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Investor Rationality in Index Funds : An Analysis of the Swedish Investor Rationality when Investing in Index FundsSandberg, Adele, Ottosson, Frida January 2019 (has links)
iiABSTRACTBehavioral finance has been a popular research subject for a while and therefore the understanding of human behavior when it comes to private financial investments has increased. When comparing human behavior to the financial theories one can conclude thatthe assumption of perfect and efficient markets with fully informed and rational investors is not realistic. This study has therefore looked at the investor rationality when choosing which index fund to invest in. Index funds are to a large degree used asa savings tool for either pensions or other specific purposes. It was therefore interesting to look at the behavior of Swedish investors buyingthe Swedishindex funds available in Sweden with a quantitative analysis of the relationship between flow and other features of index funds. The dependent variable reflecting rationality was the fund flow and the independent variables were return, tracking error, size, fee and risk. No previous studies have been made on the investor rationality regarding index funds in the Swedish market, although similar studies havebeen done on the American S&P 500 investors. 17 index funds were included in this study, which is the whole population of index funds following Swedish indices available in Sweden at the point of time when this study was conducted. From this population funds that had been available for more than 3 years was chosen since we wanted to look at the behavior based on a longer time span than one year. In the end, 17index funds with 51observations was included in the study.Five hypotheses were created and tested of whichtwowereaccepted. From the regression model we found that return and standard deviation (SD) weresignificant andhadpositiverelationshipswith the fund flow. This implies that Swedish investors are rational to some degree but not fully rational since they are not taking any of the other variables into account which a rational investor ought to consider. It is therefore useful information for both investors and fund companies to see which factors weight in the most and how rational the behavior is. Conclusions from this study is that Swedish investors are subject to the index fund rationality paradox to some degree and the rational choice theory applies to some extent. One has to fully consider the outcomes of an action and base the decisionon utility maximization that the outcome will give one. To act fully rational is hard even for the most aware investor and even harder for an ordinary investor with gaps in knowledge and limited resources to information.
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Fund performance-flow relationship and the role of institutional reformFeng, J., Wang, Wenzhao 09 March 2020 (has links)
Yes / Extant literature shows the positive impact of institutional development on investor rationality
and market efficiency. The authors extend this evidence by investigating the
performance-flow relationship in the Chinese mutual fund market before and after the
enforcement of the revised Law of the People’s Republic of China on Securities Investment
Fund. Empirical evidence reveals that Chinese investors irrationally chase past star performers
before institutional reform, but gradually become rational and less obsessed with
star-chasing behaviors after reform. Moving one percentile upward in the relative performance
among the star funds is associated with money inflows by 0.532% after reform,
much lower than 1.433% before reform. The findings confirm the positive influence of
institutional development on investor rationality and market efficiency. The successful
experience can be borrowed by other emerging markets with less developed institutions. / National Social Science Foundation of China [grant number 15AJY019].
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投資者理性預期之研究─以台北地區住宅資本化率為例翁業軒 Unknown Date (has links)
國外住宅租金普遍具有復歸性質,理性投資者應考慮此性質,於市場高峰期預期較低的未來租金成長率,而以較高資本化率進行評價,於市場谷底期預期較高的未來租金成長率,以較低的資本化率進行評價。故理性預期將導致市場波動穩定。近年相關研究發現,英國投資者對未來租金成長的預期相對較美國及澳洲的投資者理性,投資者理性程度可能具地區差異。本研究利用向量自我迴歸模型驗證台北地區住宅租金具有復歸性質。利用追蹤資料迴歸分析實證台北地區住宅資本化率資料,探討投資者是否具理性預期;研究發現投資者的評價未考慮租金的賦歸性質,不具理性預期,於市場租金低迷時期過於悲觀,於市場租金快速成長時期過於樂觀。此外,本研究探討投資者理性預期的地區差異,發現市場資訊流通較高的台北市,投資者預期相對較台北縣合理,其市場資本化率波動亦較穩定。顯示投資者理性程度對於住宅市場的穩定性具有重要意義。 / Housing rents are widely considered to be mean or trend reverting overseas. Rational investors should consider the reverting potential of rents so that they would expect lower / higher future rental growth rates at rental cyclic peaks / troughs, hence higher / lower capitalization rates. Investors with rationality could appropriately value their housing property, hence they help stability of housing market. Recent studies have found more rationality in the expectations of rental growth of English investors relative to the U.S. and Australian investors. In this study, we use a vector autoregression model to examine the reverting nature of housing rents in Taipei. We use a panel data regression analysis to explore the rationality of housing investors by examining the relationship between current rent level and capitalization rates. The empirical results suggest that investors were too pessimistic / optimistic while rent level is relatively low / high, they have not built the reverting nature of rents into their valuations / or their capitalization rates. Further, we have found more irrationality in Taipei County than that in Taipei City, as a result of the information sufficiency in Taipei City. Hence the volatility of capitalization rates in Taipei County is greater than in Taipei City, indicating that investor rationality plays an important role in housing market.
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Valuation in the energy storage sector - an investor perspectiveVasanoja, Oliver, Volpe, Alessandro January 2023 (has links)
This study will examine a strategy for evaluating energy storage projects by integrating valuation metrics from finance and the energy sector. Uncertainty is one of the key barriers to investment in the energy sector (Shimbar & Ebrahimi, 2017, p. 349) and therefore financial modeling that allows comprehensive valuation of energy investment is necessary (Berrada, 2022, p. 407). The purpose of the study is to propose a strategy for evaluating energy storage projects that applies to investors and decision makers. LCOS is a necessary component of energy storage project valuation, as it considers both the financial and technical performance of energy storage systems (ESS). Existing research in the field has contradictory opinions regarding the usefulness of LCOS and traditional financial valuation models for investment decisions in the energy storage sector. Few studies have combined modeling from the financial and energy sector. The authors have identified a need to introduce an investor perspective to business research in the energy storage sector. The authors conduct an explorative mixed-method study with an underlying non-positivist philosophical position. The case study design includes creation of five hypothetical energy storage projects to simulate an investment scenario. The authors utilize a point-base system to integrate valuation models from the energy and financial sectors, which include NPV, IRR, payback period, LCOS and technological maturity. Experts in the field provide input for which metrics are emphasized by practitioners. The projects are ranked based on stand-alone metrics, an integrated model and expert opinion. The results indicate that integrating numerous valuation metrics is necessary for analyzing and comparing energy storage investments. The financial viability of projects change based on individual metrics and integrated financial models. Furthermore, the results indicate that LCOS should be reinforced by financial indicators when making investment decisions. The expert input shows that investors emphasize valuation metrics differently, which indicates that the economic attractiveness of energy storage projects varies among investors. IRR is used by practitioners as a primary indicator for profitability. Future research should investigate a method for including sustainability indicators in the valuation process. Furthermore, as data accessibility is an issue in the field of study, future studies should collaborate with practitioners to generate more secondary data sources. Lastly, the impact of discount rates, risk premiums and investor preferences should be researched to better understand investment in the sector.
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Financial Market Actors: Cognitive Biases, Portfolio Diversification and Forecasting AbilityNahmer, Thomas 26 April 2019 (has links)
No description available.
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Biases and Heuristics in Portfolio Management – Determinants for non-optimal Portfolio DiversificationFiliz, Ibrahim 23 January 2019 (has links)
No description available.
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