Made available in DSpace on 2016-04-25T16:44:27Z (GMT). No. of bitstreams: 1 Leandro Augusto Petrokas.pdf: 6508310 bytes, checksum: 436cb5d8e8eaff84b2bf0f56ca3fd7bd (MD5) Previous issue date: 2012-05-07 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / This study aims at assessing the technical analysis is capable of producing superior financial results to the model buy and hold, which recommends the purchase and sale of shares in the medium or long term, without the use of specific tools or criteria to guide such decision. The sample was composed of fourteen shares, in eight different sectors of the economy, the survey period was from 2000 to 2010 and the tests were conducted with five key indicators of technical analysis. It was decided to test whether the simple moving average of 233 periods could increase the profitability obtained by the signs. The impact of generating a buy signal in the returns of five actions, through the event study methodology and, finally, estimated the average duration of the operations performed by the signals studied. The results indicated that in a case 350, 61 only in the yield obtained with the signals of the technical analysis was superior to that obtained by the model buy and hold. By means of the chi-square, it was found that this frequency is not statistically equal to half the cases, therefore, conclude that technical analysis was not able to produce superior financial results to the buy and hold. The results showed that there was no significant improvement in profitability with the use of simple moving average of 233 days as a filter rule, therefore, was not statistically significant differences in mean returns obtained by each signal, with and without the filter. The event studies revealed that only one of the five events analyzed was a statistically significant and positive impact on stock returns. The analysis of the duration of the operations indicated that profitable operations have a longer duration when compared to non-profit for all signals except the IFR, when there was an opposite behavior of this pattern / Esta dissertação tem como objetivo principal avaliar se a análise técnica é capaz de produzir resultados financeiros superiores ao modelo buy and hold, o qual preconiza a compra e a venda de ações a médio ou longo prazo, sem utilização de critérios ou ferramentas específicas para nortear esse tipo de decisão. A amostra foi composta por quatorze ações, de oito setores diferentes da economia, o período da pesquisa foi de 2000 a 2010 e os testes foram realizados com cinco dos principais indicadores (sinais) da análise técnica. Optou-se por testar se a média móvel simples de 233 períodos seria capaz de aumentar a rentabilidade obtida pelos sinais. Foi avaliado o impacto da geração de um sinal de compra nos retornos de cinco ações, por meio da metodologia de estudo de eventos e, por fim, avaliou-se a duração média das operações realizadas pelos sinais estudados. Os resultados indicaram que dentro de 350 casos, somente em 61 a rentabilidade obtida com os sinais da análise técnica foi superior à obtida pelo modelo buy and hold. Por meio do teste do qui-quadrado, constatou-se que tal frequência não é estatisticamente igual à metade dos casos, portanto, conclui-se que a análise técnica não foi capaz de produzir resultados financeiros superiores ao buy and hold. Os resultados evidenciaram que não houve melhora significativa na rentabilidade com a utilização da média móvel simples de 233 dias como regra de filtro, pois, não foi constatada diferença estatisticamente significativa nas médias das rentabilidades obtidas por cada sinal, com e sem o filtro. Os estudos de eventos revelaram que somente em um dos cinco eventos analisados ocorreu um impacto positivo e estatisticamente significativo nos retornos das ações. A análise da duração das operações indicou que as operações lucrativas possuem uma duração maior quando comparada às não lucrativas para todos os sinais, exceto no IFR, quando se verificou um comportamento oposto desse padrão

Made available in DSpace on 2016-04-25T16:44:31Z (GMT). No. of bitstreams: 1 Katia Teresinha Guerra Gomes.pdf: 888955 bytes, checksum: 4cb2854de9af35ae524beb29184c9874 (MD5) Previous issue date: 2012-10-22 / This dissertation aims at the study of 22 companies of the international insurance segment in order to ascertain whether insurers already consider in the price of its shares the expectations of future crises and also analyze which insurance market is more efficient. To this purpose, this work studied and presented results on the following aspects: a study of 20 companies of highest market value of the international insurance segment, verifying the performance of rolling stock of each comparing with the market index of the stock exchange on which the action is negotiated. Additionally, conducted an analysis between the Brazilian insurance markets and other markets studied in the sample, verifying if the insurance segment in Brazil presents itself more efficient than international markets surveyed; and third, and last, an analysis of the stock indexes out of reshaping crisis moments as selected sample. For this survey, the methodology which has been used was the study of events. According to the results observed in this work and except that the findings are limited to the sample observed, the results indicate the occurrence of the generation of statistically significant abnormal returns after the announcement of the crisis. For the windows immediately before and after the event window, was not observed to generate statistically significant abnormal returns. Thus, we accepted the null hypothesis, assuming indications anticipated adjustments, resulting from an accumulation of factors. The results comparison among companies of the 4 sub samples showed the absence of a default behavior for the series as a whole. And considering that economic crises are the result of continuous systemic adverse events, with the results published in the media, it is reasonable to accept that the prices gradually adjusted before the measurement point / A presente dissertação tem por objetivo o estudo do retorno das ações ordinárias de 22 empresas do segmento de seguros internacional a fim de verificar se elas já embutiram no preço de suas ações as expectativas de crises futuras e também analisar qual mercado segurador se apresenta mais eficiente. Para tanto, este trabalho estudou e apresentou resultados sobre os seguintes aspectos: um estudo das 20 empresas de maior Valor de Mercado que compõem o segmento de seguros internacional, verificando o desempenho evolutivo das ações de cada uma delas comparando com o índice de mercado da Bolsa de Valores na qual a ação é negociada. Adicionalmente, efetuou-se uma análise entre o mercado segurador brasileiro e os demais mercados estudados na amostra, verificando se o segmento de seguros no Brasil se apresenta mais eficiente que os mercados internacionais pesquisados; e em terceiro e último, uma análise dos índices bursáteis nos momentos das crises financeiras selecionadas como amostra. Para tal pesquisa, utilizou-se da metodologia de estudo de eventos. De acordo com os resultados observados nesse trabalho e ressalvado que as conclusões se limitam à amostra observada, conclui-se que os resultados evidenciaram a ocorrência da geração de retornos anormais estatisticamente significativos, após o anúncio da crise. Para as janelas imediatamente anteriores e posteriores a janela do evento, não foi observada a geração de retornos anormais estatisticamente significativos. Com isso, aceitou-se a hipótese nula, assumindo indícios de ajustes antecipados, resultantes de um acumulo de fatores. A comparação dos resultados entre as empresas das 4 sub amostras evidenciaram a inexistência de um comportamento padrão para a série como um todo. E ainda considerando que as crises econômicas são resultantes de uma continuidade de eventos sistêmicos adversos, com seus resultados divulgados na mídia, é admissível aceitar que os preços gradualmente se ajustaram antes do ponto de medição

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

This dissertation examines three distinctive issues that concern the regulators and policy makers in the development of financial markets. It contains three stand-alone research projects within the context of law, finance and economic growth. Chapter 2 examines the dynamic relationship between banks and economic growth from the points of view of market efficiency and asset pricing theory. Publicly traded banks are broadly representative of a country???s banking sector, so that banking industry stock prices will broadly reflect the performance of a country???s banking sector. Because previous research has established that the institutional framework, as well as the aggregate size, of the banking sector can significantly affect economic growth, this chapter investigates whether the stock returns on a country???s banking sector contain information about future economic growth, and whether the specific country and institutional characteristics that affect the functioning of the banking system and market efficiency also influence this relationship. Using the data from 18 developed and 18 emerging markets, the chapter finds a significant and positive relationship between bank excess return and future economic growth in both the time-series and panel analyses. The chapter also finds that this positive relationship is significantly strengthened by the enforcement of insider trading law, by banking crises, by bank disclosure regulations and financial development, but is weakened by government ownership of banks. Chapter 3 investigates the role of bank idiosyncratic volatility in economic growth and systemic banking crises. Using the same dataset from Chapter 2, this chapter finds an ambiguous relationship between bank volatility and economic growth in the time-series studies, which suggests that the effect of bank volatility on economic growth is more country-specific. In the panel analyses, the chapter finds a negative but very weak relationship between bank volatility and future economic growth. This negative relationship is magnified by banking crises and bank disclosure standards, but is alleviated by the government ownership of banks, the enforcement of insider trading law and financial development. The chapter goes further to examine whether bank volatility leads to the occurrence of systemic banking crises, and finds that the marginal effect of bank volatility on the probability of banking crises is very weak for the sample of all markets, and this result is mainly driven by the data from the emerging markets. However, bank volatility is a significant predictor of banking crises even after being controlled for macroeconomic indicators, which implies that market forces are more powerful in promoting the soundness of the banking system in developed markets. We also find that those macroeconomic and banking risk management indicators have different impacts on the probability of banking crises for the emerging and developed markets. Therefore, caution needs to be taken in interpreting the cross-country results of the studies on banking crises. Chapter 4 studies the corporate governance issues in China, a significant developing country that has been neglected by the current law and finance literature. Incorporated with the legal environment and ownership structure of China???s listed companies, the chapter develops a simple game model to study a neglected aspect of current corporate governance literature: the expropriation arising from the mixture of weak investor protection, ownership concentration coexisting with ownership dispersion, and the absence of a controlling shareholder. The last two chapters find that government ownership undermines the positive link between bank excess return and economic growth, but alleviates the negative impact of bank volatility on growth as well. This chapter shows that government ownership is also a two-edged sword in corporate governance in China: it leads to a double-agency problem; however, the strong legal protection of State assets also increases the cost of expropriation. Using the data from 1996 to 2003, the chapter finds the empirical evidence consistent with the model. By analysing the puzzles in China???s stock market, the chapter suggests that improving the legal protection of investors is the key issue in the future development of the financial market.

本研究的主要目的在利用模擬實證研究的方式，探討資訊在我國股市股價形成中所扮演的角色。本研究所定義的資訊均屬最低成本或成本趨近於零的歷史性資訊或隨機亂數資訊，這些資訊包括亂數選擇、加權平均指數之反轉移動，與個股股價反轉移動資訊等。理性預期均衡理論提供了資訊與股價間關係的理論基礎。在理性預期均衡理論中，最基本的觀念是股價與攸關資訊間，若非雜訊，二者應具系統化關係。本研究預期可瞭解我國股市部份資訊效率性的意義，亦可進一步瞭解與歷史性資訊在我國股價形成所扮演的角色。 　　本研究採用模擬式實證研究法，以理性預期理論為基礎，探討隨機亂數資訊與歷史性股價資訊在股價形成過程中所扮演的角色，從而檢定我國股票市場之效率性。為了能評估不同層次之歷史資訊所代表之本質，本研究將採用之資訊分為三層次，分三階段進行。且為了觀察市場多、空頭之差異，又特別分別測試。 　　本研究以266家上市公司為抽樣母體，蒐集自民國83年至民國84年中之股價資料，分多、空頭進行研究，獲致以下結論： 　　一、在不利用任何歷史性資訊（亦即非理性狀態下）以制訂投資決策之情況下，若市場為多頭時期，存在有總累積報酬率擊敗市場且顯著差異之事實，且持有週期愈短，總累積報酬率愈高；而若市場為空頭時期，不論持有週期長短，總累積報酬率皆不能擊敗市場，但以各投資組合而言，仍存在有擊敗市場且顯著差異之事實，以此推論，台灣股票市場屬弱式效率市場之範疇。 　　二、當採用市場發行量加權平均指數之反轉移動為投資買賣點之依據，不論市場是處於多頭或空頭，總累積報酬率皆無法擊敗市場之平均表現。但各個投資組合亦存在有擊敗市場且顯著差異之事實，亦可支持台灣股票市場為弱式效率市場之說法。 　　三、若改以個股股價反轉移動為投資決策參考之指標，在多、空頭時期，且不論就個別投資組合或總累積報酬率來看，皆可輕易獲致超額報酬且顯著差異，暗示我國股市股價形成之過程並不能充分反應此一資訊，據此可推論台灣股票市場為弱式效率市場。 　　四、以市場發行量加權平均指數反轉移動資訊所制訂投資決策之績效不能顯著勝過市場之平均表現看來，台灣股票市場之股票股價形成過程中，深受歷史性加權平均指數移動資訊所影響，以致能大部分反映此部分資訊。而以個股股價反轉移動資訊所制訂投資決策之績效卻能輕易勝過市場且顯著差異看來，我國股市中個別股票股價表現似乎存在重大差異，股價與加權指數間並不皆具有高度正相關，投資人若決策錯誤，可能產生「賺了指數，賠了差價」之情形。 / This study aims to examine the role of information plays in the stock price formation by an application of simulated empirical approach. The results of this study can be used for assessing the appropriateness of Fama's definition of efficient market hypothesis (1970) in the Taiwan stock market. The assessment of information in this study includes random selection, reverse movement of stock index, and reverse movement of an individual stock. The analysis includes 266 samples covering bull/bear markets in the period between 1994 and 1995 on which the findings can be summarized as follows. 　　1. If the portfolio is formed upon random selection, the performance of portfolios can significantly beat the market in the bull market. In particular, the shorter turnover is, the higher return can be gained. There exist examples that the random portfolio can beat the market in the bear market no matter which turnover is selected. 　　2. If the portfolio is formed upon the reverse movement of stock index, even though total cumulative returns cannot beat the market average return in all cases, there exist cases beating the market. 　　3. If the portfolio is formed upon the reverse movement of an individual stock, no matter what the bull or bear market is, the portfolio can significantly beat the market for designated cases or total cumulative returns. 　　Thus, the stock price in the Taiwan stock market can be classified as a weak form market or weaker than a weak form market based on the Fama's definition (1970). Future research can consider how the Fama's definition of efficient market hypothesis can be revised in order to be applicable in the Taiwan stock market.

Background: Low Price-Earnings ratio, low Book-to market ratio and low stock prices can give the impression that a stock is “cheap”. Is it through systematic use of these portfolio strategies possible to beat the market index – in other words does financial illusions exist? Purpose: To examine if the Stockholm Stock Exchange is an efficient market. Limitations: The efficiency is tested solely through the chosen portfolio strategies: low Price-Earnings ratio, low Book-to-market ratio and low stock prices. The research only includes stocks listed on the A-, O-, OTC- and Attract40 lists during the period 1998-01-01 to 2001-12-31. Methodology: With CAPM as an equilibrium model we are examining if the P/e, Book-to-market or the stock price portfolios generate systematic overperformance in comparision to the market index SIXRX. Significance tests on the 5 % level have been performed to determine if the returns are significantly separated from zero. Results: We can establish that none of the chosen portfolio strategies generated any significant systematic overperformance.

Tellurium is one of the rarest metals in the earth’s crust. Increased demand for cadmium telluride photovoltaic cells along with an opaque pricing and quantity-reporting system, have recently caused high price volatility and a speculative bubble in the tellurium market, resulting in overstocking and depressed prices. In a longer perspective this may be a threat to cadmium telluride photovoltaics as a power-generating technology. This master thesis compares how actors may perceive news innovation in the opaque tellurium market compared to the more transparent molybdenum market. A quantitative analysis of industry news reporting on the two metals, combined with a SVAR impulse response analysis, helps me determine which actors and factors exert most influence on spot market prices. In the opaque tellurium market, relatively unreliable proxies of supply and demand are most frequent in the news reporting while having a big impact on prices, whereas the transparent molybdenum market uses more reliable variables – such as futures prices – and transparent supply information, whilst also relying on a frequent stream of dependable proxies to scope market sentiments. My findings lead me to recommend policy makers to implement measures to increase market transparency, which may be accomplished by extending the data-sharing regime of the REACH database to minor metal markets. Attempting to limit speculation in minor metal markets is perhaps too blunt a tool to fix an inherent problem of a free exchange-pricing mechanism. / Tellur är en av de mest sällsynta metallerna på Jorden. Ökad efterfrågan av kadmiumtelluridsolpaneler har nyligen orsakat stor volatilitet på tellurmarknaden. Ett opakt prissättnings-och kvantitetsrapporteringssystem har bidragit till att en prisbubbla bildats och spruckit, vilket resulterat i att marknadsaktörer köpt på sig stora lager till höga priser som de sedan inte kunnat sälja vidare. I ett längre perspektiv kan detta innebära begränsningar vid tillverkning av solcellsteknologi baserad på kadmiumtellurid, då ett volatilt pris kan göra nya tellurgruvprojekt alltför riskabla. Denna masteruppsats jämför hur en typisk marknadsaktör kan reagera på prisinnovationer i den opaka tellurmarkanden och den mer transparenta molybdenmarknaden. Metoden består av en kvantitativ analys av facknyheter rörande de två metallerna, varifrån variabler väljs till en SVAR modell med impuls-responsanalys. Urvalet av variabler är få och volatila på den opaka tellurmarknaden, medan den mer transparenta molybdenmarknaden har ett större utbud av variabler som kännetecknas av god transparens och relativ förutsägbarhet. Mina slutsatser leder mig till att rekommendera beslutsfattare att vidta åtgärder för att öka tellurmarknadens transparens genom EU-samarbetet, förslagsvis genom att göra anonymiserad data från REACH databasen tillgänglig för allmänheten. Samtidigt avråder jag från åtgärder som syftar till att minska spekulation, då implementering av en sådan policy kan bli både dyr och komplicerad.

The fast-growing economy in China attracts the world’s interests, which includes the Chinese stock markets. The market efficiency of Chinese stock markets is widely discussed by researchers in different approaches. The involvement of government in stock markets is a unique case in the financial world.   By this paper, we are answering the question that is the degree of market efficiency of stat-owned companies different from that of private companies in Chinese stock markets. This will bring us knowledge about Chinese stock markets as well as the impact from ownership, market value and management styles on market efficiency.   To clarify the influence from government involvement in stock markets, we select 938 stocks distinguished by ownership structure. This quantitative study is preceded on daily data from 2007 to 2011. We use auto correlation, Chi-square test, and linear regression together with Spearman’s correlation to test our hypothesis. The degree of market efficiency of each ownership group is examined and compared to each other. Market efficiency related to ownership and market capitalization are inspected if they are anomaly factors in Chinese markets.   The empirical results indicate that the degree of market efficiency of state-owned companies is significantly different from the degree of market efficiency of private-owned companies in China. The market capitalization is one of the existing anomaly factors in Chinese stock markets, as well as it is correlated with degree of market efficiency to some extent. For state-owned enterprises, active management on stock market does not provide a better market efficiency compared to passively managed companies.

2008 is a special year for the global financial market. The global financial tsunami ignited from the U.S sub-prime mortgage crisis has caused Wall Street financial giants to collapse. The credit crunch in turn caused a contraction in the real economy and the world paid a heavy price for this financial tsunami. Charles Dickens quote¡G "It was the best of times, it was the worst of times ". Compared to European and the United States large-scale banks, China's banks are less opened and have relatively small exposure to derivative financial products. Consequently, these barriers have led them to limit their losses and write-downs from the sub-prime mortgage crisis. This thesis studies the major China-based banks¡¦ profitability by comparing these banks¡¦ financial and operational structures, and correlations to several economic factors. At the same time, Fama-French three-factor model was used to verify the efficiency of the China¡¦s stock market. The conclusions of this study are presented as follows¡G(a) Although these Chinese banks do have economies of scale, but the relationship between scale and profitability is not proportional. (b) Chinese banks are less affected by the financial crisis as a result of the high level of protection and control of the Chinese government, coupled with the fact that most of the Chinese banks¡¦ core operations are net interest income (c) lending activity¡B net interest margin¡B and asset quality are the key drivers for Chinese banks, and these three factors are mostly negatively correlated to the economic condition. (d) Based on the regression result of the Fama-French three factors model and the result of the T test, the relation of the excess return of the Chinese banks¡¦ Shanghai-listed A-shares to both the market value and the ratio of book to market value is significant while that of the Chinese banks¡¦ Hong Kong-listed H-shares is insignificant.

<p>Background: Low Price-Earnings ratio, low Book-to market ratio and low stock prices can give the impression that a stock is “cheap”. Is it through systematic use of these portfolio strategies possible to beat the market index – in other words does financial illusions exist? </p><p>Purpose: To examine if the Stockholm Stock Exchange is an efficient market. Limitations: The efficiency is tested solely through the chosen portfolio strategies: low Price-Earnings ratio, low Book-to-market ratio and low stock prices. The research only includes stocks listed on the A-, O-, OTC- and Attract40 lists during the period 1998-01-01 to 2001-12-31. Methodology: With CAPM as an equilibrium model we are examining if the P/e, Book-to-market or the stock price portfolios generate systematic overperformance in comparision to the market index SIXRX. Significance tests on the 5 % level have been performed to determine if the returns are significantly separated from zero. </p><p>Results: We can establish that none of the chosen portfolio strategies generated any significant systematic overperformance.</p>