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].

This thesis highlights the gap in previous literature and research of activist short selling in the context of the Swedish market. This thesis investigates the impacts of short sell research reports on the Swedish financial markets, aiming to provide a comprehensive understanding of the dynamics, implications, and outcomes related to this phenomenon. The study is conducted through empirical research involving semi-structured interviews, allowing for in-depth exploration and understanding of various perspectives, with investor relations representatives from targeted firms, legal experts, analytics and short sell research firms. From our empirical findings key research questions are addressed.  Firstly, the study examines the market dynamics and industry-specific factors driving increased attention from short sell research firms towards Swedish companies, highlighting factors such as market volatility, valuation challenges, and transparency concerns. Secondly, it explores how the emergence of short sell research reports shapes market dynamics, investor behaviour, and market integrity, noting both positive contributions to market efficiency and challenges regarding the accuracy and validity of the reports. Thirdly, the responses of targeted companies to allegation made in these reports are analysed, emphasizing the importance of a prompt, transparent response to maintain investor confidence. Fourthly, concerns about market manipulation are evaluated, considering the regulatory framework and the need for balance between market freedom and regulatory oversight.  This thesis contributes insights into market dynamics, conflicts of interest in financial analysis, and regulatory mechanisms, offering practical recommendations for stakeholders, including targeted companies, investors, and regulatory authorities. The recommendations from the study focuses on enhancing transparency, communication strategies, and regulatory compliance. Overall, this thesis enriches the understanding of short sell activism and its impact on financial markets, offering valuable insights for practitioners, researchers, and regulators.

Few areas of research in the finance literature have received greater attention than the efficient market hypothesis. Much of the research has been directed toward the securities market while very little research has been done in the real estate markets. The existing research on real estate market efficiency has been either descriptive or illustrative with very little empirical testing being performed. The major reason for the lack of empirical testing has been the inability to develop an adequate data base. The results of the empirical work that has been done do not support the widely held belief that real estate markets are inefficient. This study, using the autoregressive-integrative-moving average (ARIMA) time series analysis technique, tests the weak-form efficiency of the Dallas-Fort Worth office properties real estate market. According to the weak-form efficient market hypothesis, all price information should be capitalized into current real estate prices and not provide the basis for earning abnormal returns in trading. Price data formed from office building sales dating from January, 1979 to January, 1985 are used to test the market. The data was gathered from the files of several professional appraisal firms located in the Dallas-Fort Worth area. The transaction information includes (1) transaction price; (2) location of the property; (3) net rentable area; (4) gross income multiplier (GIM); (5) net income multiplier (NIM); and (6) net operating income. The results of the study indicate a lack of significant autocorrelation. This suggests that the Dallas-Fort Worth office properties real estate market is weak-form efficient. As further evidence of weak-form market efficiency, ARIMA models are estimated to predict future sales prices but they are unable to outperform a simple mean series forecast. The results indicate that a change in traditional real estate theory concerning market efficiency may be warranted.

This thesis examines the efficacy of markets, using both quantitative and qualitative methods in a complementary way. Specifically, it starts (in Part II) by using the results from a quantitative analysis of initial public offering (IPO) underpricing as a barometer for corporate governance failure. This quantitative work identified Russia, China and India as extreme outliers. The data set used for this work was the cross-section sample of 45 countries developed by Loughran, Ritter & Rydqvist (2008). More broadly (in Part III), the thesis takes the lead of the quantitative evidence to examine, in a qualitative framework, possible sources of corporate governance failure in China, India and Russia. This was done categorically, under the headings of Globalisation, Corporate Governance, Institutional Structure and Competitive Strategy. Data were gathered by eldwork in China, India and Russia, and these findings were then benchmarked against findings from further fieldwork in the United Kingdom. This created a unique 56,000 word database, which was used for both cross-site and within-site analysis. This indicates how both unique attributes (e.g. rule of law, transparency, regulation, etc.), and common attributes (e.g. transition from a socialist/Marxist regime, market immaturity, asymmetric information etc.), combine to explain the different morphologies of corporate governance in these three countries. The quantitative analysis (Part II) consists of exploratory data analysis (EDA) and econometric work. The exploratory data analysis establishes, through graphical means and regression techniques, a negative correlation between IPO underpricing and globalisation (as measured by the KOF index, see Dreher, 2006). Building on this, the subsequent econometric modelling suggests that economic, demographic and institutional factors are all significant determinants of IPO underpricing. The qualitative analysis carried out in Part III of the thesis, builds on and extends the quantitative analysis of Part II. This is consistent with the multiple method approach, which combines both quantitative and qualitative analysis to achieve a synthesis of findings. The qualitative analysis uses evidence from semi-structured interviews with finance professionals and opinion makers, as well as evidence from additional primary and secondary sources, which was also made available through fieldwork contacts. This analysis emphasises the especial importance of board composition, information flows, the judicial system, the stock exchanges, and financial regulators for forms of corporate governance.

Efficient Market Hypothesis (EMH) has been the central assumption of financial modelling in the previous decades. At its core, it is a statement about the efficient incorporation of available information in the prices of assets, rendering each price a 'true' representation of the asset's intrinsic value. The notion of informationally efficient financial markets has been, since its formulation, entrenched in the very core of our understanding of how asset pricing works, yet, with ever so increasing frequency, when subjected to empirical scrutiny, it fails to prove its explanatory and predictive prowess. New academic strands emerged have emerged as a result, attempting to explain those empirical short-comings, with rather mixed results. The new models and theories often either explain a singular anomaly, rather than pro- viding a generalized and consistent theoretical framework, or are exclusive with the general state of financial markets, which tends to be efficient and rational. This thesis shall explore the relationship of information and financial mar- kets, taking into account developments that have occurred since the inception of the EMH. Subsequently it will present a new theoretical model for asset pric- ing and ipso facto the efficiency of financial markets, based on meta-analysis of information, along...

Ma thèse de doctorat traite de la sélection de projets d'innovation en entreprises, en utilisant les marchés de prédiction comme mécanisme de sélection alternatif. Le processus d'innovation et son évaluation sont des activités ayant des répercussions sur la croissance et le développement. L’évidence montre que les méthodes habituelles d'évaluation et de sélection de projets d’innovation, comme le processus en entonnoir, ne sont pas rentables. Proposer une méthode plus efficace contribuera de manière significative à une meilleure allocation des ressources. Dans la première partie de ma thèse, je teste les prévisions du marché de prédiction contre celles des experts. Dans la deuxième, j'examine les aspects comportementaux de la prise de décision sur le marché de prédiction entrepreneurial, notamment comment le biais d’optimisme influence les décisions des traders. J’ai mené pour ces parties des expériences avec des sujets humains. Dans la troisième partie, j'examine les propriétés et éléments clés des marchés de prédiction et fourni une chronique et une classification d’articles sur les contributions les plus importantes de la littérature dans ce sujet. / My PhD thesis deals with selection of corporate and entrepreneurial innovation projects, using prediction markets as an alternative selection mechanism. Innovation process and its evaluation are two very important economic activities with repercussions for growth and development. Available evidence strongly suggests that conventional evaluation and selection methods, such as development funnel in corporate setting or decisions of Venture Capital firms in entrepreneurial one, do not yield cost-effective results. Coming up with an efficient and cost-effective method would contribute significantly to better resource allocation and social welfare. In the first part of the thesis, I test the prediction market predictions against experts’. In the second part, I examine behavioral aspects of decision-making in entrepreneurial prediction market setting, particularly how optimism bias influences traders’ decisions in prediction market. I conducted experiments with human subjects for the first two parts. In the third part of the thesis, I examine the most important elements and properties of prediction markets and provide a survey of most important contributions to prediction market literature, together with the classification and list of articles in major categories.

[pt] O papel deste estudo foi investigar se as alterações de ratings de países da América Latina produzem impactos significativos no mercado acionário brasileiro. Por ser tratar de teste de hipótese semiforte de eficiência de mercado, o estudo foi conduzido através de teste estatístico paramétrico. Os resultados encontrados corroboram com hipótese de efeito contágio no mercado acionário brasileiro, através do índice IBX. O estudo também conclui que a intensidade do impacto também depende do tipo de informação incorporada nos anúncios de mudanças de classificações soberanas. / [en] The objective of this study was to investigate if sovereign rating changes for Latin America affect the Brazilian stock market. To measure this potential impact, the parametrical statistical test of event study was adopted, commonly used in semi-strong market efficiency tests. The results support the idea of contagion effects in the Brazilian Market through the IBX index. This study also concludes that the impact depends on the type of announcement of ratings changes.

O trabalho tem como objetivo identificar a existência do efeito momento, de comprar ações com alto desempenho relativo no passado e vender as de baixo desempenho relativo no passado, e do efeito contrário, de comprar ações com baixo desempenho relativo no passado e vender as de alto desempenho relativo no passado. A análise considerou 662 ações negociadas na BM&FBOVESPA entre julho de 1994 e junho de 2015, considerando quatro períodos de formação (3, 6, 9 e 12 meses) e seis de manutenção (3, 6, 9 e 12, 18 e 24 meses) das carteiras. A metodologia adotada para o efeito momento utiliza a abordagem de Jegadeesh e Titman (1993) e, para o efeito contrário, optou-se por De Bondt e Thaler (1985). A partir da identificação das carteiras vencedoras e perdedoras, passou-se a calcular as diferenças dos retornos acumulados mensais com uma janela móvel para expurgar o viés de seleção. Das 24 estratégias analisadas, verificou-se que apenas uma não apresentou significância para o efeito momento e rejeitou-se a hipótese de existência do efeito contrário. Constatou-se o efeito momento em 23 estratégias, sendo que duas apresentaram desempenho médio mensal superior ao Ibovespa no mesmo período, nas carteiras \"12x3\" e \"9x6\", respectivamente, de 1,60% e 1,48%. As principais contribuições do trabalho foram a adoção de uma carteira móvel para a avaliação do desempenho das carteiras, o amplo período utilizado na análise e o grande número de ativos, o que proporciona maior robustez aos resultados encontrados. / The work aims to find momentum effect, that buys stocks with relative high return in the past and sells stocks with relative poor return in the past, and the contrarian effect, that buys stocks with relative poor return in the past and sells stocks with relative high performance in the past. The analysis included 662 stocks traded on BM&FBOVESPA between July 1994 and June 2015, considering four formation periods (3, 6, 9 and 12 months) and six holding periods (3, 6, 9 and 12, 18 and 24 months) for the portfolios. The methodology adopted for momentum effect uses the theory of Jegadeesh and Titman (1993) and the contrarian effect uses De Bondt and Thaler (1985) theory. From the identification of winners\' portfolios and losers\' portfolios, it was calculated the differences in monthly cumulative returns with a rolling window to purge the selection bias. Of the 24 strategies analyzed, it was found that only one has no significance for momentum effect, and the hypothesis of contrarian effect was rejected. Momentum effect was found in 23 strategies, and two had average monthly performance superior to Ibovespa in the same period in the \"12x3\" portfolios and \"9x6\" portfolios, respectively, 1.60% and 1.48%. The main contributions of this study was to adopt a rolling window for evaluating the performance of the portfolios, the extended period used in the analysis and the large number of stocks, which provides greater robustness to the results found

Submitted by William Justo Figueiro (williamjf) on 2015-07-28T19:53:01Z No. of bitstreams: 1 22d.pdf: 918974 bytes, checksum: 2f92ab487fda6b55fbdf0dfb679cc081 (MD5) / Made available in DSpace on 2015-07-28T19:53:01Z (GMT). No. of bitstreams: 1 22d.pdf: 918974 bytes, checksum: 2f92ab487fda6b55fbdf0dfb679cc081 (MD5) Previous issue date: 2013-02-28 / Nenhuma / A discussão sobre a eficiência de mercados é recorrente nos estudos de finanças. Este estudo retoma ao tema, ao investigar se é possível ao investidor que seguir recomendações públicas de investimentos obter ganhos superiores aos de mercado. Em relação a estudos anteriores, esta pesquisa acrescenta uma nova variável, a incidência do imposto sobre a renda – I.R. como um importante custo de transação. O atual estudo trabalha com uma carteira com administração ativa formada a partir das indicações de analistas consultados pelo jornal Valor Econômico entre janeiro de 2003 e dezembro de 2011. Compõem a amostra, como instrumentos de controle, o índice Ibovespa e três fundos de investimentos com gestão ativa e lastro no Ibovespa. Diversas estatísticas foram calculadas, no intuito de demonstrar o desempenho das carteiras. Testes estatísticos foram realizados com o fim de avaliar a significância estatística das diferenças encontradas (ANOVA e Teste Tukey). Dos resultados, observa-se que, a carteira com administração ativa, CV, apresentou não apenas retornos superiores aos apurados para as demais carteiras, como um desempenho em termos de relação risco/retorno também superior. Entretanto, do ponto de vista estatístico, apenas uma medida de desempenho mostrou-se significante. Isto não permite afirmar de forma categórica a superioridade da administração ativa. Apesar de boa parte dos resultados não serem significativos estatisticamente, pode-se dizer que o investidor não ficaria insensível às diferenças encontradas, pois foi possível observar os seguintes aspectos: obtenção de carteira com resultados superiores para o Índice de Sharpe, o Alfa de Jensen, o Índice de Treynor e Índice M2. Isso tudo permite colocar em dúvida a hipótese de eficiência do mercado de capitais brasileiro. / The discussion on the efficiency of markets is recurring in the studies of finance. This study takes up the theme, to investigate whether it is possible for the investor to follow the recommendations of public investments to market gains. Compared to previous studies, this research adds a new variable, the incidence of income tax – I.R. as an important transaction cost. The current study works with a portfolio with active administration formed from the indications of analysts consulted by the Valor Econômico newspaper between January 2003 and December 2011. Make up the sample, as instruments of control, the Ibovespa index and three investment funds with active management and ballast in the Ibovespa index. Various statistics were calculated, in order to demonstrate the performance of the portfolios. Statistical tests were conducted to evaluate the statistical significance of differences (ANOVA and Tukey Test). The results, it appears that, the active management portfolio, CV, presented not only returns higher than those established for other portfolios, like a performance in terms of risk/return also. However, statistically, only one performance measure proved to be significant. This does not allow State categorical way the superiority of the active administration. Although most of the results were not statistically significant, it can be said that the investor would not be insensitive to differences found, because it was possible to observe the following aspects: getting wallet with superior results to the Sharpe Index, Jensen alpha, the Treynor index and index M2. This all allows you to put in doubt the efficiency of the Brazilian capital market.

Submitted by Silvana Teresinha Dornelles Studzinski (sstudzinski) on 2016-02-17T11:33:35Z No. of bitstreams: 1 Carla Helena Schilling_.pdf: 744966 bytes, checksum: b2248b38c2c1ddafe42f229218dbfc62 (MD5) / Made available in DSpace on 2016-02-17T11:33:36Z (GMT). No. of bitstreams: 1 Carla Helena Schilling_.pdf: 744966 bytes, checksum: b2248b38c2c1ddafe42f229218dbfc62 (MD5) Previous issue date: 2011-06-16 / Nenhuma / A discussão sobre a validade ou não da administração ativa de recursos é antiga no meio acadêmico. A presente pesquisa volta ao tema, introduzindo uma variável antes não apreciada no Brasil, os custos de transação. Estudar a validade ou não da administração ativa é uma forma de estudar o tema eficiência de mercado. Em outras palavras, seria impossível ao investidor obter benefícios por meio da administração ativa em um mercado realmente eficiente. O atual estudo, realizado por meio de uma pesquisa explicativa, trabalha com uma carteira com administração ativa formada a partir das indicações de analistas consultados pelo jornal Folha de São Paulo no período entre julho de 2000 e junho de 2010. Fazem parte da amostra também, como instrumentos de controle, o índice Ibovespa e o IBrX, bem como as 20 principais ações do Ibovespa (carteira com diversificação ingênua). Foram calculadas diversas estatísticas acerca dos resultados, de modo a demonstrar o desempenho das quatro carteiras. Além disso, foram realizados testes estatísticos para avaliar a significância estatística das diferenças encontradas (Teste F – ANOVA). Dos resultados, observa-se que, mesmo após a introdução dos custos de transação, a carteira com administração ativa apresentou retornos superiores: 442,121%, contra 375,622% da carteira do Ibrx, 334,121% da carteira com diversificação ingênua e 197,991% do Ibovespa. Porém, do ponto de vista estatístico, os testes não apresentaram significância, invalidando a possibilidade de afirmação de superioridade da administração ativa. A despeito de os resultados não serem significativos do ponto de vista estatístico, pode-se dizer que nenhum investidor ficaria insensível às diferenças encontradas, pois a gestão ativa também permitiu observar os seguintes aspectos: obtenção de carteira com menor volatilidade total (desvio padrão), menor risco sistemático (beta), menor amplitude, maior Índice de Sharpe, maior Índice de Treynor e maior Alfa de Jensen. Isso tudo permite colocar em dúvida a hipótese de eficiência do mercado de capitais brasileiro. / The discussion on the validity or not of the active management of resources is ancient in the academic universe. This research deals with the theme by introducing a variable not previously appreciated in Brazil, transaction costs. To study the validity or not of active management is a way of studying the issue of market efficiency. In other words, it would be impossible, for the investor, to obtain benefits through active management in a truly efficient market. The current study, by means of an explanatory research, works with a portfolio with actively formed management under the directions of analysts polled by the newspaper Folha de Sao Paulo in the period of July 2000 to June 2010. As part of the sample, and also instruments of control, the ibovespa and ibrx and the top 20 shares of bovespa (portfolio with naïve diversification). Several statistics about the results were calculated in order to demonstrate the performance of four portfolios. In addition to this, statistical tests were performed to evaluate the statistical significance of differences (f test - anova). From the results, it is observed that even after the introduction of transaction costs, the portfolio with active management had higher returns: 442.121% 375.622% of the portfolio against the ibrx, 334.121% of portfolio with naive diversification and 197.991% of the bovespa index. However, from a statistical point of vies, the tests were not statistically significant, invalidating the possibility of asserting the superiority of active management. Even though the results were not significant from a statistical viewpoint, one can say that no investor would be insensitive to the difference, since the active management also allowed to observe the following aspects: obtaining total portfolio with less volatility (standard deviation) lower systematic risk (beta), smaller amplitude, higher the sharpe’s index, higher treynor’s index as well as jensen’s alpha. All of this allows us to question the hypothesis of efficiency of the capital market.