By describing investors' decision-making processes and actions, this thesis provides a background to the share prices that millions of people follow closely everyday. It focuses on the reasons for institutional investors' investment actions on the stock market, and in particular the role of financial information about the quoted companies. Interviews and document studies linked to a large number of actual investment actions in eight large Swedish institutional investor organisations constitute the empirical basis of the thesis. Important empirical results concern how action based on fundamental opinions about investment objects is restricted or reinforced by investor contexts and market premises, the role of valuation models and quantitative analysis in comparison with qualitative judgements, and how uncertainty is dealt with during investment decision-making processes. Non-public information played an essential role in forming the fundamental opinions about companies/equities. In addition, this information could help trigger equity investment actions. Several factors, some of them organisational, contributed to time lags between the first impulse and the completed investment transaction.The results also suggest that the institutional investors in this study did not take action independently of other investors. Furthermore, they did not develop their fundamental opinions about investment objects independently of other market participants - to varying extents they adjusted to other market participants' expectations, equity valuation methods and ways of using accounting figures. / Diss. Stockholm : Handelshögsk.

Thesis (Ph.D.)--University of Wollongong, 2007. / Typescript. Includes bibliographical references: leaf 168-189.

Thesis (Ph. D.)--University of Canterbury, 2006. / "February 2006." Typescript (photocopy). Includes bibliographical references (leaves 136-144). Also available via the World Wide Web.

Thesis (Ph. D.)--University of Texas at Austin, 2006. / Vita. Includes bibliographical references.

I study various aspects of mutual funds in my thesis. These are divided over four chapters. The first chapter is an introduction to the thesis and sets out an executive summary of my research. The second to fourth chapters each deal with a new concept. The second chapter shows that the sensitivity of an investor's reaction to a mutual fund's recent performance increases with the fund's historical performance. Put differently, bad (good) performance combined with a good-history for a fund results in a greater fraction of capital outflows (inflows) relative to a fund with a poor past history. The evidence is puzzling as we would expect investors to stick with a fund having a good-history, even after a single bad performance. I solve this problem using a model with investors of differing attentiveness. In equilibrium, fund owner's attentiveness increases the historical record of a fund. With this mechanism, the model can explain the higher sensitivity of outflows for higher reputation funds. The chapter is important in that it shows that return-chasing behavior is not ubiquitous. It also provides a clear evidence where the market is slow to incorporate the new information into decision making. The third chapter studies the managerial side of the mutual funds industry regarding the risk-taking behavior of the mutual funds. Mutual fund managers are compared against a benchmark or with the peers. The employment, as well as investor's capital flows, depends on how the manager fares in the competition. I present new evidence in the chapter that the exposure of a manager to these risks is heterogeneous, and manager's historical performance governs it. The evidence implies that the risk-appetite and behavior of a manager depends on his historical performance. I find strong support in the data for this hypothesis. I show that funds with poor historical performance do not boost the portfolio risk to catch up with the peers if they are lagging at the interim date. In general, the risk appetite of the poor-history manager is less driven by their interim performance. But the good-history managers respond to their midyear position and more so during the bull years. The evidence on risk-shifting is consistent with the evidence on how each incentive behaves for good and poor history managers over bull and bear phases. The fourth chapter shows that capital movement in and out of a mutual fund is more sensitive to fund performance during periods of high market volatility. I explain this result using a model where the manager has picking as well as timing skill. A volatile market presents an opportunity to generate timing value and to that extent produces speedy learning about managerial timing ability. Persistence in volatility boosts the sensitivity of flows to performance during such times. Given the counter-cyclical nature of market volatility, the model predicts that the flow sensitivity is higher during the recessions. Data supports the model prediction. The chapter provides a clear example when the trade volume (here capital flows) is linked positively with the volatility. Usually, literature has shown how the volatile periods slows the learning and hence trade volumes too. But my model indicates that there could be substantial learning going on during volatile times about critical economics parameters, mainly because those parameters are revealed only during volatile times.

In Chapter 1 I study the iterative strategy elimination mechanisms for normal form games. The literature is mostly clustered around the order of elimination. The conventional elimination also requires more strict knowledge assumptions if the elimination is iterative. I define an elimination process which requires weaker rationality. I establish some preliminary results suggesting that my mechanism is order independent whenever iterative elimination of weakly dominated strategies (IEWDS) is so. I also specify conditions under which the \undercutting problem" occurs. Comparison of other elimination mechanisms in the literature (Iterated Weak Strategy Elimination, Iterated Strict Strategy Elimination, Generalized Strategy Eliminability Criterion, RBEU, Dekel-Fudenberg Procedure, Asheim- Dufwenberg Procedure) and mine is also studied to some extent. In Chapter 2 I study the axiomatic characterization of a well-known bankruptcy rule: Proportional Division (PROP). The rule allocates shares proportional to agents' claims and hence, is intuitive according to many authors. I give supporting evidence to this opinion by first defining a new type of consistency requirement, i.e. union-consistency and showing that PROP is the only rule that satisfies anonymity, continuity and union-consistency. Note that anonymity and continuity are very general requirements and satisfied by almost all the rules that have been studied in this literature. Thus, I prove that we can choose a unique rule among them by only requiring union-consistency. Then, I define a bankruptcy operator and give some intuition on it. A bankruptcy operator is a mapping from the set of bankruptcy operators to itself. I prove that any rule will converge to PROP under this operator as the claims increase. I show nice characteristics of the operator some of which are related to PROP. I also give a definition for continuity of an operator. In Chapter 3 investigate risk-averse investors' behaviour towards a risky firm. In order to find Pareto Optimal allocations regarding a joint venture, I employ a 2-stage game, first stage of which involves a social-planner committing to an ex-post bankruptcy rule. A bankruptcy rule is a set of suggestions for solving each possible bankruptcy problem. A bankruptcy problem occurs when there is not enough endowment to allocate to the agents each of whom has a claim on it. I devise the game-theoretic approach posed in K1br1s and K1br1s (2013) and extend it further. In fact, that paper considers a comparison among 4 renowned bankruptcy rules whereas mine do not restrict attention to any particular rule but rather aim to find a Pareto Optimal(PO) one. I start with 2 agent case in order to give some insight to the reader and then, generalise the results to an arbitrary number of investors. I find socially desirable (PO) allocations and show that the same can be achieved through financial markets by the help of some well-known results.

153 p. / Submitted by Santiago Fabio (fabio.ssantiago@hotmail.com) on 2012-12-17T20:13:14Z No. of bitstreams: 1 888888888.pdf: 1167614 bytes, checksum: ba56025841f10ed18a90d2d6ce7efd9b (MD5) / Made available in DSpace on 2012-12-17T20:13:15Z (GMT). No. of bitstreams: 1 888888888.pdf: 1167614 bytes, checksum: ba56025841f10ed18a90d2d6ce7efd9b (MD5) Previous issue date: 2011 / O objetivo desta pesquisa foi investigar de que forma aspectos afetivos se manifestam nos julgamentos de risco e benefício nos investidores do mercado de ações brasileiro por meio da heurística afetiva. O processo decisório que conduz aos julgamentos é complexo e multifacetado, e neste trabalho pressupõe-se que o afeto assume posição privilegiada nos julgamentos. Para alcançar o objetivo pretendido criaram-se quatro estímulos em relação ao mercado de ações: alto risco; baixo risco; alto benefício; baixo benefício. A aplicação da pesquisa ocorreu em três fases, sendo uma fase de préteste, uma fase de teste (Fase 1- Teste) e uma terceira fase que se constituiu na aplicação da pesquisa propriamente dita (Fase 2 – Pesquisa). Na fase de pré-teste ajustou-se o instrumento de coleta de dados, e na Fase 1 – Teste foi feita uma pesquisa prévia com servidores da SEFAZ-BA. Essa amostra foi composta por 134 indivíduos segregados aleatoriamente em quatro grupos (um grupo para cada estímulo). Os resultados obtidos nessa fase permitiram passar para a fase seguinte. Na Fase 2 – Pesquisa aplicou-se o experimento em uma amostra composta por 143 investidores da bolsa de valores que operam por meio do home broker. A manifestação da heurística afetiva ocorreu no Grupo 2 por meio da diferença significativa de percepção de risco e de benefício antes e depois do estímulo. Para tanto, utilizou-se o teste t para médias. Em seguida, buscou-se nas variáveis idade, gênero e grau autopercebido de conhecimento do mercado de ações as determinantes da manifestação da heurística afetiva. Por meio da regressão logística múltipla identificouse que apenas a variável grau autopercebido de conhecimento do mercado de ações exerceu influência significativa na manifestação da heurística afetiva. Os resultados encontrados na pesquisa sugerem que a heurística afetiva manifesta-se mais em indivíduos com menor grau de conhecimento, e que os fatores idade e gênero não exercem influência significativa. / Salvador

Sammanfattning Examensarbete, Civilekonomprogrammet, Ekonomihögskolan vid Linnéuniversitetet. Författare: Fredrik Olofsson och Johannes Jacobson Handledare: Karin Jonnergård Medbedömare: Ulf Larsson Olaison Titel: Förväntningsgapet - En jämförelse mellan småföretagare och investerare Bakgrund: Fenomenet förväntningsgapet gör sig påmint vid finansiella kriser och företagsskandaler vilket placerar revisorsyrket i hetluften. Studiet av gapet är omfattande men jämförelser av gapet mellan olika grupper av allmänheten visar på ett visst tomrum. Detta tillsammans med ett resonemang att kunskap och utbildning ligger bakom skillnader i gapet utgör bakgrund för studien. Syfte: Arbetet har som syfte att undersöka om det finns skillnader i olika aktörers förväntningsgap samt jämföra dessa med varandra för att skapa förståelse ifall olika intressenter har olika förväntningsgap och vad detta beror på. Metod: Studien använder en deduktiv ansats och en kvantitativ forskningsstrategi tillsammans med en enkätstudie för att fånga småföretagarnas svar. Data för investerarna härrör från Nilssons (2016) avhandling. De bägge gruppernas svar har ställts mot varandra för att jämföra förväntningsgapet. Slutsatser: Studien finner att ett förväntningsgapet föreligger hos både småföretagare och investerare. En jämförelse av de två grupperna visar att en skillnad i gapet föreligger där småföretagare har ett statistiskt signifikant gap som är större än investerarnas. Detta resultat är i linje med flera andra studier om småföretagare och stärker antagandet om kunskap som bidragande orsak till gapets existens. Nyckelord: Förväntningsgapet, småföretagare, investerare, jämförelse / Abstract Master thesis in Business Administration, School of Business and Economics, Linnaeus University. Authors: Fredrik Olofsson and Johannes Jacobson Supervisor: Karin Jonnergård Examiner: Ulf Larsson Olaison Title: The audit expectation gap - a comparison between small business owners and investors Background: The audit expectation gap makes itself known in times of financial crisis and corporate scandals which places auditors in the spotlight of critique. The study of the gap is extensive however comparisons of different groups of society reveals a gap in the literature. This together with an assumption that knowledge and education cause differences in the gap comprises the background for the study. Purpose: The study aims to examine differences in the audit expectation gap among small business owners and investors. Moreover, the study aims to compare the expectation gap of the two groups. Method: The study applies a deductive stance with a quantitative research strategy together with a questionnaire survey in order to collect data for the small businesses. Data for the investor group are drawn from Nilssons (2016) dissertation. The responses of the two groups have been put side by side to compare the gap. Conclusions: Results of the study find that an expectation gap exists among both small business owners and investors. A comparison of the two groups reveal differences in the gap where small business owners have a statistically significant gap that is greater than that of the investors. This result is in line with several other studies on small businesses and strengthens the assumption that knowledge is a contributing factor to the existence of an audit expectation gap. Keywords: Audit expectation gap, small businesses, investors, comparison

Os investidores institucionais, tais como os fundos de pensão, são entidades que administram recursos de numerosos grupos de pessoas, e que, por isso, tendem a gerir grandes carteiras de investimento e a ter incentivos para se tornar bem informados. Por isso, espera-se que eles sejam bons representantes da classe de investidores sofisticados, ou bem informados, e que o aumento de sua presença no mercado de capitais melhore a velocidade do ajuste do preço, contribuindo para evitar ineficiências do mercado, como, por exemplo, a anomalia dos accruals (Sloan, 1996), que é um atraso na revisão dos preços diante da informação sobre a magnitude dos accruals do lucro. Assim, o objetivo deste estudo é analisar, em diversos países, o impacto da participação de investidores institucionais sobre a anomalia dos accruals. São formuladas quatro hipóteses: (i) a proporção de informações sobre o desempenho futuro da empresa refletida no preço de sua ação é positivamente relacionada com o percentual de participação societária dos investidores institucionais; (ii) quanto maior for o percentual da participação societária de investidores institucionais, maior será a qualidade do lucro; (iii) quanto maior for a value relevance do lucro, maior será a anomalia dos accruals; e (iv) quanto maior for a participação societária dos investidores institucionais, menor será a anomalia dos accruals. Para se atingir os objetivos, a bibliografia sobre investidores institucionais, investidores sofisticados e anomalia dos accruals é analisada e cotejada com a literatura sobre value relevance e qualidade do lucro, em especial com o de Dechow e Dichev (2002). A pesquisa empírica utiliza dados de empresas não financeiras listadas nas bolsas de valores da Alemanha, do Brasil, da Espanha, dos Estados Unidos, da França, da Holanda, da Itália, do Reino Unido e da Suíça, e cobre o período de 2004 a 2013. A amostra contempla entre 2.314 e 4.076 empresas, totalizando entre 15.902 e 20.174 observações, a depender do modelo estimado. São realizadas regressões com dados em painel, uma abordagem de equações aparentemente não relacionadas (Seemingly Unrelated Regression - SUR) e a aplicação do teste de Mishkin (1983). Constata-se que nos Estados Unidos e na Itália os investidores institucionais são mais bem informados que os demais, e que na Alemanha, nos Estados Unidos, na França e no Reino Unido eles exercem um papel de monitoramento, pressionando por lucros de qualidade superior. Não se constata, porém, relação positiva entre value relevance do lucro e anomalia dos accruals, nem entre participação de investidores institucionais e esta anomalia. O estudo enriquece a discussão sobre o mercado ser eficiente a longo prazo, mas apresentar anomalias no curto prazo; enfatiza a importância de o investidor ser capaz de converter informações em previsão e avaliação; discute o vínculo entre o papel de monitoramento dos investidores institucionais e a qualidade do lucro; e avalia a relação entre a atuação destes investidores e o prices lead earnings. / In view of the massive resources they manage, institutional investors (such as pension funds and insurers) tend to have large investment portfolios and equally large incentives to be well informed. It is therefore reasonable to see institutional investors as representatives of the class of sophisticated investors. The presence of institutional investors on the capital market is positively associated with the speed with which prices adjust to information, helping avoid market inefficiencies, such as accrual anomaly (a delay in price adjustment in relation to the available information on accruals). The objective of this article was to evaluate the impact of institutional investitor participation on accrual anomaly in different countries. To do so, we formulated four hypotheses: (i) the proportion of information on the future performance of a company reflected in its stock price is positively associated with the percentage of equity held by institutional investors; (ii) the greater the percentage of equity held by institutional investors, the greater the earnings quality; (iii) the higher the value relevance, the greater the accrual anomaly; and (iv) the greater the percentage of equity held by institutional investors, the smaller the accrual anomaly. We reviewed the literature on institutional investors, sophisticated investors and accrual anomaly and compared our findings with the literature on value relevance and earnings quality, especially Dechow and Dichev (2002). Our empirical research was based on data on nonfinancial firms listed on the stock exchanges of Brazil, France, Germany, Holland, Italy, the U.K., the U.S. and Switzerland, covering the period 2004-2013. The final sample consisted of 2,314 to 4,076 firms, with a total of 15,902 to 20,174 observations, depending on the model estimated. Panel regressions were performed using the seemingly unrelated regression (SUR) approach and the Mishkin test. In the U.S. and Italy, institutional investors were found to be better informed than other investors. In France, Germany, the U.K. and the U.S., institutional investors played a strong monitoring role, pressuring firms to report earnings with higher quality. However, no positive association was found between the value relevance of earnings and accrual anomaly, nor between institutional investitor participation and accrual anomaly. The study sheds light on the question of long-term market efficiency and short-term anomalies, emphasizes the importance of investors being able to convert information into predictions and estimates, discusses the connection between institutional investor monitoring and earnings quality, and evaluates the relation between the presence of institutional investors and price lead earnings.

Background: Kahneman and Tversky (1974, 1979 & 1992) argue that individuals are bound to numerous behavioral biases that may lead to the emergence of different irrational behaviors. This is often observed with even a higher degree among participants of financial and stock markets as agents such as investors are frequently exposed to significant level of risk and uncertainty (Kahneman, 2013; Kahneman, Knetsch & Thaler, 1991; Kahneman & Tversky, 1974, 1979, 1992). Also, empirical studies indicate that a significant level of herding exists among investors when they are exposed to a high degree of risk and uncertainty such as those in financial crises (Galariotis, Rong & Spyrou, 2014; Litimi, 2017; Hott, 2009). Purpose: the main purpose of this thesis is to explore if the loss aversion bias has a significant causal impact on forming herding behavior among young Swedish retail investors. Method: an online analytical questionnaire including eight questions has been conducted to collect primary data, with 77 Swedish retail investors under the age of 35 participating in the study. Furthermore, a multiple regression analysis has been implemented to analyze and interpret the data. Conclusion: it can be concluded that there is not a significant correlation between the degree of loss aversion and the degree of herding behavior within the sample group of young Swedish retail investors. Hence, loss aversion bias cannot be considered as one of the major contributors of herding within the target population.