[Truncated abstract] This thesis examines informational efficiency and price discovery processes within the Perth housing market for the period 1988-2000 by utilising a rich source of Western Australian Valuer General’s Office (VGO) data. Fama’s (1970) classification of market efficiency as potentially weak form, semi-strong, or strong form has been a dominant paradigm in tests of market efficiency in many asset markets. While there are some parallels, the results of tests in this thesis suggest there are also limitations in applying this paradigm to housing markets. The institutional structure of housing markets dictates that a deeper recognition of important housing market characteristics is required. Efficiency in housing markets is desirable in that if prices provide accurate signals for purchase or disposition of real estate assets this will facilitate the correct allocation of scarce financial resources for housing services. The theory of efficient markets suggests that it is desirable for information diffusion processes in a large aggregate housing market to facilitate price corrections. In an efficient housing market, these processes can be observed and will enable housing units to be exchanged with an absence of market failure in all price and location segments. Throughout this thesis there is an emphasis on disaggregation of the Perth housing market both by price and location criteria. Results indicate that the Perth housing market is characterised by varying levels of informational inefficiency in both price and location segments and there are some important pricing-size influences.

[pt] O objetivo do presente estudo foi investigar a possibilidade de alterações de ratings soberanos de países emergentes produzirem efeitos no mercado acionário brasileiro. Para tanto, adotou-se o teste estatístico paramétrico de estudo de evento, amplamente utilizado para testes de eficiência semi-forte de mercado. Os resultados sugerem que alterações de ratings soberanos de países emergentes produzem efeitos no comportamento dos preços do mercado acionário brasileiro, ainda que sua intensidade esteja associada ao tipo de informação que foi incorporada. Notícias negativas, principalmente os rebaixamentos de outlook, carregam um conteúdo informacional maior do que as positivas. Observou-se ainda a existência de antecipação dos anúncios negativos por parte dos agentes. / [en] The objective of the study was to investigate the possibility that sovereign rating changes of emerging countries impact the brazilian equity market. For such, the parametric statistical test of event study was adopted, widely utilized for semi-strong efficiency market tests. The results indicate that emerging markets sovereign rating changes produce effects over the behavior of brazilian equity market prices, although the intensity of the impact is associated to the type of information that was incorporated. The study shows that negative news, specially the negative outlook rating assignments, produce higher effects on prices compared to positive news. Futhermore, it was noted that market participants anticipate negative news.

Submitted by Ricardo Alves Carmo Ribeiro (ricardoacrj@hotmail.com) on 2015-07-23T19:15:44Z No. of bitstreams: 1 Dissertação Ricardo Ribeiro - José Valentim - Gustavo Araujo.pdf: 507947 bytes, checksum: 29fa5a446aef99ff3676496ad8c078c1 (MD5) / Approved for entry into archive by GILSON ROCHA MIRANDA (gilson.miranda@fgv.br) on 2015-07-29T14:20:05Z (GMT) No. of bitstreams: 1 Dissertação Ricardo Ribeiro - José Valentim - Gustavo Araujo.pdf: 507947 bytes, checksum: 29fa5a446aef99ff3676496ad8c078c1 (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2015-07-30T12:40:19Z (GMT) No. of bitstreams: 1 Dissertação Ricardo Ribeiro - José Valentim - Gustavo Araujo.pdf: 507947 bytes, checksum: 29fa5a446aef99ff3676496ad8c078c1 (MD5) / Made available in DSpace on 2015-07-30T12:40:36Z (GMT). No. of bitstreams: 1 Dissertação Ricardo Ribeiro - José Valentim - Gustavo Araujo.pdf: 507947 bytes, checksum: 29fa5a446aef99ff3676496ad8c078c1 (MD5) Previous issue date: 2015-05-27 / Este trabalho tem como objetivo verificar se o mercado de opções da Petrobras PN (PETR4) é ineficiente na forma fraca, ou seja, se as informações públicas estão ou não refletidas nos preços dos ativos. Para isso, tenta-se obter lucro sistemático por meio da estratégia Delta-Gama-Neutra que utiliza a ação preferencial e as opções de compra da empresa. Essa ação foi escolhida, uma vez que as suas opções tinham alto grau de liquidez durante todo o período estudado (01/10/2012 a 31/03/2013). Para a realização do estudo, foram consideradas as ordens de compra e venda enviadas tanto para o ativo-objeto quanto para as opções de forma a chegar ao livro de ofertas (book) real de todos os instrumentos a cada cinco minutos. A estratégia foi utilizada quando distorções entre a Volatilidade Implícita, calculada pelo modelo Black & Scholes, e a volatilidade calculada por alisamento exponencial (EWMA – Exponentially Weighted Moving Average) foram observadas. Os resultados obtidos mostraram que o mercado de opções de Petrobras não é eficiente em sua forma fraca, já que em 371 operações realizadas durante esse período, 85% delas foram lucrativas, com resultado médio de 0,49% e o tempo médio de duração de cada operação sendo pouco menor que uma hora e treze minutos. / This work aims to verify if the Petrobras options market is ineficient on the weak form, that is, if in fact all the public information are already reflected in asset prices. So, the study tries to achieve profit systematically through the Delta-Gamma-Neutral strategy using the company's preferred stock and it’s options. This asset was chosen because it’s options were highly liquid throughout the study period (01/10/2012 to 31/03/2013). Purchase and sales orders for the underlying asset and it’s options were considered in order to reach the actual book of all instruments every five minutes. The strategy was applied when distortions between the Implied Volatility, calculated by the Black & Scholes model, and the volatility calculated by exponential smoothing (EWMA - Exponentially Weighted Moving Average) were detected. The results showed that the Petrobras options market is not efficient in it’s weak form, since in 371 transactions during this period, 85% of them were profitable, with an average result of 0,49% and the average duration of each operation being slightly smaller than an hour and thirteen minutes.

It is generally accepted in academic circles that the developed country capital markets with their advanced infra-structure, depth and liquidity are at a minimum Weak-Form efficient. Since the Weak-Form EMH proposes that current security prices immediately assimilate all historical information, it therefore also implies that technical analysis (which relies on charts and analysis of past price patterns to extrapolate future price movements) would be a futile exercise. Yet technical analysis has endured over time and is still an intensively and widely used investment analysis technique. This indicates a clear disconnect between technical analysis as employed by practitioners in the market and the technical analysis methodologies utilized by academics in prior Weak-Form EMH studies. The problem is prior technical analysis Weak-Form EMH studies were burdened with methodological weaknesses which severely handicapped the profit generating potential of technical analysis and suggest that previous Weak-Form EMH research findings were erroneous in being unable to reject the null Weak- Form market efficiency hypothesis. This study addresses the problem by eliminating prior methodological weaknesses and utilizing high frequency intra-day data, the combination of qualitative and quantitative techniques and volume signals to develop a portfolio of Intermarket Momentum technical analysis strategies that generate significant excess profits. The objective of this study is therefore to provide evidence that contrary to prior research findings, the developed country capital markets are not Weak-Form efficient. The results show that the portfolio of Intermarket Momentum trading strategies generated returns in excess of the market with a significantly positive Alpha of 8.52% that allowed the rejection of the Null Hypothesis and the acceptance of the Alternative Hypothesis that the developed country capital markets are not Weak-Form efficient, thereby refuting the widely accepted EMH. / Business Management / D.B.L.

[pt] A crescente integração econômica e financeira mundial vem continuamente intensificando a demanda por informações visando subsidiar a tomada de decisões de um investidor global, geralmente baseada em dois fatores primordiais: risco e retorno. Nesse contexto, tornam-se extremamente interessantes as informações produzidas pelas agências de classificação de risco. Tais agências representam, através de notas, o risco de uma determinada nação não arcar com suas dívidas. Conseqüentemente, ao classificar o risco soberano de um país, influenciam investidores de todo o mundo, impactando principalmente, os mercados emergentes, como o brasileiro. Assim, o objetivo deste trabalho é avaliar os efeitos de mudanças dos ratings soberanos brasileiros atribuídos pelas agências de classificação de risco, no mercado acionário nacional. É percorrido um histórico das agências de rating e dos principais bonds por elas avaliados. Também é fornecida uma detalhada descrição das características daquelas agências e a forma de que elas influenciariam o mercado de capitais. Em seguida, através de testes estatísticos, desenvolve-se um estudo de evento, para analisar os efeitos verificados sobre os retornos do índice BOVESPA, nos períodos de upgrade, downgrade ou reavaliação assinalados pelas agências.Por fim, resultados serão expostos e as conclusões apresentadas. / [en] The growing economic and financial integration of the world is continuously intensifying the demand for information, in order to subsidize the decision making of the global investor, generally based on two major factors: risk and return. In this context, the data produced by the Credit Risk Agencies becomes extremely interesting. Such Agencies represent, with grades, the risk of a specific nation does not pay its debt. Consequently, when there is a Sovereign Risk classification of a country, these companies influence investors all over the world, impacting mostly the emerging markets, as well as the Brazilian market. Therefore, the objective of this work is to evaluate the effects of Brazilian Sovereign ratings, attributed by the Credit Agencies, in the national stock bond markets. A history of the Credit Agencies and the most important bonds evaluated by them will be reviewed. Furthermore, a detailed description of the characteristics of those agencies and how they influence the capital markets will be provided. Following, through statistical tests, an event study will be developed to analyze the effects verified in the returns of BOVESPA index, in events of upgrade, downgrade and outlook revision signed by the Credit Agencies. Finally, results are provided and conclusions presented.

Prior studies have shown that returns exhibit certain predictable patterns that are inconsistent with the mainstream finance theory. In this thesis, I explore the behaviour of returns following three different types of market events with a particular focus on behavioural and non-behavioural factors that are attributable to the predictability of post-event returns. This thesis consists of three self-contained empirical essays. The first essay examines the information role of large S&P500 futures trades (commercial, noncommercial, dealers, asset managers, and hedge funds) in shaping future index returns. I find that commercial firms’ net trading level appears positively correlated with future index returns but the relationship is not stable across time. Based on more recent data, hedge funds appear superior in terms of access to information and/or trading ability but this advantage is only preserved at high frequency. Therefore, the current weekly Commitment of Traders (COT) report - published with a three-day delay - prevents timely public access to this type of information. Also, trading signals based on two of the more popular position-based sentiment indicators do not produce significant average returns. Overall, this calls into question the reliability of COT-based trading signals used by market professionals. The second essay studies the impacts of short sellers’ trading in shaping the behaviour of stock returns following extreme price moves using data from stock market in mainland China where short sales were initially prohibited. Extreme price moves occurring under non-prohibitive/prohibitive short-sale constraints are defined as shortable/non-shortable events. I find shortable events exhibit less post-event price drift/reversals than non-shortable ones, indicating an increase in the efficiency of stock prices reacting to unexpected events. Further analysis of short sellers’ trading activities on the price event days suggests that they are successful in trading informed price shocks but not in trading uninformed ones. Finally, I find evidence of massive short-covering that amplifies price shocks. The third essay investigates investors’ reaction to stock market rumours using data from China where listed companies are required to clarify rumours appearing in the media. I find that post-clarification abnormal returns exhibit continuation of pre-clarification momentum for rumours that are not denied by the listed companies and reversals for those which are denied. These results suggest that investors are unable to distinguish the reliable rumours from the false ones, as they under-react to rumours containing material information and over-react to those without. Further regression analyses on post-clarification abnormal returns using various subsamples of rumour events show that investors respond more efficiently to rumours when they are more informed about news topics or the rumoured companies.

Cette thèse porte sur les choix des investisseurs de long terme en matière de gestion de portefeuille ainsi que sur les primes de risque offertes par le marché financier Français. Les travaux réalisés dans cette thèse se proposent d’apporter un éclairage ainsi que des arguments en faveur des placements à caractère long, risqué et productifs.En matière de gestion de portefeuille, ce travail apporte plusieurs réponses en matière d’allocation d’actifs et de stratégies optimales d’investissement. Tout d’abord, et en se basant sur des indices boursiers actions et obligataires, il s’avère que le marché français est efficient au sens faible et que l’hypothèse de marche aléatoire n’y est pas rejetée. Ce premier résultat implique que les rentabilités anormales que l’on peut mesurer sur ce marché émanent de facteurs de risque à rémunérer et non pas d’anomalies. Ainsi, dans le deuxième article, on démontre une prime de valeur persistante au sein du marché Français sur la période étudiée. Par contre, la prime de taille n’est observable que pour les titre à ratio valeur comptable sur valeur de marché très faibles ou très élevés ainsi que pour les titres ayant une rentabilité cumulée passée élevée. Aussi, investir dans les entreprises à momentum élevé mène toujours à des rentabilités meilleures quelle que soit la taille de l’entreprise considérée. On confirme également que la bonne spécification du portefeuille de marché est sine qua non pour une évaluation correcte des actifs financiers. Dans le troisième article, et dans une optique multi-périodiques de gestion de portefeuille, l’écart-type des rentabilités annualisées des actifs risqués décroit lorsqu’on allonge la période de détention ce qui implique que les gestionnaires de portefeuille tendent à biaiser les allocations vers des actifs plus sûrs et négligent par cela un manque à gagner. Ce travail démontre également que détenir un portefeuille d’actions de petites capitalisations s’avère un placement optimal pour les investisseurs ayant un horizon long. Ces résultats mettent en lumière des règles prudentielles inefficaces du point de vue des assurés d’une part, et, mettent en évidence la nécessité de mesures visant à relancer les marchés pour les petites entreprises et de faciliter leur accès au financement direct d’autre part. / This thesis focuses on long term investments and risk premiums within the French financial market. The results bring evidence supporting placements in long term, risky and productive assets. In terms of portfolio management, this thesis brings several answers regarding the optimal allocation strategies. The first article demonstrates that the French financial market is weak form efficient since we could not reject the random walk hypothesis based on the variance ratio methodology. This first contribution implies that abnormal returns are resulting from risk factors and not from anomalies. Thus, the second article revisits famous asset pricing models and highlights optimal portfolio strategies. We find that value and momentum premiums are persistent in the French market. However, size premium is only observable in extreme book to market and momentum strategies. Moreover, we show that market portfolio choice is sine qua non to models performances and that the latest is surprisingly increasing in times of distress. The third article considers the term structure of risk-return tradeoff. Based on a VAR model, we find that excess annualized standard deviation of stocks excess returns with respect to bonds and bills decreases as we lengthen investment horizon which means that investors may bias their portfolios towards safe assets and neglect additional return. Furthermore, we measured the time diversification effect among stock portfolios by distinguishing small and big capitalizations and prove that it is more profitable to hold small capitalizations than big capitalizations stocks in the long run. These results shed light on inefficient prudential rules from the viewpoint of policyholders on one hand, and, on the other hand, highlight the necessity of implementing measures to revive the markets for small enterprises and facilitate their access to direct financing through the market.

Operações de alta frequência ganharam destaque nos últimos anos, tanto no mercado nacional quanto internacional, e têm atraído a atenção de reguladores, pesquisadores e da mídia. Assim, surgiu a necessidade de estudar o mercado de capitais brasileiro no contexto dos dados em alta frequência. Este estudo preocupa-se em analisar os efeitos dos avanços tecnológicos e novas formas de negociação na qualidade do mercado. Tais pontos são caracterizados pelo HFT. Gomber e Haferkorn (2013) explicam que HFT é um subgrupo das negociações com algoritmos. Os investidores HFTs são caracterizados por negociarem com seu próprio capital, manterem posições por espaços curtos de tempo, pelo alto volume de negociação e por atualizarem as ordens com frequência. A revisão da literatura permitiu delinear o termo e identificar as estratégias adotadas, os impactos positivos e negativos na qualidade de mercado, os riscos advindos da prática e medidas adotadas ou propostas para mitigar esses riscos. A contribuição decorrente das negociações em alta frequência foi analisada empiricamente com ênfase na questão da eficiência informacional do mercado nacional. Para isso, foram utilizados dados intradiários do índice Bovespa, com frequências de observação a partir de 1 minuto. Aplicações do teste de sequência para aleatoriedade e teste de razão de variância de Lo e Mackinlay (1988) evidenciaram um aumento na eficiência do mercado ao longo do período analisado, entre 2007 e 2015, para a frequência de observações de 1 minuto. Foi encontrada relação entre esse ganho em eficiência e o aumento da participação do HFT no mercado. Também foi constatado que o mercado se mostra menos eficiente quando a frequência de observação aumenta e que os ganhos em eficiência são mais acentuados para frequências maiores. Os últimos resultados fortalecem a percepção de que a melhora na eficiência está relacionada diretamente à atuação dos HFTs no mercado, haja vista a característica destes de explorarem ineficiências de preço em frações de segundos. Descreveu-se assim o mercado de capitais nessa era de alta frequência e os impactos do HFT na eficiência de mercado. Tais pontos podem ser colocados como contribuições práticas deste estudo. / High-frequency trading has gained notoriety in recent years and attracted incresing attention among policymakers, researchers and media. This brought about the need for research of high frequency data on brazilian capital market. This study aims to investigate the effects of technological advancements and new forms of trading, specially HFT, on market quality. Gomber and Haferkorn (2013, p. 97) define HFT as a subset of algorithmic trading \"characterized by short holding periods of trading positions, high trading volume, frequent order updates and proprietary trading\". The literature review made it possible to define the term and identify strategies, positive and negative impacts on market quality, risks and ways to mitigate these risks. The contribution arising from HFT was analyzed empirically with an emphasis on price efficiency in the domestic market, using intraday Bovespa index data in different frequencies. Run tests and Lo and Mackinlay (1988) variance ratio tests showed increasing efficiency over the period, between 2007 and 2015, for observations in 1 minute frequency. Relationship between this gain in price efficieny and the growth of HFT market share was found. It was found that the market is less eficiente when higher frequencies are analyzed, and that the efficiency gains are more pronounced for higher frequencies. The last results strengthen the perception that the efficiency gains are directly related to high-frequency trading, given its characteristc of exploring price inefficiencies that last fractions of seconds. The capital market in this high frequency era and the impacts of HFT on market efficiency were described in this study

Les marchés financiers occupent, depuis des décennies, une place importante dans notre société. Pourtant, ils présentent des risques accrus auxquels font face la majorité des institutions financières. Les crises, les krachs, les bulles et les turbulences financières jalonnent l’histoire de ces marchés et les déstabilisent fréquemment. En effet, l’existence des anomalies et des biais psychologiques, allant à l’encontre de l’hypothèse d’efficience, remettent en question la théorie financière et révèlent de façon rigoureuse les inefficacités des mécanismes de gestion financière et de contrôle du risque du marché. Confrontés à ces évolutions, le comité de Bâle II recommande la Value at Risk comme une nouvelle vision réglementaire des risques. Ce processus d’innovation financière, introduite par la banque JP Morgan dans les années 90, a connu une grande reconnaissance en finance, mais elle est aussi sujette à des controverses continuelles. Pour surmonter les limites de la VaR, nous proposons un nouveau cadre d’analyse de la VaR basé sur des processus fractals. Tenant compte des anomalies et des facteurs de risques du marché financier, qui induisent des rendements par nature non-gaussiens, nous introduisons la VaR en fonction du modèle multifractal à changements de régime markovien de Calvet et Fisher. L’approche VaR-MSM qui modélise la volatilité multifractale à différentes fréquences constitue un aperçu différent d’évaluation du risque du marché. En appliquant ce modèle sur l’indice boursier français le CAC 40, les résultats obtenus révèlent que la VaR-MSM a surpassé assez nettement les autres modèles d’évaluation de la VaR. / Financial markets occupy an important place in our society. However, they present increased risks to financial institutions. Crises, crashes, bubbles and financial turbulence often destabilize these markets. Indeed, the existence of different anomalies and psychological bias, going against the hypothesis of efficiency, put into question financial theory and present an inefficiency of financial and risk management. Faced with these effects, Bale II committee recommended Value at risk as a new financial instrument of risk management. Value at Risk, introduced by JP Morgan Bank in the 90, have a great recognition in finance, but it is also a subject of controversy. To overcome the VaR limits, we propose a new framework based on fractal process. Taking into account abnormalities and risk factors of financial markets, which induce non-Gaussian returns, we introduce the VaR with a Markov-switching multifractal model proposed by Calvet and Fisher. The VaR-MSM approach presents multifractal volatility at different frequencies. We apply this model to the France CAC 40 stock market index. The results clearly show the advantages of VaR-MSM compared with other models of VaR evaluation.

WHAT WAS DONE? This study researches the success of several value investment strategies in the stock markets of the United Kingdom and Germany based on nine firm fundamentals that are extracted from listed firms annual financial statements. In this regard, we first examine alternative forecast combination methods in a novel way to utilise fully the financial information at hand. Second, we examine the drivers of investment returns, particularly the role of information uncertainty, for which a new direct measure is developed. Finally, we evaluate the performance of these financial health investment strategies in alternative institutional environments by focusing on the differences between the two markets regarding both their corporate culture and their legal environment. WHY WAS IT DONE? Similar to economics, the discipline of finance is a social science because its observations emanate from economic transactions between humans. Nevertheless, a significant part of the research in this area is undertaken by means that are almost exclusively applied to the natural sciences, such as mathematics or physics. Although the reasons seem manifold, an increased form of scientificity, in conjunction with greater credibility of the research process and results, is deemed to be of primary importance. However, the benchmark for evaluating these research outcomes differs from those used in the natural sciences. From the example of the efficient market hypothesis one can see that alternative research results that cast serious doubt upon efficiency per se are disregarded as aberrations, leading to the assumption that the hypothesis in its entirety is more or less valid. This study assumes that inefficiencies in the stock market do exist for prolonged periods of time and investors are actually able to benefit from them. HOW WAS IT DONE? Secondary financial statement data of listed companies in the United Kingdom and Germany were downloaded from Datastream for the period between 1992 and 2010. A quantitative analysis of the significance of the correlation between groups of firms with similar financial characteristics and their one-year-ahead stock returns was subsequently performed. Various combination methods for differential weighting of individual financial statement items were conducted. The aim was to increase the profitability of the investment strategy. WHAT WAS FOUND? In general, a classification of stocks according to certain internal criteria of financial health is capable of separating future winners from losers and at the same time confirms the results of a previous US study. More specifically, we first show that a wide range of combination methods generate profitable investment strategies whereby especially measures of profitability are the central indicator of a firm s future performance. Secondly, the more complex methods neither consistently nor substantively outperform the simpler methods. Thirdly, information uncertainty does not seem to be the prime driver of the profitability of an investment strategy. Lastly, we show that financial health investment strategies are profitable both in market-oriented, common law settings and in bank-oriented, code law settings.