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Dissertations / Theses on the topic 'Behavioral finance'
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1
Jindřich, Tomáš. "Behavioral Finance." Master's thesis, Vysoká škola ekonomická v Praze, 2007. http://www.nusl.cz/ntk/nusl-2671.
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Obecný popis teorie Behavioral Finance, porovnání s alternativními teoriemi (hlavně s teorií efektivních trhů). Analýza vybraných problémů - Prospect Theory, Cognitive Framing, spekulativní bubliny. Empirický výzkum v oblasti psychologie davu a oblasti reakcí kapitálových trhů na nové informace.
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Guo, Zhaohui. "Behavioral Finance die empirische Überprüfbarkeit behavioraler Modelle /." [S.l.] : [s.n.], 2002. http://www.unisg.ch/www/edis.nsf/wwwDisplayIdentifier/2625.
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Cannon, Bradley. "Essays in Behavioral Finance and Corporate Finance." The Ohio State University, 2020. http://rave.ohiolink.edu/etdc/view?acc_num=osu1596734414457693.
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Peter, Vanessa. "Behavioral Finance und Anlagepolitik." St. Gallen, 2006. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/01702828002/$FILE/01702828002.pdf.
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Wahlbeck, David, Carl Sandberg, and Hannes Bernéus. "Investors´ Rationality : Behavioral Finance." Thesis, Jönköping University, JIBS, Business Administration, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-7734.
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Anderson, Anders. "Essays in behavioral finance." Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics (Ekonomiska forskningsinstitutet vid Handelshögsk.) (EFI), 2004. http://www.hhs.se/efi/summary/636.htm.
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Benamar, Hedi. "Essays in Behavioral Finance." Thesis, Jouy-en Josas, HEC, 2014. http://www.theses.fr/2014EHEC0004/document.
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Cette thèse consiste en trois chapitres distincts. Dans le premier chapitre, je teste l'hypothèse selon laquelle le format d'affichage de l'information financière affecte les décisions des investisseurs individuels. Je montre qu'un affichage plus efficace permet aux individus de mieux gérer leurs ordres à cours limité en minimisant le risque de sélection adverse encouru en utilisant ces ordres. Cela suggère que les investisseurs individuels ont une rationalité limitée. Dans le second chapitre, je teste si les stratégies de trading apporteuses de liquidité peuvent générer des profits, après coûts de transactions, pour les traders actifs qui les implémentent. Je montre que seuls les individus situés dans le plus haut décile de performance peuvent battre le marché de façon persistante en utilisant des stratégies hautement contrariantes qui nécessitent l'utilisation massive d'ordres à cours limité. Les limites-à-l'arbitrage semblent expliquer ce phénomène. Dans le troisième chapitre, j'étudie les stratégies des individus autour des annonces de résultats. Je montre que les allers-retours qui sont implémentés un jour avant une annonce génèrent en moyenne des profits plus élevés et sont plus courts en durée que ceux implémentés en temps normal. Les individus clôturent leurs positions gagnantes le jour de l'annonce, ce qui peut ralentir l'ajustement des prix suite à l'annonceThis thesis is made of three distinct chapters. In the first chapter, I test whether the display format of financial information matters for the individual investor. I find that a more efficient information display allows investors to increase returns on their limit orders, because it becomes easier for them to mitigate the risk of adverse selection when trading with those orders. My findings suggest that retail investors have bounded rationality. In the second chapter I test whether liquidity provision to the market can be a profitable strategy, after fees, for active retail investors. I find that only individuals ranked in the top decile of performance can persistently beat the market using highly contrarian limit order strategies. Limits-to-arbitrage seem to explain why these top retail investors exploit trading opportunities before other more sophisticated arbitrageurs. In the third chapter, I study the retail trading strategies around stock earnings announcements. I find that round-trips started one day before an announcement are more profitable and much shorter in duration than those started during the non-announcement period. Retails reverse their winning trades on the event date, which can slow down the adjustment of prices to new information
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Teigelack, Lars. "Finanzanalysen und Behavioral Finance." Baden-Baden Nomos, 2008. http://d-nb.info/992585864/04.
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Hong, Jieying. "Essays on corporate finance theory and behavioral asset pricing." Thesis, Toulouse 1, 2013. http://www.theses.fr/2013TOU10018/document.
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Cette thèse se compose de trois documents. Les deux premiers articles étudient comment les entreprises devraient être structurés de manière à faciliter leur accès aux fonds quand il y a des conflits d'agence entre les emprunteurs (entreprises) et les prêteurs (les investisseurs). Chapitre 1 étudie la relation entre la portée de l'entreprise et des contraintes financières. Chapitre 2 utilise une approche contractuelle optimale pour analyser le développement d'un produit innovant par des alliances stratégiques des deux entreprises. Le chapitre 3 analyse si l'expérience des commerçants peut réduire leur propension à spéculer ?This thesis consists of three self-contained papers. The first two papers study how firms should be structured to facilitate their access to funds in the face of agency conflicts between borrowers (firms) and lenders (investors). Chapter 1 studies the relationship between firm scope and financial constraints. Chapter 2 uses an optimal contracting approach to analyze the development of an innovative product through strategic alliance by an entrepreneur and an incumbent. Chapter 3 analyzes whether traders’ experience reduce their propensity to speculate?
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Sairafi, Kamran, Karl Selleby, and Thom Ståhl. "Behavioral Finance : The Student Investor." Thesis, Jönköping University, JIBS, Business Administration, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-1500.
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Bachelor thesis within Business Administration
Title: Behavioral Finance – The Student Perspective
Authors: Kamran Sairafi, Karl Selleby, Thom Ståhl
Tutor: Urban Österlund
Date: 2008-05-30
Background: History is full of examples on how humans can create investment
bubbles through speculation; from the Dutch tulip mania to the
Dot Com bubble humans have proven to be capable of creating
economical chaos. Classical economical theories hold the assumption
that individuals act rationally regarding decisions of an
economical nature. Since the information on the stock market is
available to everyone who seeks it, the appearance of investment
bubbles should not be possible. Behavioral finance is an academic
branch which seeks to explore these phenomenons through the
psychological factors affecting humans in investment decisions.
Purpose: The purpose of the report is twofold. Firstly it is to examine the
characteristics of investment interested business students enrolled
at Jönköping International Business School. Secondly it looks into
the decision-making process and choices of the population
from the perspective of behavioral finance.
Method: This research holds an abductive approach and is based on qualitative
data. Data collection was done through an Internet-based
questionnaire containing several different questions on the areas
related to the inquiries. In some cases statistical analysis was conducted
to test for significant correlation between key characteristics.
Results: A statistically proven correlation could be discerned between
trading experience and frequency; for each additional year an individual
engaged in trading the frequency increased. Herd behavior
was detected in a majority of the sample. When faced with a
scenario in which their immediate surrounding opposed their own
analysis of a stock, the greater part of the sample would reconsider
their position. Two main sub-groups were detected. The first
was characterized by its high tolerance of risk; the second subgroup
was characterized by its inconsistency in behavior.
Conclusions: This paper found that the behavior of respondents in the chosen
population was best described as “student behavior”; a somehow
irrational behavior explained by the learning process in which
business students exist.
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Skimmyhorn, William. "Essays in Behavioral Household Finance." Thesis, Harvard University, 2012. http://dissertations.umi.com/gsas.harvard:10233.
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This dissertation investigates some of the factors affecting modern household finance decisions in the United States using natural experimental variation and administrative data. In Chapter 1 I estimate the effects of financial education on retirement savings decisions. Between 2007 and 2008 the U.S. Army implemented a mandatory 8 hour Personal Financial Management Course (PFMC) for new soldiers. Staggered implementation across locations and time provides quasi-experimental variation in whether an individual received the training. I find that the course has large and lasting effects on individual retirement savings in the Thrift Savings Plan, a tax-deferred account similar to a 401(k). The course doubles savings, has significant effects throughout the distribution of savings and the effects persist out to two years. The mechanism for the effects is likely a combination of both human capital and behavioral assistance. In Chapter 2 I estimate the effects of financial education on a variety of other economic behaviors. I rely on the same natural experiment as in Chapter 1 but I use individually matched credit data to estimate the effects of financial education on credit scores, credit balances for several types of accounts, monthly payments and adverse legal actions. In some areas I find that the PFMC has beneficial effects, reducing cumulative account balances (especially for automobile accounts) and aggregate monthly payments. In other areas, including credit scores, the probability of being active in the credit market and the number of adverse legal actions, the PFMC has no statistically significant effects on financial behavior. In Chapter 3 I estimate the effects of stress on financial decision-making. I use the natural variation in the casualty rates faced by individuals deploying overseas an exogenous source of stress and I measure the effects of this stress on individuals' participation in the Savings Deposit Program (SDP), a risk-free 10% annual percentage rate savings account. I find a modest and statistically significant negative relationship between the stress of casualties and SDP participation on the order of 5%. Some failures of the randomization test and the confounding effects of overall activity levels and rural locations cannot be eliminated as a source of the observed savings differences and as a result, these results should be considered suggestive evidence of the adverse effects of stress on financial decision-making.
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Remorov, Alexander. "Dynamic trading and behavioral finance." Thesis, Massachusetts Institute of Technology, 2016. http://hdl.handle.net/1721.1/107017.
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Thesis: Ph. D., Massachusetts Institute of Technology, Sloan School of Management, Operations Research Center, 2016.This electronic version was submitted by the student author. The certified thesis is available in the Institute Archives and Special Collections.
Cataloged from student-submitted PDF version of thesis.
Includes bibliographical references (pages 198-204).
The problem of investing over time remains an important open question, considering the recent large moves in the markets, such as the Financial Crisis of 2008, the subsequent rally in equities, and the decline in commodities over the past two years. We study this problem from three aspects. The first aspect lies in analyzing a particular dynamic strategy, called the stop-loss strategy. We derive closed-form expressions for the strategy returns while accounting for serial correlation and transactions costs. When applied to a large sample of individual U.S. stocks, we show that tight stop-loss strategies tend to underperform the buy-and- hold policy due to excessive trading costs. Outperformance is possible for stocks with sufficiently high serial correlation in returns. Certain strategies succeed at reducing downside risk, but not substantially. We also look at optimizing the stop-loss level for a class of these strategies. The second approach is more behavioral in nature and aims to elicit how various market players expect to react to large changes in asset prices. We use a global survey of individual investors, financial advisors, and institutional investors to do this. We find that most institutional investors expect to exhibit highly contrarian reactions to past returns in terms of their equity allocations. Financial advisors are also mostly contrarian; a few of them demonstrate passive behavior. In contrast, individual investors are, on average, extrapolative, and can be partitioned into four distinct types: passive investors, risk avoiders, extrapolators, and everyone else. The third part of the thesis studies how people actually trade. We propose a new model of dynamic trading in which an investor is affected by behavioral heuristics, and carry out extensive simulations to understand how the heuristics affect portfolio performance. We propose an MCMC algorithm that is reasonably successful at estimating model parameters from simulated data, and look at the predictive ability of the model. We also provide preliminary results from looking at trading data obtained from a brokerage firm. We focus on understanding how people trade their portfolios conditional on past returns at various horizons, as well as on past trading behavior.
by Alexander Remorov.
Ph. D.
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Sinkey, Michael. "Three Essays in Behavioral Finance." The Ohio State University, 2011. http://rave.ohiolink.edu/etdc/view?acc_num=osu1306356468.
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Baltussen, Guido. "New insights into behavioral finance." [Amsterdam] : Rotterdam : Thela Thesis ; Erasmus University [Host], 2008. http://hdl.handle.net/1765/14104.
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Lepori, Gabriele M. "Three essays on behavioral finance." Diss., Connect to online resource - MSU authorized users, 2008.
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Park, Na Young. "Essays in corporate finance." Thesis, University of Oxford, 2013. http://ora.ox.ac.uk/objects/uuid:7c9167ff-de9b-45df-b3db-295e553bc5fe.
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Prior research on corporations finds that there exists a large unexplained firm-specific heterogeneity in corporate behaviors stemming from the effects of managers. This research identifies managerial personalities and tests their effects on corporate behaviors both experimentally and empirically. First, the effects of managerial personalities on corporate financing decisions are tested using a laboratory experiment with managers in South Korea. The laboratory experimental market is à la Modigliani and Miller but with two frictions, bankruptcy costs and corporate taxation. Leverage choices of managers with particular personality traits are compared against the optimal capital structure computed from the static trade-off theory. The results show that extravert managers choose higher leverage ratios, with the effect being financially meaningful although not statistically significant. Secondly, I identify extravert CEOs and empirically measure its effects on corporate financing choices using Chief Executive Officers’ avocation data and corporate financial data of public, nonfinancial US companies between 1992 and 2011. The results of mean comparisons by group, fixed effects regressions, difference-in-difference regressions, and changes of leverages around CEO turnovers show that extravert CEOs tend to issue risky debt more when accessing external finance and maintain higher leverage ratios than their peers. Thirdly, I test the effects of managerial extraversion on executive compensation. I first offer an empirical compensation model of managerial bargaining power, and then empirically tests the prediction by identifying a personality trait relevant to bargaining power using a novel set of managerial hobbies data. The results provide an evidence that CEO bargaining power has an increasing effect on CEO compensation.
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Asaad, Colleen Tokar. "Two Essays in Finance: Cultural Finance and Behavioral Financial Literacy." Kent State University / OhioLINK, 2013. http://rave.ohiolink.edu/etdc/view?acc_num=kent1365599205.
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Fazley, Olga. "Regulierung der Finanzanalysten und behavioral finance /." Baden-Baden : Nomos, 2008. http://d-nb.info/989548120/04.
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Gao, Lei. "Behavioral finance and Chinese stock market /." Berlin : Logos-Verl, 2005. http://www.gbv.de/dms/zbw/393035638.pdf.
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Havlíček, David. "Chování akciových kurzů pohledem behavioral finance." Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-9612.
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Thesis deals with analysis and interpretation of movements of share rates in the view of behavioral finance. It examines how investor psychology, as one man, and the characteristics of the crowd and their influence on the behavior of the markets. This work represents some of the theoretical concepts of behavioral finance, which are contrary to the postulates of the theory of efficient markets, as well as empirical evidence on market anomalies that serve as the basis of arguments advocates of behavioral finance. The theoretical parts are dismembered some of the main influences acting on the psychology of investors, with a strong emphasis on the scarcity of arbitration, and some selected problems of the theory. In the practical part in the three experiments proven results confirming the interpretation of behavioral finance.
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Li, Xin. "Essays in behavioral and computational finance." Thesis, University of Leicester, 2017. http://hdl.handle.net/2381/39922.
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This thesis consists of two essays on behavioral finance and financial market microstructure with computational approaches. Chapter 2 investigates the effects of steroid hormones and trader composition on financial markets in a mathematical model. We focus on the composition of traders in financial markets, namely, female traders and male traders, as risk preferences change in different ways with the mediation of steroid hormones. Firstly, we examine the effects of testosterone on financial risk preferences and market stability in the model. The results from simulation show that the effects of a more balanced gender composition are more nuanced. An increase in the proportion of female traders may actually increase the volatility of returns; however, the chances of extreme events are reduced. Secondly, we analyze the effects of cortisol on traders' risk preference and market behavior in our model with traders' risk preferences influenced by market uncertainty via the mediation of cortisol. Results from our model show that concerns about heightened market uncertainty mitigate traders' excessive risk-taking behaviors and performance of traders is largely affected by market sentiment. In the third part of Chapter 2, we examine the overall effect of testosterone and cortisol on market behavior with traders having heterogeneous behavioral and physiological responses to trading outcomes and market uncertainty. Results from simulation show that male-dominated market is less volatile as the effect of concerns about market uncertainty outweighs the effect of trading outcomes on traders' behavior. Chapter 3 examines the impact of two different types of information on high frequency market microstructure. We present a dynamic trading game in the limit order market with computerized traders and human traders trading in one risky asset, where traders might have lags in observing the contemporaneous fundamental value and the order book status. Optimal strategies and market characteristics are determined through a unique numerical technique. Our results show that these two types of information have different values for traders with information on contemporaneous fundamental value being more valuable than the information on contemporaneous limit order book status.
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Jones, Jentry Indigo. "Behavioral Household Finance and Robo-Advising." Electronic Thesis or Diss., Orléans, 2024. http://www.theses.fr/2024ORLE1084.
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Cette recherche étudie le comportement des ménages investisseurs qui utilisent un robo-advisor français à travers quatre articles empiriques. Dans la première étude, les investisseurs qui épargnent régulièrement épargnent moins à moyen et long terme que ceux qui n'épargnent que sporadiquement, ce qui remet en question l'universalité de ce conseil financier populaire. Dans la deuxième étude, les investisseurs actualisent le risque de leur portefeuille au fil du temps d'une manière qui ne reproduit pas toujours les résultats obtenus avec des portefeuilles statiques, ce qui remet en question la mesure dans laquelle la recherche sur les portefeuilles statiques devrait éclairer les conseils pratiques sur les portefeuilles dynamiques. Dans la troisième étude, les investisseurs ont globalement moins épargné pendant la pandémie de Covid-19 et ont actualisé différemment leurs plans à long et à court terme, comblant ainsi une lacune à laquelle les données au niveau de marché ne peuvent pas répondre et donnant un aperçu de la manière dont les investisseurs pourraient réagir aux crises à venir. Dans la quatrième étude, les parents investissent pour leurs enfants de la même manière que pour eux-mêmes et ouvrent un peu plus de comptes pour leurs fils que pour leurs filles, ce qui met en évidence les domaines dans lesquels les gestionnaires de patrimoine doivent mieux informer les familles sur la manière de planifier les finances de leur ménage. Dans l'ensemble, cette recherche documente de nombreux écarts comportementaux au niveau microéconomique par rapport à la théorie financière traditionnelle et démontre que la recherche scientifique utilisant des données sectorielles peut donner lieu à des découvertes surprenantesThis research studies the behavior of household investors who use a French robo-advisor across four empirical papers. In the first study, investors who save regularly save less in the medium- to long-run than those who only save sporadically, calling into question the universality of this popular financial advice. In the second study, investors update their portfolio risk over time in a way that does not always replicate findings from static portfolios, challenging the extent to which research on static portfolios should inform practical advice about dynamic portfolios. In the third study, investors saved less overall during the Covid-19 pandemic and updated their long- and short-term plans differently, addressing a gap that market-level data cannot answer and providing insights into how investors may react to future crises. In the fourth study, parents invest for their children similar to how they invest for themselves and open slightly more accounts for sons than for daughters, highlighting areas where wealth managers must better inform families about how to plan their household finances. Overall, this research documents many micro-level behavioral departures from traditional finance theory and demonstrates how scientific research using industry data can yield surprising discoveries
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Büchi, Silvio. "Neoklassische Finanzmarkttheorie und Behavioral Finance - ein Paradigmenwechsel?" St. Gallen, 2009. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/06607816101/$FILE/06607816101.pdf.
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Nieddu, Marco Giovanni. "Essays in applied microeconomics and behavioral finance." Doctoral thesis, Universitat Pompeu Fabra, 2018. http://hdl.handle.net/10803/664417.
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This thesis consists of three chapters. In the first chapter, I investigate how promo-tion incentives affect the performance of high-skilled public employees. I study a centralized evaluation process awarding the eligibility for associate and full pro-fessorship in Italian academia, and show that the perspective of a promotion in-duces scholars to increase their research productivity. In the second chapter, I present the results from a laboratory experiment designed to assess whether and how financial literacy influences the way individuals perceive and evaluate finan-cial assets. By comparing participants’ investment decisions under different treat-ments, I show that the lack of financial literacy lowers the subjective value that investors assign to risky financial assets. The third and last chapter is devoted to an empirical analysis of the link between university quality and employment opportunities. I find that postgraduate students who receive incentives to attend higher-ranked universities are more likely to be employed one year and a half after the end of their studies.Esta tesis consiste de tres capítulos. En el primer capítulo, analizo cómo los incentivos de promoción afectan el rendimiento de empleados públicos altamente calificados. Estudio un proceso de evaluación centralizado que determina la elegibilidad para posiciones de profesor titular y catedrático en la academia italiana, y encuentro que aquellos académicos que tienen la posibilidad de obtener una promoción aumentan la productividad de su investigación. En el segundo capítulo, presento los resultados de un experimento de laboratorio diseñado para determinar si y cómo la alfabetización financiera afecta la manera en la cual los individuos perciben y evalúan los productos financieros. Al comparar las decisiones de inversión de participantes sujetos a distintos tratamientos, muestro que la falta de alfabetización financiera afecta el valor subjetivo que los inversores le atribuyen a activos financieros riesgosos. Finalmente, el tercer capítulo analiza empíricamente la relación entre la calidad universitaria y las oportunidades de empleo. Encuentro que los estudiantes de posgrado que reciben incentivos para asistir a universidades de alto nivel tienen mayor probabilidad de estar empleados un año y medio después de concluir sus estudios.
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Lange, Ingo. "Unternehmenswert und Behavioral Finance in der Insolvenz /." Wiesbaden : Dt. Univ.-Verl, 2005. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=014625036&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.
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Mousavi, Mohammad. "Behavioral economics and its applications in finance." Thesis, University of Southampton, 2014. https://eprints.soton.ac.uk/365331/.
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Traditional theories in economics state that people make their decisions in order to maximize their utility function and all the relevant constraints and preferences are included and weighted appropriately. In other words, in standard models, it is usually assumed that decision makers are fully rational. However, some studies in behavioral economics and finance suggest that individuals deviate from standard models. Behavioral economic models try to make standard models more realistic by modifying these assumptions. This thesis focuses on some applications of behavioral economics in three chapters. Chapter 1 focuses on individuals’ deviations from standard preferences. Based on standard models, individuals have the same preferences about future plans at different points in time and the discounting factor between any two time periods is independent of when utility is evaluated. However, robust laboratory experiments show choice reversal behavior in humans and animals. The aim of chapter 1 is to find an approach for measuring the decision makers’ awareness of choice reversal by analyzing demand for commitment. We use the data from an experimental study by Casari (2009) to measure the awareness of the selfcontrol problem. Also, the welfare implications of introducing a commitment device are studied in this chapter. The results show that decision makers are partially aware of their self-control problems. Moreover, introducing a costless commitment device can increase the total welfare of the studied population. This increase depends on individuals’ awareness of future choice reversal. The aim of chapter 2 is to analyze stock price movements as a result of fundamental or technical shocks under a heterogeneous agents model (HAM). In this study, it is assumed that the market involves heterogeneous agents that have different rules for trading and that prices are endogenously determined through interactions between these agents. I use the numerical simulation method to examine changes in the prices as the result of fundamental shocks. The result of this chapter indicates that increasing heterogeneity in technical trading strategies could lead to more price oscillations, which is consistent with the excess volatility in stock prices. The aim of chapter 3 is to predict stock price movements under a new HAM. I use the HAM framework proposed in the previous chapter. The value added by this chapter is estimating stock prices in a heterogeneous agent environment where chartists use different moving average trading strategies. I use monthly data from S&P 500 from 1990 until 2012 and discuss the forecasting ability of the model. The results of this chapter show that the presented model has a better one-step ahead, out-of-sample forecasting power compared with Boswijk et al. (2007) and Chiarella et al. (2012).
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Voigt, Susanne. "Behavioral finance psychologische Erklärungsansätze für typisches Anlegerverhalten." Hamburg Diplomica-Verl, 2004. http://d-nb.info/989677710/04.
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Zhou, Xu-Shen. "Empirical Studies in Finance." University of Cincinnati / OhioLINK, 2003. http://rave.ohiolink.edu/etdc/view?acc_num=ucin1060878290.
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Stupavský, Michal. "Behaviorální finance - implikace pro investory." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-73880.
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Degree thesis deals with behavioral finance with a focus on behavior and psychology of an individual investor. The first part is devoted to the prospect theory that is a descriptive model of behavior of economic agents under the conditions of uncertainty and stands in a stark contrast with the traditional normative expected utility theory. The second part is devoted to the group of behavioral biases that are distortions of human thinking and judgment documented by cognitive psychology. These biases are difficult to eliminate and lead to a biased perception, inaccurate judgments and illogical interpretations. The third and final part is devoted to a questionnaire survey whose goal was to find out whether financial market participants behave according to the axioms of the expected utility theory or whether they systemically deviate from the axioms of this normative theory. The second goal of the survey was to confirm or disprove inferences of academic studies about existence of behavioral biases.
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Del, Vigna Matteo. "Information asymmetry and equilibrium models in behavioral finance." Paris 9, 2012. http://basepub.dauphine.fr/xmlui/handle/123456789/9075.
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Dans cette thèse nous abordons deux sujets récents de la finance comportementale qui concernent l’optimisation de portefeuille et l’existence d’équilibres dans les marchés financiers. On introduit d’abord des théories développées pour représenter les préférences des agents comportementals. Dans le deuxième chapitre, nous étudions l’optimisation de portefeuille en temps continue pour un agent initié qui suit la Cumulative Prospect Theory (CPT). Nous donnons une solution dans les cas d’information forte, incomplète et faible et nous faisons une comparaison avec un agent qui maximise son utilité espérée (UE). Dans le troisième chapitre, nous étudions des modèles d’équilibre statique dans un marché financier simple. Les agents ont préférences hétérogènes et ils interagissent entre eux. Nous donnons des conditions suffisantes pour l’existence dans le cas d’un agent UE influent, un agent CPT influent et un market maker complaisant. Enfin, le cas de plusieurs agents UE et CPT est considéréIn this thesis we explore two recent topics in behavioral finance, namely portfolio optimization by non-expected utility insiders and existence of equilibria in financial markets populated by heterogeneous agents. Firstly, we review a number of theories which have been used to model behavioral decision makers’ preferences. In the second chapter, we set and solve a portfolio optimization problem in continuous time for an insider trader following Cumulative Prospect Theory (CPT). We provide an analysis in the strong as well as partial and weak information cases and we perform a comparison with respect to an Expected Utility (EU) decision maker. In the third chapter, we study equilibrium models in a one-period stylized financial market where agents with different preference structures can interact. We give sufficient conditions for existence when a large EU, a large CPT investor and an accommodating market maker trade. At last, the case of many EU and many CPT agents is presented
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Holland, Avery. "Are Olympic Sponsorships Worth it? The Case of the Vancouver 2010 Winter Olympic Games." Scholarship @ Claremont, 2012. http://scholarship.claremont.edu/cmc_theses/406.
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As corporate sponsorship of sporting events becomes a more popular marketing tool, the price tag associated with these sponsorship agreements has steepened considerably. Over the past thirty years, sponsorship has become an integral part of the Olympic Games. In this paper, we employ an event study methodology to assess the impact of both the Vancouver 2010 Winter Olympic Games and the performance of Canadian Olympic athletes on the shareholder value of national Olympic sponsors. We hypothesize, in line with current behavioral finance research, that the national Olympic sponsors will capitalize on the positive mood and attention associated with the Games in such a way that Olympic sponsorship will positively impact shareholder value. However, we find that, from a stock return perspective, corporate sponsorship of the Vancouver 2010 Olympic Games is not a value-adding investment. We find that while the market index is positively impacted by both the Olympic Games and Canadian medalists, there is a negative and significant impact of the Olympic Games on national sponsors. Furthermore, Canadian medalists have a positive impact on the stock returns of three individual sponsors, but these winners' effects are negative for two sponsors and insignificant for another two sponsors.
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HUANG, Zhen. "A study of household finance in China." Digital Commons @ Lingnan University, 2013. https://commons.ln.edu.hk/econ_etd/25.
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The emerging field of household finance, which studies the welfare benefits of financial markets for households and how effectively households use this market, is of significant importance for both academics and policy makers. However, studies in this new field remain scarce. Using data from a national representative survey that is unique for its combination of abundant household characteristics and heterogeneous individual preferences, attitudes and believes, and for its inclusion of investment behaviour and performances, this thesis pioneers a positive household finance study in developing countries by systematically investigating Chinese householders’ investments in the stock market. Moreover, this is the first study to regard the psychological concept of ‘trait anxiety’ (which refers to a person’s inherent propensity to feel anxious) as negatively associated with stock investment return performance.
This thesis comprises three main studies. In the first study, I investigate the reasons households participate in the stock market. I find that the evidence from China is systematically consistent with previous studies, which mainly focus on developed countries. That is, the poor and the less educated are less likely to hold equity in their final portfolios; and variables reflecting cost, constraint, preference and expectation play a statistically significant role in stock market participation. I also investigate the stock market participation problem from the new perspective of job satisfaction. Discontentment with one’s job, especially on job salary motivates stock investment activity. Satisfaction with hours of work and job stability boosts the probability of participation.
Individual investment performance plays an increasingly important role in household wealth accumulation and financial well-being. Then in the second study I examine the performance of the households that participate in the stock market. First, the evidence from China on this issue is also consistent with that from developed countries. Investors that are poor, less-educated and facing high information costs underperform significantly. Moreover, two so-called ‘investor mistakes’ also undermine stock investment outcomes in China. Second, I study investor performance form a new angle, preference for information screening with respect to resources, and find that investors who rely on their own analysis when making trading decisions earn more. These investors are usually wealthier, have more financial knowledge and are more likely to be male.
My third study further explores determinant of investment performance by identifying a more fundamental, intrinsic and stable heterogeneity that is embedded in human personality, i.e., trait anxiety, which reflects people’s innate propensity to feel anxious. I find that investors who are more prone to anxiety have significantly inferior investment performance in terms of stock market return rate, after controlling for many other relevant factors. This finding is robust across investment periods of both half a year and three years, and across regressions using different proxies for trait anxiety.
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CARMO, LEONARDO CORREA DO. "BEHAVIORAL FINANCE: AN ANALYSIS OF THE BEHAVIOR DIFFERENCES BETWEEN INSTITUTIONAL INVESTORS AND INDIVIDUALS." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2005. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=6689@1.
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Os modelos clássicos da Moderna Teoria de Finanças são
apoiados
na racionalidade, onde o investidor utiliza a curva de
utilidade para
maximizar seu bem estar. No entanto, diversos estudos
revelam que nem
sempre o processo decisório ocorre de maneira racional,
levando o
investidor, muitas vezes, a decisões equivocadas. As
chamadas Finanças
Comportamentais surgem para contestar o pressuposto da
racionalidade
ilimitada. Ela incorpora a psicologia e a sociologia aos
modelos clássicos
com o objetivo de melhor entender o processo decisório no
ambiente de
finanças. Este trabalho pretende analisar alguns aspectos
comportamentais e comparar a susceptibilidade de dois
grupos de
investidores a esses aspectos: os investidores
institucionais e os
investidores individuais. Para comparar e testar essa
susceptibilidade,
foram enviados questionários aos dois grupos de
investidores. As
respostas foram analisadas através de testes estatísticos.
Os testes
indicaram que os investidores individuais estão
suscetíveis a mais vieses
comportamentais do que os investidores institucionais.The classical models of the Modern Finance Theory are based on the rationality, where the investor uses the utility curve to maximize his wealth. However, many studies show that the decision process does not always occur in a rational manner, leading the investor, many times, to wrong decisions. The Behavior Finance appears to question the assumption of the unlimited rationality. It incorporates the psychology and the sociology to the classical models with the purpose of better understanding the decision process in the financial environmental. This work intends to analyze certain behavior aspects and compare the susceptibility of two groups of investors to such aspects: the institutional investors and the individual investors. To compare and test such susceptibility, questionnaires have been sent to such two groups of investors. The answers were analyzed through statistics tests. Such tests indicated that the individual investors are more susceptible to behavior tendencies then institutional investors.
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Mendel, Joshua Brock. "Essays on Macroeconomics and Finance." Thesis, Harvard University, 2013. http://dissertations.umi.com/gsas.harvard:10767.
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The Local Multiplier: Theory and Evidence. I show that 1) the policy-relevant "global multiplier" can be written as the sum of a spending component and a taxation component, all scaled up by spillover effects, 2) the "local multiplier" is exactly the spending com- ponent, and 3) if trade is anonymous, the local effects of a shock to federal government purchases in a county will be identical to the effects of a shock to consumer demand for the exports of that locality. I estimate a bound for the local multiplier and consider spillover effects to contiguous counties. I find that a shock of $48,000 creates at least one job-year locally. Analysis at a monthly frequency suggests that these jobs are more persistent than previously estimated. Evidence of higher multipliers in recessions is mixed.Economics
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Oschlies, Melanie Katharina. "A Behavioral Finance Perspective on Sustainable Energy Investment Decisions." St. Gallen, 2007. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/02607455002/$FILE/02607455002.pdf.
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Sauter, Wolf Nicolas. "Essays on natural experiments in behavioral finance and trade." kostenfrei, 2009. http://d-nb.info/1000469263/34.
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Sauter, Wolf Nicolas. "Essays on Natural Experiments in Behavioral Finance and Trade." Diss., lmu, 2010. http://nbn-resolving.de/urn:nbn:de:bvb:19-110667.
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Hackl, Harald [Verfasser]. "CAPM und Behavioral Finance - Versuch einer Synthese / Harald Hackl." Kassel : Universitätsbibliothek Kassel, 2013. http://d-nb.info/1045950661/34.
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Boudaoui, Anya. "A study of behavioral finance: background, theories and application." reponame:Repositório Institucional do FGV, 2011. http://hdl.handle.net/10438/8576.
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Behavioral finance, or behavioral economics, consists of a theoretical field of research stating that consequent psychological and behavioral variables are involved in financial activities such as corporate finance and investment decisions (i.e. asset allocation, portfolio management and so on). This field has known an increasing interest from scholar and financial professionals since episodes of multiple speculative bubbles and financial crises. Indeed, practical incoherencies between economic events and traditional neoclassical financial theories had pushed more and more researchers to look for new and broader models and theories. The purpose of this work is to present the field of research, still ill-known by a vast majority. This work is thus a survey that introduces its origins and its main theories, while contrasting them with traditional finance theories still predominant nowadays. The main question guiding this work would be to see if this area of inquiry is able to provide better explanations for real life market phenomenon. For that purpose, the study will present some market anomalies unsolved by traditional theories, which have been recently addressed by behavioral finance researchers. In addition, it presents a practical application of portfolio management, comparing asset allocation under the traditional Markowitz’s approach to the Black-Litterman model, which incorporates some features of behavioral finance.
Finanças comportamentais, ou economia comportamental, consiste em um campo teórico que justifica que existe importantes variáveis psicológicas e comportamentais que estejam envolvidos em actividades financeiras, tais como decisões de finanças corporativas e de investimentos (alocação de ativos, gestão de portfólios e assim por diante). Este campo tem experimentado um crescente interesse de acadêmicos e profissionais da área financeira desde episódios de várias bolhas especulativas e crises financeiras. Na verdade, incoerências entre os eventos observados no mercado real e a teoria financeira tradicional estão levando mais e mais pesquisadores a olhar para modelos e teorias novos e mais abrangentes. O objetivo deste trabalho é fazer uma revisão do campo de finanças comportamentais, ainda pouco conhecido pela maioria das pessoas. Este trabalho apresentará as suas origens e suas principais teorias, contrastando-as com as teorias tradicionais de finanças. A principal questão que orienta o trabalho é identificar se esta área é capaz de fornecer melhores explicações para os fenômenos reais de mercado. Para esse efeito, o documento vai relatar algumas anomalias anomalias de mercado que não são explicadas pelas teorias tradicionais, que foram atualmente abordadas pelos estudiosos de finanças comportamentais. Além disso, o estudo faz uma aplicação prática para a atividade de gestão de carteiras, comparando a alocação de ativos resultante do modelo tradicional de Markowitz à obtida do modelo de Black e Litterman, que adiciona algumas questões de finanças comportamentais.
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Yonker, Scott E. "Investigating the Human Element in Corporate Policies." The Ohio State University, 2010. http://rave.ohiolink.edu/etdc/view?acc_num=osu1274969206.
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Linnainmaa, Juhani. "Essays on the interface of market microstructure and behavioral finance /." Helsinki : Helsinki School of Economics and Business Administration, 2003. http://www.loc.gov/catdir/toc/fy043/2003362322.html.
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Kaiser, Tim [Verfasser]. "Essays on financial education and behavioral household finance / Tim Kaiser." Kiel : Universitätsbibliothek Kiel, 2017. http://d-nb.info/1135957037/34.
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Johansson, Whilma, and Frida Sköld. "Behavioral Finance : Svenska fondbolags hantering av psykologiska fallgropar i praktiken." Thesis, Linköpings universitet, Företagsekonomi, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-119655.
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Bakgrund: Det har i tidigare forskning visats att människor alltid påverkas av psykologiska fallgropar. Empiriska studier har tidigare genomförts med syfte att finna hanteringssätt att reducera psykologiska fallgropar. Vid litteraturstudien till denna uppsats påträffades dock ingen kvalitativ studie vilken berör hanteringen i praktiken varför det var av intresse att studera det genom intervjuer med svenska fondbolag. Då dessa empiriska studier till viss del utgått från praktiken vid skapandet av hypoteser gällande problematiken med psykologiska fallgropar var det även relevant att kartlägga på vilken kunskapsnivå svenska fondbolag befinner sig gällande behavioral finance som forskningsfält. Syfte: Denna uppsats syftar till att kartlägga och analysera svenska fondbolags kunskaper gällande behavioral finance som forskningsfält. Den ämnar även analysera om och i vilken mån hanteringssätt av psykologiska fallgropar, presenterade av tidigare forskning, i praktiken används av svenska fondbolag vid investeringsbeslut. Genomförande: För att uppnå uppsatsens syfte har ett kvalitativt tillvägagångssätt använts med utgångspunkt i åtta genomförda intervjuer med representanter från svenska fondbolag. Samtliga representanter har en övergripande insyn i hur fondförvaltningen går till på respektive fondbolag. Den insamlade empirin har dels analyserats utifrån en för denna uppsats framtagen analysmodell med syfte att kartlägga vart svenska fondbolag befinner sig kunskapsmässigt gällande behavioral finance, och dels utifrån tidigare empirisk forskning inom forskningsområdet. Slutsats: Uppsatsen lägger fram en ny hypotes vilken innebär att teoretiska förkunskaper om behavioral finance saknas i branschen samt att de hanteringssätt som används av svenska fondbolag till stor del inte reducerar psykologiska fallgropar. Det förklaras av att det till stor del inte finns stöd för svenska fondbolags hanteringssätt i tidigare forskningsresultat.Background: Previous research has shown that people always are influenced by biases. Empirical studies have previously been conducted in order to find ways to reduce the biases. In the literature review for this thesis was however no qualitative study found which concerned the handling in practice, why it was of interest to study. Since the empirical studies, to some extent, have been based on practice when creating their hypotheses regarding the problem of biases, it was also relevant for this paper to survey the knowledge that Swedish fund companies currently have regarding behavioral finance as a research field. Aim: This paper aims to survey and analyse Swedish fund companies’ knowledge regarding behavioral finance as a research field. The paper also intends to analyse if and to what extent ways of handling biases, by previous research presented, in practice are used by Swedish fund companies when making investment decisions. Completion: To achieve the purpose of this paper, a qualitative approach has been used based on eight interviews conducted with representatives from Swedish fund companies. All representatives have an overall insight into how the fund management is done in respective fund companies. The collected empirical data has been analyzed partly on the basis of one, for this paper developed, analytical model with the aim to survey were Swedish fund companies are in terms of knowledge regarding behavioral finance, and partly on previous empirical research in the field of this research area. Conclusion: This paper table a new hypothesis which means that the industry lacks theoretical knowledge in behavioral finance and that the methods used by Swedish fund companies generally do not reduce biases. It is explained by the fact that a majority of the methods used by Swedish fund companies are not supported in precious research.
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COSTA, THIAGO SERTA. "BEHAVIORAL FINANCE: AN EMPIRICAL STUDY ON THE BRAZILIAN EQUITY MARKET." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2009. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=15480@1.
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A hipótese de eficiência de Mercado é um tema básico e serviu como base
para formação de teorias em finanças, sendo, portanto, um dos problemas mais
estudados. Relacionadas ao assunto, algumas pesquisas vêm se dedicando
especificamente à investigação de fenômenos de underreaction/overreaction, ou
seja, de reações excessivas do mercado e incompatíveis com a hipótese de
eficiência. Neste contexto, o presente trabalho objetivou aplicar ao mercado
acionário brasileiro teste de underreaction/overreaction baseados nas principais
metodologias utilizadas em pesquisas internacionais. As principais evidências
obtidas indicam a existência destes excessos de reações, contrariando a uma das
principais teorias já estudadas.The hypothesis of market efficiency is a central theme in finance and one of the most studied subjects. Related to the subject, some research has been dedicated specifically to investigating the under reaction / overreaction phenomena, ie, the market over reactions that is incompatible with the hypothesis of efficiency. In this context, this study aimed to apply in the Brazilian stock market tests of under reaction / overreaction based on the main methodologies used in international surveys. The main evidence obtained indicates the existence of these excesses of reactions, contrary to one of the main theories already studied.
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Peleg, Ehud. "Three essays on asset pricing, portfolio choice and behavioral finance." Diss., Restricted to subscribing institutions, 2008. http://proquest.umi.com/pqdweb?did=1722324081&sid=1&Fmt=2&clientId=1564&RQT=309&VName=PQD.
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Ghosh, Surajit. "Studies on indian capital market Upheavals: a behavioral finance approach." Thesis, University of North Bengal, 2014. http://ir.nbu.ac.in/handle/123456789/1613.
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Ouyang, Congrong Ouyang. "Factors Related to the Financial Obligations of U.S. Homeowner and Renter Households." The Ohio State University, 2019. http://rave.ohiolink.edu/etdc/view?acc_num=osu1565699662132046.
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Gabriel, Kira Knowles. "The Ostrich Effect: A Survey Analysis of Burying One's Head in the Sand." Scholarship @ Claremont, 2019. https://scholarship.claremont.edu/scripps_theses/1320.
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Previous literature has produced mixed findings of a tendency of investors, coined the “ostrich effect” to display a preference for avoiding potentially painful information regarding their portfolios. This paper investigates the presence of the ostrich effect during the 2008/2009 financial crisis via a survey of investors who held portfolios before and through that period. The results demonstrate that most investors do not report any ostrich effect. However, approximately one fourth of investors demonstrated a preference for delaying learning about potentially negative portfolio information, but ultimately chose to learn the information. These findings provide a more nuanced understanding of investors’ behaviors during financial crises and supports a more specific definition of the ostrich effect. Specifically, that some investors prefer a delay in painful information acquisition but do no indefinitely “keep their heads in the sand.”
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Lehenkari, M. (Mirjam). "Essays on the effects of gains and losses on the trading behavior of individual investors in the Finnish stock market." Doctoral thesis, University of Oulu, 2009. http://urn.fi/urn:isbn:9789514290459.
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Abstract
The behavior of investors is often at odds with the assumptions of traditional finance theory. Research conducted over the past half-century or so abounds with examples in which the central axioms of traditional theory are systematically violated. One of the most well-established behavioral patterns in this context is the disproportionate tendency of investors to sell stocks that have appreciated in value since purchase (‘winners’) rather than stocks that have declined in value (‘losers’); this phenomenon is known as the disposition effect and most commonly attributed to Kahneman and Tversky’s (1979) prospect theory. The overall aim of this doctoral thesis is to investigate the robustness of this phenomenon, its underlying mechanisms, and its potential implications for individual investors.
The four independent but related essays of this thesis were designed to answer the following research questions: (1) Does the disposition effect ‘survive’ bear markets, in which investors may not be able to realize gains even if they wish to do so? (2) Is there any supporting evidence for prospect theory-based explanation of the disposition effect in the form of other observed behavior consistent with the theory? (3) Is prospect theory the most feasible explanation for the disposition effect? (4) What are the implications of the disposition effect from the point of view of individual investors?
Using comprehensive data covering virtually all trades executed in the Finnish stock market during 1995–2003, this thesis demonstrates the following: (1) As robust as the disposition effect appears to be in light of previous studies, the phenomenon is only partially detected in bear markets. (2) The relationship between prospect theoretic preferences and investor behavior is not easily generalizable to other behavioral patterns besides the disposition effect. (3) In fact, even the relationship between prospect theory and the disposition effect is not as strong as is generally believed. Our results instead suggest an explanation based on escalation of commitment, according to which the disposition effect is caused above all by self-justificatory concerns. (4) Finally, although the disposition effect is generally inconsistent with economic rationality, it does not appear to be detrimental to investment performance.
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Bousselmi, Wael. "Impact des chocs exogènes sur les marchés financiers : Approche empirique et expérimentale." Thesis, Montpellier, 2018. http://www.theses.fr/2018MONTD011.
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Ce travail de recherche s’évertue à mieux comprendre les effets d’un ou plusieurs chocs exogènes dans un marché financier. Plus précisément, nous tentons d’étudier l’impact d’un choc informationnel sur les comportements des prix des actifs, les bulles spéculatives, la volatilité des prix, le volume de transactions et les prévisions des analystes. Ainsi, pour ce faire,nous décomposons la problématique en trois articles. Le premier article présente une analyse empirique qui teste les effets d’un choc exogène attendu - l’annonce du Brexit - sur la performance à court terme et à long terme des entreprises britanniques et européennes cotées en bourse. Nos résultats montrent que l’annonce du Brexit impacte négativement la performance à long terme des firmes britanniques et des firmes européennes puisque celles-ci font la plupart de leurs activités commerciales avec la zone britannique. Dans le deuxième essai,nous testons les effets d’un choc exogène attendu et inattendu de la valeur fondamentale dans un marché expérimental. Nos résultats montrent que les chocs ont un effet négatif sur la déviation des prix par rapport à la valeur fondamentale et un effet positif sur l’hétérogénéité des croyances quel que soit le type de choc, attendu ou inattendu, et quelle que soit sa direction,à la hausse ou à la baisse. Le troisième article se concentre sur les effets de multiples chocs inattendus dans un marché expérimental. Nos principaux résultats sont les suivants : les multiples chocs à la baisse réduisent le volume de transactions et la volatilité des prix tandis que les multiples chocs à la hausse n’ont pas d’effet sur le volume de transactions et augmentent la volatilité des prix. Enfin, nous observons, seulement dans les marchés sans chocs, un lien positif entre le volume de transactions et l’hétérogénéité des croyancesThis thesis investigates the effects of one or multiples exogeneous shocks in stock market. More precisely, we are interested in the impact of a news shock on the behaviour of stock prices,bubbles, price volatility, transactions volume and analyst’s forecasts. To tackle this question,we depicted the subject in three axes. The first essay presents an empirical analysis that tests the effects of an expected shock - the Brexit vote announcement - on the long-run market performance of British listed firms and European listed firms. Our results show that the Brexit announcement affected negatively the long-run market performance over a 12 months’ horizon of UK firms in any of their business activities and European non-British firms having most oftheir business activities within the British area. In the second paper, we investigate experimentally the effects of expected and unexpected shock on an asset’s fundamental value.Our findings show that shocks have a negative effect on the price deviation from the fundamental value and a positive effect on the differences of opinion regardless of the type ofshocks - expected or unexpected - and regardless of the direction - upward or downward. The third paper focuses on the effects of unexpected multiple shocks in an experimental market.Our main findings are as follows: Multiple downward shocks reduce transactions volume andprice volatility, while multiple upward shocks have no effect on trading volume and increase price volatility. Finally, we observe, only in markets without shocks, a positive link between the volume of transactions and the differences of opinion