Yes / Although a cornerstone of traditional finance theory, empirical evidence in support of a positive mean-variance relation is far from conclusive, with the behavior of retail investors commonly thought to be one of the root causes of departures from this expected relationship. The behavior of institutional investors, conventionally thought to be sophisticated and rational, has recently come under closer scrutiny, including in relation to investor sentiment. Drawing together these two strands of literature, this paper examines the impact of institutional investor sentiment on the mean-variance relation in six regions, including Asia (excl. Japan), Eastern Europe, Eurozone, Japan, Latin America, and the US, and across thirtyeight markets. Empirical evidence supports the differential impact of institutional investor sentiment on the mean-variance relation (i.e., positive or negative), both across regions and across markets. In particular, for markets with cultural proneness to overreaction and a low level of market integrity institutional investor sentiment tends to distort the risk-return tradeoff.

The mainstream quantitative models in the finance literature have been ineffective in detecting possible bankruptcies during the 2007 to 2009 financial crisis. Coinciding with the same period, various researchers suggested that sentiments in social media can predict future events. The purpose of the study was to examine the relationship between investor sentiment within the social media and the financial distress of firms Grounded on the social amplification of risk framework that shows the media as an amplified channel for risk events, the central hypothesis of the study was that investor sentiments in the social media could predict t he level of financial distress of firms. Third quarter 2014 financial data and 66,038 public postings in the social media website Twitter were collected for 5,787 publicly held firms in the United States for this study. The Spearman rank correlation was applied using Altman Z-Score for measuring financial distress levels in corporate firms and Stanford natural language processing algorithm for detecting sentiment levels in the social media. The findings from the study suggested a non-significant relationship between investor sentiments in the social media and corporate financial distress, and, hence, did not support the research hypothesis. However, the model developed in this study for analyzing investor sentiments and corporate distress in firms is both original and extensible for future research and is also accessible as a low-cost solution for financial market sentiment analysis.

本研究採2003年12月至2010年6月上市上櫃公司為研究樣本，檢驗當期投資人情緒、公司治理、及動能投資策略對下期股價獲利的影響，與先前研究不同之處在於，投資人情緒使用世新大學投資人情緒資料庫所提供之「投資人情緒指數」。實證結果為: 1、當期投資人情緒悲觀會使得當期股價低估，而使下期股價向上修正時有較高的報酬率。 2、公司治理佳的股票報酬率顯著大於公司治理劣的股票報酬率。 3、過去股價報酬率較高者未來也有較高的獲利，反之則較低。 4、投資人情緒相較於公司治理及動能策略而言，為主要的影響股價的因素。 5、金融海嘯時，投資人情緒悲觀仍使下期股價有較高的報酬率，但公司治理劣者報酬率顯著大於公司治理佳者。

本篇論文研究股票市場流動性以及權證到期後在不同的投資人情緒程度時之間的關係。我們使用臺灣期貨交易所的VIX指數作為投資人情緒的指標，研究在深度價內的權證到期後對股票市場造成的交易集中效果。整體而言，當投資人情緒相對較低時，權證到期後對股票市場流動性的增強效果較為明顯。另一方面，當投資人情緒相對較高時，交易集中對股票市場流動性的改善效果較不明顯。在價格方面，股票流動性的增加對價格帶來的正面影響，其效果在投資人情緒較低時較為明顯。當投資人情緒愈來愈高時，其效果愈不顯著。此現象可歸因於投資人在套利與避險等操作上的行為有所改變所致。 / This paper examines the relation between the stock liquidity and warrants expiration in different extent of investor sentiment which is represented by VIX in Taiwan. We study the effect of trading consolidation by examining the response of liquidity and stock prices to the exercise of deep in-the-money call warrants. In general, the results indicate that the stock liquidity is improved apparently by market consolidation since warrants expired when investor sentiment is relatively low. On the other hand, the effect is insignificant when VIX is relatively high. Further, the price increase is positively related to post-exercise improvement in the stock liquidity when VIX is relatively low. While VIX rises, the relation gets feeble gradually. This phenomenon might be due to investors’ buying behavior such as arbitrage or hedge trading varying with different kinds of market situation.

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No. of bitstreams: 1 arquivototal.pdf: 1382725 bytes, checksum: 6e60ed8a7122bd2fcb8cd389f8d97261 (MD5) Previous issue date: 2014-12-12 / This study aimed to analyze the influence of the investor sentiment in explaining the returns of anomalies, in Brazilian stock market. Additionally, we analyze whether the price differences caused by investor optimism bias are different from those caused by pessimistic investors. The sample included all companies listed on the BM & FBOVESPA. The data were collected in Economatica®. The calculation of returns were by monthly closing prices were used from June 2000 to June 2014 and from 1999 to 2013 annual financial data. To measure the aggregate investor sentiment index, was considered all issues of shares during the period January 1999 to June 2014 and the volume of trading and securities available in this period. The estimation of investor sentiment, was made use of multivariate technique of Principal Component Analysis to capture the common component in four different proxies for investor behavior. To check how investor sentiment relates to the deficiencies have been empirically tested with the number of returns of the portfolios of Long position, Short and Long-Short 12 anomalies-based strategies; and the sentiment index series built, and its variation from one month to the next. It was found that the measure sentiment index increased explanatory power for much of the anomalies only when included in the CAPM, but by controlling the three-factor model and four factors, the coefficient lost its statistical significance. When using the index change as an explanatory variable, there was a relationship with future returns, robust to all risk factors. Thus, it is possible to relate the investor sentiment index with returns of portfolios formed based on value anomalies. Analyzing the mean returns after periods of optimism and pessimism, there was no statistically significant values sufficient to infer a possible existence of restrictions on sales short, although much of the anomalies present the spread between the average returns after periods optimistic and pessimistic with the expected sign. / Este trabalho teve como objetivo verificar se existe relação entre o sentimento do investidor e as anomalias de mercado no Brasil. Adicionalmente, também foi analisado se os desvios de preços provocados por investidores com viés otimista são diferentes daqueles provocados pelos investidores pessimistas. A população envolveu todas as empresas listadas na BM&FBOVESPA. Os dados utilizados foram coletados no Economatica®. Para cálculo dos retornos, foram utilizados preços de fechamento mensais no período de junho de 2000 a junho de 2014, bem como dados contábeis anuais de 1999 a 2013. Para mensuração do índice de sentimento agregado para o mercado, foram consideradas todas as emissões de ações ocorridas no período de janeiro de 1999 a junho de 2014, bem como o volume de negociações e de títulos disponíveis nesse período. Na estimação do sentimento do investidor, fez-se uso da técnica multivariada de Análise de Componentes Principais, para captar o componente em comum de quatro diferentes proxies para o comportamento do mercado. Para verificar a forma como sentimento do investidor se relaciona com as anomalias, foram testadas empiricamente com a série dos retornos das carteiras de posição Long, Short e Long-Short de 12 estratégias baseadas em anomalias; e com a série do índice de sentimento construído e sua variação de um mês para o outro. Constatou-se que a medida do índice de sentimento apresentou poder explicativo para boa parte das anomalias apenas quando incluída no CAPM, porém ao controlar pelo modelo de três fatores e de quatro fatores, o coeficiente perdeu sua significância estatística. Já na utilização da variação do índice como variável explicativa, observou-se uma relação com os retornos futuros, robustos a todos os fatores de risco. Dessa forma, é possível relacionar o índice de sentimento do investidor com os retornos de carteiras formadas com base em anomalias de valor. Na análise dos retornos médios após os períodos de otimismo e pessimismo, não houve valores estatisticamente significantes suficientes para inferir sobre uma possível existência de restrições às operações de venda a descoberto, apesar de boa parte das anomalias apresentarem o sinal esperado no spread entre a média dos retornos após períodos otimistas e pessimistas.

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No. of bitstreams: 1 arquivototal.pdf: 2723691 bytes, checksum: a36df740c73be4b421a7267749037ff7 (MD5) Previous issue date: 2016-02-22 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior - CAPES / Among the approaches of the area of behavioral finance, the impact of irrational and speculative behavior of investors has drawn attention of researchers in the face of evidence that indicate a possible influence of idiosyncratic asymmetry into the context of investors' perception in their decision-making and, consequently, prices and returns on assets. Sometimes it is not difficult to find situations where optimistic or pessimistic expectations impacting in some way in the financial market. The idiosyncratic asymmetry can be understood as investors' preference for positive asymmetry, contrary to the assumptions of the theory of expected utility. Investor sentiment can be defined quite broadly, however, the underlying issue that sentiment mainly covers how such investors interpret and react to daily events so they can build their beliefs. The initial public offerings (IPO) are those in which the listed companies provide first sale of its stocks. Thus, understanding the way in which the financial market operates can be of great value to assist investors in their perception and their active trading strategy to take into account the impact factors of stock prices and, if it's worth before speculation of possible delay or not your decision making based on the evaluation of the assumed returns and risks when investing in assets in its first day of trading on the stock exchange. Face of this perspective, the objective of this research is to investigate the relationship between the irrationality of investors and returns of the first day of Brazilian companies that made IPO from 2004 to 2014. The sample comprised 106 companies among the 152 who underwent IPO in this interval of eleven years. The research was based on the model developed by Aissia (2014), who also found the influence of idiosyncratic asymmetry and investor sentiment, but in the financial market of France. The method used for the estimation of the proposed model was through regression analysis by ordinary least squares (OLS). The data revealed that one of the research hypothesis was confirmed because it was found that the idiosyncratic asymmetry positively affected returns of the first day of IPO's inherent in the companies in the sample. Furthermore, this study can enrich the discussion of aspects inherent irrationality of investors in decision-making from a peculiarity has not investigated within the Brazilian market, making relationship with the preference for asymmetry itself in order to open new horizons for future studies proposed. / Dentre os enfoques da área de finanças comportamentais, o impacto do comportamento irracional e especulativo dos investidores tem chamado atenção dos estudiosos, diante de evidências que indicam uma possível influência da assimetria idiossincrática inserida no contexto da percepção dos investidores em sua tomada de decisão e, consequentemente, nos preços e retornos dos ativos. Por vezes, não é difícil encontrar situações em que expectativas otimistas ou pessimistas impactem de alguma maneira no mercado financeiro. A assimetria idiossincrática pode ser entendida como a preferência dos investidores por uma assimetria positiva, contrariando as premissas da Teoria da Utilidade Esperada. Já o sentimento dos investidores pode ser definido de maneira bastante ampla, porém, a questão subjacente desse sentimento abarca principalmente a maneira como tais investidores interpretam e reagem aos acontecimentos cotidianos para que possam construir suas crenças. As ofertas públicas iniciais de ações (IPO) são aquelas em que as empresas listadas em bolsa disponibilizam pela primeira vez a venda de suas ações. Sendo assim, compreender a maneira em que o mercado financeiro funciona pode ser de grande valia para auxiliar os investidores em sua percepção e em sua estratégia de negociação de ativos, ao levarem em consideração os fatores de impacto dos preços das ações e, se vale a pena, diante de possíveis especulações, postergar ou não sua tomada de decisão a partir da avaliação dos retornos e riscos assumidos ao investir em ativos em seu primeiro dia de negociação em bolsa. Diante dessa perspectiva, o objetivo desta pesquisa é o de investigar a relação entre a irracionalidade dos investidores e os retornos do primeiro dia das empresas brasileiras que realizaram IPO, no período de 2004 a 2014. A amostra contou com 106 empresas, dentre as 152 que realizaram IPO nesse intervalo de 11 anos. A pesquisa tomou como base o modelo desenvolvido por Aissia (2014), que verificou também a influência da assimetria idiossincrática e sentimento do investidor, porém no mercado financeiro da França. O método utilizado para a estimação do modelo proposto foi por meio da análise de regressão por mínimos quadrados (OLS). Os resultados encontrados permitiram que uma das hipóteses de pesquisa fosse confirmada, pois constatou-se que a assimetria idiossincrática afetou positivamente os retornos do primeiro dia das IPO’s inerentes às empresas que compuseram a amostra. O presente trabalho pode enriquecer a discussão acerca dos aspectos inerentes à irracionalidade dos investidores na tomada de decisão, a partir de uma peculiaridade ainda não investigada no âmbito do mercado brasileiro, fazendo relação com a preferência por assimetria propriamente dita, de maneira a abrir novos horizontes para propostas de estudos futuros.

Yes / This paper examines the role of institutional investor sentiment in determination of the beta-return relation. Empirical evidence documents a positive (negative) beta-return relation over bearish (bullish) periods, implying that institutional investors can also be sentiment traders.

本研究主要探討投資人的積極程度以及市場的樂觀程度是否會影響動能策略之獲利能力。本研究利用1973至2013年間美國個股進行實證研究，結果驗證了動能策略於樣本期間能有顯著的獲利。進一步的實證結果顯示，規模較小且交易量成長率較低的公司存在極短期(一個月內)反轉的現象。此外，在市場樂觀期間(較多的首次公開發行的公司家數、較高的消費者信心指數或較低的恐慌指數)動能策略之獲利能力較佳且顯著。因此，我們建議投資人能在市場樂觀期間對規模較小的公司進行動能策略，將可得到較高的預期超額報酬。 / The main purpose of this study is to investigate whether the activism of investors and the sentiment of the market can affect the profitability of the momentum strategy. Using individual firms during 1973 to 2013 as the sample, this study reexamines and confirms the profitability of the momentum strategy. The further empirical result shows that firms with smaller size and lower growth rate of trading volume exhibit a very short-term (within one month) reversal effect. In addition, during the optimistic period (years which have more firms conducting initial public offerings, higher consumer confidence index, or lower VIX), the profitability of the momentum strategy is significantly higher than that during the passive period. Therefore, a suggested trading strategy applying momentum strategy to small firms during the high sentiment period may yield a superior performance.

本研究旨在探討投資人情緒與月營收資訊是否能夠解釋台灣股票報酬，以及投資人情緒是否影響對於月營收資訊的解讀。實證結果發現，前期月營收資訊、前期投資人情緒以及兩者乘積對當期股票報酬有顯著的正向影響。表示月營收資訊的揭露能帶給投資人資訊，作為交易時的考量，而前期投資人情緒能夠部分解釋當期股票報酬。兩者乘積表示營收資訊和投資人情緒為同期時，投資人對於資訊的解讀會受到情緒影響，進而影響股票的報酬。進一步探討，當投資人面對月營收成長率高、月營收波動低時，對於其月營收資訊的解讀傾向伴隨著情緒。 / This study wants to discuss whether sales information and investor sentiment could explain Taiwan stock market and whether investor sentiment affects their interpretation on sales information. The empirical results show that the sales information last period, investor sentiment last period and the multiplication of these two are significantly positively correlated to current stock returns. It indicates that the sales disclosure is informative to investors as a consideration while trading and investor sentiment can partially explain the stock returns. The estimate of multiplication which is positive indicates that when sales information and investor sentiment are in the same period, investors’ interpretation on sales information would be affected by their sentiment, and further affecting the stock returns. We further find that when companies have the characteristics of high sales growth rate and low sales volatility, their sales information tends to be interpreted by investors emotionally.

Cette thèse comporte quatre essais dont les deux premiers, s’appuyant sur les fondements théoriques de la finance comportementale de l’entreprise, montrent dans quelle mesure les sociétés françaises tirent avantage des erreurs de jugement systématiques des investisseurs. Nous étudions dans le premier essai les conséquences du biais de familiarité sur la structure du capital. En particulier, nous montrons que les entreprises associées à un sentiment de familiarité élevé, notamment parmi les petites capitalisations, ont un actionnariat individuel plus large. Ce résultat souligne l’intérêt économique pour l’entreprise d’augmenter sa visibilité et de consolider sa notoriété dans le temps. Le deuxième essai traite de la politique de dividende sous l’hypothèse des « catering incentives ». Il s’agit de tester si les entreprises sont davantage incitées à distribuer du dividende lorsque les titres payeurs se négocient avec une prime par rapport aux non-payeurs. Nous validons cette hypothèse et mettons en évidence que les dirigeants français font preuve d’un opportunisme court-termiste accru en cas de faible contrôle familial ou de forte participation institutionnelle dans le capital. Les deux derniers essais s’intéressent aux comportements décisionnels des entreprises face aux enjeux du changement climatique. Ils se situent dans un contexte international. Le troisième essai, notamment, teste la pertinence des stratégies d’éco-efficience, via la réduction des émissions de carbone, sur la performance financière à l’occasion d’opérations de fusions-acquisitions. Les résultats tranchent en faveur de la rationalité économique de ces stratégies et affirment la possibilité pour la firme d’envisager une relation gagnant-gagnant avec son environnement. Le quatrième essai, consacré à l’étude de la communication environnementale volontaire, démontre l’intérêt croissant des parties prenantes pour ce type d’information : les entreprises les plus exposées médiatiquement, les plus endettées et celles qui entrent dans le cadre des nouvelles réglementations environnementales sont les plus transparentes en matière de reporting environnemental. De plus, les entreprises les moins éco-efficientes tendent à communiquer davantage sur leur empreinte écologique, traduisant une recherche de légitimité auprès des parties prenantes. / This thesis is composed of four essays. The first two essays draw on behavioral corporate finance and show to what extent French firms can take advantage of investors’ erroneous judgment. We first study the impact of the familiarity bias on ownership. We find that firms with higher notoriety level, mostly small-cap ones, have higher individual ownership. Second, we test the catering hypothesis in dividend policy, in that whether firms are more prone to pay dividend when payers trade at a premium relative to non-payers. The results validate this hypothesis and support short-term opportunistic behavior by French firms, especially when family control is low or institutional ownership is high. The last two essays examine the impact of climate change issues on firms’ decisions, in an international setting. Especially, the third essay demonstrates that eco-efficiency-based strategies significantly matters to the financial outcomes of mergers and acquisitions, which supports the economic rationality underlying carbon reduction investments, and claims for a win-win relationship between corporations and their environment. The fourth essay that deals with the environmental voluntary disclosure, emphasizes the increasing interest of stakeholders toward this kind of information: firms with higher exposure, higher leverage and those that are in the scope of regulators tend to be more transparent in terms of carbon reporting. Moreover, firms that are less eco-efficient show higher probability to report on their environmental performance, suggesting the search for legitimacy.