitos, sendo 13 analistas/investidores profissionais e 18 investidores individuais. O objetivo nesta fase foi entender o padrão de comportamento de uso de informações contábeis/não-contábeis por analistas/investidores profissionais, em comparação com as escolhas de informações de investidores individuais. Ao fazê-lo, puderam-se usar os resultados obtidos das entrevistas para basear as escolhas de informações experimentais em relação a (a) quais peças de informação contábil eram mais preferíveis aos investidores profissionais e (b) a sequência de apresentação de informações a seguir na configuração experimental. Em seguida, desenvolve-se um design experimental 2 x 2 entre os sujeitos em que manipulamos o formato de apresentação de uma empresa hipotética entre o design tradicional \'tabular e notas explicativas\' versus o design narrativo apenas de conteúdo. Foi alterado também o desempenho financeiro entre \'bom\' e \'ruim\' para verificar se as variáveis de interesse impactam (a) propensão de investimento nas ações da empresa e (b) a quantidade de informações recuperadas da memória. Como nossos principais resultados, identificamos que o formato narrativo individualmente não afeta a propensão de investimento e que o formato de apresentação alternativa beneficiou os participantes com menos de 5 anos de experiência de investimento nos mercados de capitais na condição de má performance financeira, ajustando sua propensão ao mesmo nível de investimento de investidores mais experientes.

As technology and capital markets complexity increases, so does the amount of accounting information disclosed by companies in their financial reports. Nowadays, we reached an impasse, where it is questionable if more information will in fact reduce information asymmetry. Previous authors strongly criticize the length of financial statements and annual reports, arguing that they should communicate more rather than just be voluminous as the current volume of information can be counterproductive to the average individual to acquire, retain and process all available information. Based on evidence of previous accounting literature on presentation format and the psychology theories of attribution theory and cognitive load theory, we hypothesize that, by manipulating accounting information using a more general accessible format such as the narrative one, individual investors are able to better understand accounting information and, thereafter, make a more effective use of it versus the concurrent non-fundamental information available in a standard investment decision making setting. To achieve our research goal, we use a mixed method research strategy with an Exploratory Sequential Design: the qualitative method act as a preparation for the quantitative one. Concerning the qualitative method, we interview- using the Q methodology approach - 31 subjects, being 13 analysts/professional investors and 18 individual investors. Our objective in this phase is to identify patterns in the usage of accounting/non-accounting information by analysts/professional investors, in contrast to individual investors\' information choices. By doing so, we can use the obtained results to base our experimental information choices regarding (a) which accounting information pieces were most preferable to professional investors and (b) the information presentation sequence to be followed in the experimental setting. Next, we develop a 2 X 2 between-subjects experimental design in which we manipulate the presentation format of a hypothetical company between the traditional \'tabular and footnotes\' design versus the narrative content-only design. We also vary the financial performance between \'good\' and \'bad\' to check if the variables of interest would impact (a) investment propensity on the company\'s shares and (b) the amount of information retrieved from memory. As our main results, we find that the narrative format per se does not impact investment propensity and that the alternative presentation format is beneficial for participants with less than 5 years of investment experience in capital markets in the poor financial performance condition, adjusting their investment propensity to the same investment propensity level of more experienced investors. / A medida que a complexidade da tecnologia e dos mercados de capitais aumentou, o montante da informação contábil divulgada pelas empresas em seus relatórios financeiros também aumentou. Atualmente, chegamos a um impasse, onde é questionável se mais informações reduzem a assimetria de informações. Autores anteriores criticam fortemente o tamanho das demonstrações financeiras e relatórios anuais, argumentando que eles devem comunicar mais ao invés de apenas serem volumosos, já que o atual volume de informações pode ser contraproducente para o indivíduo médio adquirir, reter e processar todas as informações disponíveis. Com base na evidência de literatura contábil anterior sobre o formato de apresentação e as teorias de psicologia, teoria da atribuição e teoria da carga cognitiva, temos a hipótese de que, ao manipular informações contábeis através de um formato amplamente mais acessível, como a narrativa, os investidores individuais serão capazes de compreender melhor as informações contábeis e, posteriormente, ter um uso mais proeminente delas em relação às atuais informações não fundamentais disponíveis para uma avaliação de decisão de investimento. Para alcançar nosso objetivo de pesquisa, utiliza-se uma estratégia de pesquisa de método misto com um Desenho Sequencial Exploratório, o método qualitativo atua como uma preparação para o quantitativo. Como método qualitativo, entrevistou-se - usando a abordagem da Metodologia Q - 31 sujeitos, sendo 13 analistas/investidores profissionais e 18 investidores individuais. O objetivo nesta fase foi entender o padrão de comportamento de uso de informações contábeis/não-contábeis por analistas/investidores profissionais, em comparação com as escolhas de informações de investidores individuais. Ao fazê-lo, puderam-se usar os resultados obtidos das entrevistas para basear as escolhas de informações experimentais em relação a (a) quais peças de informação contábil eram mais preferíveis aos investidores profissionais e (b) a sequência de apresentação de informações a seguir na configuração experimental. Em seguida, desenvolve-se um design experimental 2 x 2 entre os sujeitos em que manipulamos o formato de apresentação de uma empresa hipotética entre o design tradicional \'tabular e notas explicativas\' versus o design narrativo apenas de conteúdo. Foi alterado também o desempenho financeiro entre \'bom\' e \'ruim\' para verificar se as variáveis de interesse impactam (a) propensão de investimento nas ações da empresa e (b) a quantidade de informações recuperadas da memória. Como nossos principais resultados, identificamos que o formato narrativo individualmente não afeta a propensão de investimento e que o formato de apresentação alternativa beneficiou os participantes com menos de 5 anos de experiência de investimento nos mercados de capitais na condição de má performance financeira, ajustando sua propensão ao mesmo nível de investimento de investidores mais experientes.

本篇論文藉由文獻探討與迴歸分析探討法人與散戶的投資偏好與行為的不同而造成的報酬上的差異，本文共收集了54篇探討法人與散戶投資行為和選股偏好的文獻並進行整理，其54篇文獻細分成三個方向探討投資人的投資行為：交易策略、認知與情緒偏誤和訊息內含。由文獻的整理中發現，法人與散戶的投資報酬差異確實與交易策略和選股偏好相關，相較於散戶，法人具有資訊與資源上的優勢，所以他們較能夠在面臨投資和選股決策時，做出正確的決定。然而，散戶在資訊的取得上相較法人處於劣勢，所以在做決策時較為不明確，並且由統計數據來看，散戶的部位通常與法人為相反的，所以散戶通常為法人提供流動性，並且因此得到較差的報酬。 而行為財務學的角度來看，法人和散戶皆有不理性的投資行為，而這些不理性的行為皆會為他們招致較低的投資報酬，而法人有較高的投資報酬率並非因為他們理性，而是因為相較於散戶，法人的不理性程度較為低的原因。既然由行為財務學的觀點來看大家皆是不理性的，便推論法人與散戶的報酬差異是來自選股的偏好，在第四部分以台灣經濟新報658家上市公司的資料進行迴歸分析以探討台灣法人、散戶與外資的選股偏好，結果顯示法人和散戶偏好依據其週轉率、公司規模、本益比、股價波動度與股利殖利率有所不同，而外資法人的偏好則與國內法人類似。 / This paper surveys the literatures relating to the investment preference and performance between institutional and individual investors in order to determine the reason of return disparity. 54 papers are surveyed to understand the preference and performance through three aspects: trading strategies, cognitive and emotional biases, and information content. Disparity of returns is due to trading behaviors and stock preferences. Institutional investors tend to be informed and make correct decision when trading. However, individual investors tend to invest in the opposite direction to institutions and provide liquidity for them. Therefore, institutional investor have better performance due to their less irrational behaviors and correct selection of underlying objects. In the fourth part, using data of 658 listed equities from Taiwan Economic Journal from Taiwan’s stock market, we investigate the relation between investors’ ownership and financial indicators. The regression analysis shows that the stock preferences between individual and institutional investor are different. Results indicate that institutional and individual investors have distinct preferences based on turnover rate, size, price to earnings per share ratio, stock volatility, and dividend yield. Foreign institutions’ stock selection preference is similar to domestic institutions.

Cette thèse de doctorat comporte trois chapitres distincts. Dans le premier chapitre, nous étudions le comportement moutonnier d'investisseurs individuels français. Notre analyse empirique repose sur une base de données de presque 8 millions de transactions réalisées entre 1999 et 2006 par 87 373 investisseurs individuels français. Nous montrons que le comportement moutonnier persiste dans le temps et que la performance passée ainsi que le niveau de sophistication influencent ce comportement. Nous tentons également d'apporter une réponse à une question très peu abordée dans la littérature : adopter un comportement moutonnier est-il profitable pour l'investisseur individuel ? Notre analyse empirique indique que les investisseurs contrariants obtiennent des rendements plus extrêmes (positifs ou négatifs) que les investisseurs moutonniers. Dans le second chapitre, nous montrons que mesurer la précision d'une prévision du prix futur d'une action n'est pas suffisant pour évaluer la qualité de cette prévision car la prévisibilité des prix est susceptible d'évoluer dans le temps et dépend du titre considéré. Nous montrons que la persistance dans les différences individuelles de précision des prévisions d'analystes, mis en avant dans la littérature, ne constitue pas une preuve de différences de compétences entre analystes. Cette persistance est, en réalité, causée par une persistance de la volatilité de la rentabilité des titres. Nous introduisons une mesure de qualité des prévisions qui incorpore à la fois l'erreur de prévision et la prévisibilité du prix. La théorie des options nous fournit les éléments nécessaires à l'estimation de cette prévisibilité. Lorsque celle-ci est prise en compte, il n'y a plus de différences de compétences entre analystes. Dans le troisième chapitre, nous montrons que les analystes expérimentés et inexpérimentés ne couvrent pas le même type d'entreprises. Les analystes expérimentés couvrent des entreprises de type « blue chips » tandis que les analystes inexpérimentés couvrent des entreprises petites, jeunes et en croissance. Ces différences de couvertures impliquent que les analystes inexpérimentés émettent des prévisions de prix sur des entreprises dont les rendements sont plus volatils et donc moins prévisibles. En conséquence, la précision des prévisions n'est pas une bonne mesure pour évaluer si les analystes expérimentés sont meilleurs ou moins compétents que les analystes inexpérimentés. Lorsque ces différences de couvertures sont prises en compte, nous obtenons que les analystes expérimentés émettent néanmoins de meilleures prévisions. Bien que statistiquement significatif, l'impact économique de l'expérience des analystes est faible. / This dissertation is made of three distinct chapters. In the first chapter, we introduce a new measure of herding that allows for tracking dynamics of individual herding. Using a database of nearly 8 million trades executed between 1999 and 2006 by 87,373 individual investors, we show that individual herding is persistent over time and that past performance and the level of sophistication influence this behavior. We are also able to answer a question that was previously unaddressed in the literature: is herding profitable for investors? Our unique dataset reveals that the investors trading against the crowd tend to exhibit more extreme returns and poorer risk-adjusted performance than the herders. In the second chapter, we show that measuring the accuracy of a target price is not sufficient to assess its quality, because the forecast predictability (which depends on the stock return volatility and on the forecast horizon) is likely to vary across stocks and over time. We argue that the evidence of time persistent differences in analysts' target price accuracy, obtained in previous studies, cannot be interpreted as a proof of persistent differential abilities. Our analysis indicates that the persistence in accuracy is driven by persistence in stock return volatility. We introduce a measure of target price quality that considers both the forecast inaccuracy and the forecast predictability. Using elements from option-pricing theory, we provide a simple solution to the issue of estimating target price predictability. Our empirical analysis reveals that, when forecast predictability is taken into account, financial analysts do not exhibit significant persistent differential abilities to forecast future stock prices. In the third chapter, we show that experienced financial analysts tend to cover different firms than inexperienced analysts. Experienced analysts tend to follow blue chips (i.e., large, international, mature firms) while inexperienced analysts focus on small, young, growth-oriented firms. These differences in coverage decisions imply that inexperienced analysts issue target prices on firms for which stock returns are more volatile, and thus less predictable. As a consequence, the accuracy measure of target prices fails to evaluate differences in ability between experienced and inexperienced analysts. When taking into account these differences in coverage decisions, we still find that experienced analysts do a better job at forecasting stock prices. Our results on the influence of analysts' characteristics on target price quality are statistically significant but economically weak.

Ce travail doctoral s’interroge sur les déterminants des comportements d’épargne salariale. Le chapitre 1 présente un état des lieux de l’épargne salariale. Nous détaillons ensuite les principales règles de fonctionnement de l’épargne salariale. Nous présentons enfin les principaux déterminants des comportements d’épargne salariale identifiés par la littérature. Le chapitre 2 examine les déterminants socio-économiques de l’efficience des portefeuilles d’épargne salariale. Il propose également une analyse des déterminants des erreurs d’investissement des salariés mesurées par un indice. Nous dissocions les investissements faits dans le cadre des augmentations de capital réservées aux salariés et ceux faits au titre des autres plans d’épargne entreprise. Nous nous intéressons d’une part à la décision binaire d’investir ou pas, et à l’efficience du portefeuille d’autre part. Notre échantillon porte sur 30 000 salariés d’un groupe bancaire français et contient des informations sur les caractéristiques individuelles des salariés et le détail des montants investis dans les plans et leurs caractéristiques de rentabilité et de risque. Les caractéristiques des salariés affectent significativement l’efficience des portefeuilles. Nous mettons en évidence une forte concentration en actions de l’entreprise. Nous montrons également que l’investissement des salariés est sous optimal compte tenu de l’écart existant entre le ratio de Sharpe optimal que nous avons calculés et le ratio de Sharpe des salariés. Nous régressons enfin cette différence sur les caractéristiques des salariés. Le chapitre 3 analyse empiriquement les déterminants de l’investissement en actions de l’entreprise. L’actionnariat salarié diminuerait les comportements de retrait des salariés tels que l’absentéisme et la rotation du personnel. Or, la causalité inverse que nous postulerons n’avait jamais été analysée : l’effet de l’absentéisme et de la rotation du personnel sur l’investissement en actions de l’entreprise par ses salariés. Nous montrons que l’absentéisme et la rotation du personnel affectent significativement la participation. Nous validons nos hypothèses de recherche à l’aide de diverses méthodes de régression. Nous analysons un panel d’environ 15 000 salariés de près de 900 filiales d’un groupe français coté appartenant au secteur de la construction, des travaux publics et des concessions sur une période de 5 ans. La participation au plan d’actionnariat salarié dépend du niveau d’absentéisme et de rotation du personnel au sein de l’entreprise. L’absentéisme et la rotation du personnel influencent l’investissement en actions de l’entreprise différemment selon la catégorie socioprofessionnelle du salarié et les motifs d’absences et de sorties Le chapitre 4 administre un questionnaire à des épargnants individuels afin d’évaluer leur connaissance financière. Nous nous sommes inspirés des enquêtes de Lusardi et de la Banque Centrale Européenne afin de réaliser un questionnaire adapté au cas français. Nous constatons l’influence de l’éducation financière sur les décisions d’investir. Le questionnaire a été diffusé auprès des salariés d’un établissement bancaire d’une part et de leurs clients d’autre part. Bien que nos résultats confirment dans l’ensemble la littérature sur la connaissance financière, nous identifions plusieurs nouveaux résultats. / This dissertation questions the determinants of employee savings behavior. Chapter 1 presents an overview of employee savings schemes. We then detail the main rules of employee savings schemes. Finally, we present the main determinants of the behavior of employee savings schemes identified by the literature. Chapter 2 examines the socio-economic determinants of employee savings’ portfolio efficiency. It also proposes an analysis of the determinants of investment errors of employees measured by an index. We dissociate investments made in the context of Employee stock purchase plan and those made through other employee savings plans. We are interested in the binary decision to invest or not on the one hand and in the portfolio efficiency on the other hand. Our sample covers 30,000 employees of a French bank, contains information on the individual characteristics of employees and details of the amounts invested in the plans, their risk and risk characteristics. The characteristics of the employees significantly affect the efficiency of the portfolios. We highlight a strong concentration of company stocks. We also show that the investment of employees is not optimal given the gap between the optimal Sharpe ratio and the actual Sharpe ratio. We finally regress this difference on the characteristics of the employees. Chapter 3 empirically analyzes the determinants of investment in company shares. Employee stock ownership would reduce the withdrawal behavior of employees, such as absenteeism and turnover. However, the reverse causality we assume had never been analyzed: the effect of absenteeism and the staff turnover on the investment in employer’s stocks. We show that absenteeism and staff turnover significantly affect participation. We validate our hypotheses using a variety of regression methods. We analyze a panel of approximately 15,000 employees of nearly 900 subsidiaries over a period of 5 years of a French listed company belonging to the construction, public works and concessions sector. Participation in employee stock ownership plan depends on the level of absenteeism and turnover of employees within the company. Absenteeism and staff turnover influence the investment in company shares differently depending on the employee's occupations category and the reasons for absences and departures. Chapter 4 analyze the results of a survey we sent to individual savers to assess their financial literacy. We translated the surveys of Lusardi and the European Central Bank to produce a questionnaire adapted to the French case. We see the influence of financial education on investment decisions. The questionnaire was distributed to the employees of a bank on the one hand and their customers on the other. Although our results generally confirm the literature on financial literacy, we identify several new findings.

Made available in DSpace on 2016-03-15T19:25:27Z (GMT). No. of bitstreams: 1 Salim Augusto Amed Ali.pdf: 1908550 bytes, checksum: 7095064d1ba3cd28c835632bfe5ac730 (MD5) Previous issue date: 2010-08-16 / Fundo Mackenzie de Pesquisa / This study aimed to gather the perceptions of three audiences in specific, about their understanding on the generation of value through the activity of Investor Relations in Brazilian listed companies. The first group, consisting of 16 professionals and experts in Investor Relations and the second group, comprised of 11 investment analysts and portfolio managers, were personally interviewed using structured interview, survey-type. The third group of individual investors answered a questionnaire via Internet, totaling 457 valid responses. The findings show that in the perceptions of the three groups, IR adds value to the company. They also pointed out several activities and structures presents in Investor Relations that are considered more relevant in the sense of adding value to the company. Reflecting these activities and structures, it was possible to divide them into five groups: Communication, Activities, Meetings with the Market, Strategy and Metrics of Direct Measurement. The Communication was of higher importance, noting that IR and the company must be transparent, providing the information in a quick, clear, reasoned way, and the IR website and electronic media were identified as the main means. Activities undertaken by IR, shows relevance the contact with foreign investors; the explanation of profit distribution policy; relevant future events, as new investments; the diversification of the shareholder bases; comparative analysis of the sector in which the company operates; and actions to promote the liquidity of shares. Regarding Meetings With the Market, public meetings, individual (with sell side, buy side and institutional) and road shows, were revealed as relevant. About the Strategy in IR, it became clear that it must be drawn on the Executive Board, and the area should be subordinated to the CEO. Finally, Metrics of Direct Measurement point to three main items, namely the amount of "houses" covering the company's stock, the average market valuation compared to the valuation prepared by the company itself, and decrease in volatility of stock price compared with peer companies in the industry. The article seeks to contribute to, in future searches, build more objective and justified proxies for the quality of IR, in an attempt to quantify the value that the IR area adds to the public companies. / A presente dissertação objetivou coletar a percepção de três públicos em específico acerca do entendimento dos mesmos quanto à geração de valor por meio da atividade de Relações com Investidores em companhias abertas brasileiras. O primeiro grupo, formado por 16 profissionais e especialistas em Relações com Investidores, e o segundo grupo, formado por 11 analistas de investimento e gestores de carteiras, foram entrevistados pessoalmente por intermédio de entrevistas estruturadas do tipo survey. O terceiro grupo, dos investidores individuais, respondeu a questionário via internet, totalizando 457 respostas válidas. Os achados mostram que na percepção dos três grupos, RI agrega valor à companhia. Os mesmos ainda apontaram diversas atividades e estruturas presentes em Relações com Investidores que se demonstram mais relevantes no sentido de agregar valor à companhia, bem como aquelas que se demonstram menos relevantes. Espelhando essas atividades ou estruturas, foi possível dividi-las em cinco grupos: Comunicação, Atividades, Reuniões com o Mercado, Estratégia e Métricas Diretas de Mensuração. A Comunicação foi a de maior relevância, apontando que RI e a companhia devam ser transparentes, apresentando as informações de modo rápido, claro e fundamentado, sendo o website de RI e as mídias eletrônicas apontadas como os principais meios. Nas Atividades realizadas por RI tomam relevância o contato e atendimento aos investidores estrangeiros; a política de distribuição de resultados; eventos futuros relevantes, como novos investimentos; a diversificação da base acionária; as análises comparativas do setor em que a companhia atua e; as atividades que favoreçam a liquidez das ações da empresa. Nas Reuniões com o Mercado, as reuniões públicas, individuais (com sell side, buy side e institucionais) e road shows, se evidenciaram como relevantes. Quanto à Estratégia em RI, evidenciou-se que a mesma deve ser traçada na Diretoria Executiva, e a área subordinada ao Presidente Executivo. Por fim, as Métricas Diretas de Mensuração apontam três itens como principais, quais sejam a quantidade de casas cobrindo a ação da empresa, o valuation médio de mercado comparado ao valuation elaborado pela própria companhia e a diminuição na volatilidade no preço da ação comparado com as companhias pares do setor. O estudo busca contribuir para que em futuras pesquisas seja possível a construção de proxies objetivas e mais justificadas para a qualidade do RI, na tentativa de quantificar o valor que a atividade de Relações com Investidores agrega à companhia aberta.