Behavioural Economics as a Style of Reasoning: On the Rise of Psychological and Social Perspectives in Academic Economics

Though there are numerous studies attempting to describe and analyse the internal dynamics of academic economics, the results of these studies are often contradictory. In order to assess the potential usefulness of certain theoretical tools to the sociology of economics, this study presents and analyses an in-depth interview study of behavioural economists at Swedish universities. The theoretical framework under assessment is derived from the social theory of Pierre Bourdieu and the styles of reasoning approach. Utilizing the concept of styles of scientific reasoning, field theory, capital theory, and the notion of scientific habitus to analyse the rise of behavioural economics into the mainstream of the economics discipline, this study concludes that the theoretical framework provides tools that are very useful in the analysis of social phenomena in academic economics

Liquidity and portfolio optimisation

This thesis presents research within empirical financial economics with focus on liquidity and portfolio optimisation in the stock market. The discussion on liquidity is focused on measurement issues, including TAQ data processing and measurement of systematic liquidity factors (FSO). Furthermore, a framework for treatment of the two topics in combination is provided. The liquidity part of the thesis gives a conceptual background to liquidity and discusses several different approaches to liquidity measurement. It contributes to liquidity measurement by providing detailed guidelines on the data processing needed for applying TAQ data to liquidity research. The main focus, however, is the derivation of systematic liquidity factors. The principal component approach to systematic liquidity measurement is refined by the introduction of moving and expanding estimation windows, allowing for time-varying liquidity co-variances between stocks. Under several liability specifications, this improves the ability to explain stock liquidity and returns, as compared to static window PCA and market average approximations of systematic liquidity. The highest ability to explain stock returns is obtained when using inventory cost as a liquidity measure and a moving window PCA as the systematic liquidity derivation technique. Systematic factors of this setting also have a strong ability in explaining a cross-sectional liquidity variation. Portfolio optimisation in the FSO framework is tested in two empirical studies. These contribute to the assessment of FSO by expanding the applicability to stock indexes and individual stocks, by considering a wide selection of utility function specifications, and by showing explicitly how the full-scale optimum can be identified using either grid search or the heuristic search algorithm of differential evolution. The studies show that relative to mean-variance portfolios, FSO performs well in these settings and that the computational expense can be mitigated dramatically by application of differential evolution

Aquaporins - Novel approaches to old problems

As all life on this planet evolves around water, it is important for our bodies to be able to regulate it. This may be done passively, but just like with water in the ocean, if we were to rely solely on passive transport (such as evaporation), the flow of water would be too slow for biological functions to uphold the homeostasis that is so important for us to survive. All organisms have thus developed specialised water channels, aquaporins (AQPs), which, much like rivers, (usually) act as rapid transporters of water across land - or our lipid-rich cellular membranes.When issues arise with AQPs, disease states such as nephrogenic diabetes insipidus, Sjögren's syndrome, and cataracts may occur. These diseases are all related to the malfunction in either the integrity or regulation of the AQP responsible, or proteins related to their regulation.In this thesis, the following proteins are studied; AQP0, AQP2, and AQP5, along with their regulatory proteins calmodulin and ezrin. In the case of AQP2, the structural impact of mutations from patients are investigated in relation to their structure and function, as well as their role in causing the disease state. The study of membrane proteins as a whole is a complicated matter, mainly due to the fact that they are situated in the cell membrane. Detergents are required to isolate them from their place in the membrane, and form in structural studies using X-ray crystallography, this can be an impediment. Detergents may cause irregularities the crystal lattice, resulting in lower resolution data. These irregularities may in some cases be possible to benefit from, if they cause continuous diffraction. We have studied the nature of this type of diffraction, what causes it, and if it can be manipulated to our advantage

Dynamics in systematic liquidity

We develop the principal component analysis (PCA) approach to systematic liquidity measurement by introducing moving and expanding estimation windows. We evaluate these methods along with traditional estimation techniques (full sample PCA and market average) in terms of ability to explain (1) cross-sectional stock liquidity and (2) cross-sectional stock returns. For several traditional liquidity measures our results suggest an expanding window specification for systematic liquidity estimation. However, for price impact liquidity measures we find support for a moving window specification. The market average proxy of systematic liquidity produces the same degree of commonality, but does not have the same ability to explain stock returns as the PCA-based estimates.Liquidity (Economics)

Dynamics in systematic liquidity

We develop a principal component approach to systematic liquidity measurement by introducing moving and expanding estimation windows. We evaluate these methods along with traditional estimation techniques (full sample PCA and market average) in terms of ability to explain (1) cross sectional stock liquidity and cross sectional stock returns. For several traditional liquidity measures our results suggest an expanding window specification for systematic liquidity estimation. The market average proxy of systematic liquidity produces the same degree of commonality, but does not have the same ability to explain stock returns as the PCA-estimates

Where to place which sensor to measure sedentary behaviour? A method development and comparison among various sensor placements and signal types

Background: Sedentary Behaviour (SB) is associated with several chronic diseases and especially office workers are at increased risk. SB is defined by a sitting or reclined body posture with an energy expenditure ≤1.5 METs. However, current objective methods to measure SB are not consistent with its definition. There is no consensus on which sensor placement and type to be used. Aim: To compare the accuracy of newly developed artificial intelligence models for 15 sensor placements in combination with four signal types (accelerometer only/plus gyroscope and/or magnetometer) to detect posture and physical in-/activity while desk-based activities. Method: Signal features for the model development were extracted from sensor raw data of 30 office workers performing 10 desk-based tasks, each lasting 5 minutes. Direct observation (posture) and indirect calorimetry (in-/activity) served as reference criteria. The best classification model for each sensor was identified and compared among the sensor placements, both using Friedman and post-hoc Wilcoxon tests (p≤0.05). Results: Posture was most accurately measured with a lower body sensor, while in-/activity was most accurately measured with an upper body or waist sensor. The inclusion of additional signal types improved the posture classification for some placements, while the acceleration signal already contained the relevant signal information for the in-/activity classification. Overall, the thigh accelerometer most accurately classified desk-based SB. Conclusion: This study favours, in line with previous work, the measurement of SB with a thigh worn accelerometer, and adds the information that this sensor is also accurate in measuring physical in-/activity while sitting and standing.Swiss National Science FoundationAccepte

Företagsförvärv - En studie om onormal avkastning

Syfte: Syftet med denna studie är att undersöka huruvida företagsförvärv påverkar värdet för det förvärvande företagets ägare. Vidare vill vi även urskilja vad som ger positiv påverkan på värdet och bygga en strategi utifrån detta. Metod: Genom en kvantitativ metod har vi bearbetat primärdata i form av 18 bolags aktiekurser samt deras jämförelseindex för att undersöka huruvida vi kan finna en onormal avkastning eller ej. Bolagen vi har studerat är noterade på Stockholmsbörsen och genomförde ett förvärv under perioden 1997-2004. Teoretiska perspektiv: Vi har utgått från de teorier som tidigare studier kommit fram till. Teorierna behandlar både motiven bakom ett företagsförvärv samt vad som kan tänkas påverka aktiens utveckling. Empiri: Vårt resultat visar på en positiv onormal avkastning under de tre följande åren efter uppköpet. Vi kan dock inte signifikant säkerställa våra resultat. Vi kan emellertid finna att betalningssättet, storleken på det förvärvande bolaget samt vilken bransch bolaget är verksamt inom påverkar aktiens utveckling. Vi kan vidare se att den tidigare negativa trenden hos bolagen ett år innan bryts i och med förvärvet. Slutsatser: Vi kan inte dra slutsatsen att företagsförvärv ger onormal avkastning. Dock tyder våra grafer på positiv onormal avkastning för vårt urval och trendbrottet påvisar att förvärven överlag varit positiva för företagen. Slutsatsen, med alla olika resultat och variabler i tanken, är att den mest lyckade strategin i vårt urval hade varit att köpa aktier i ett IT-bolag, noterat på Large Cap och som betalar köpet med egna aktier

Implicit volatilitet och deltaneutrala optionsstrategier inför kvartalsrapporter.

SYFTE: Huvudsyftet med denna studie är att undersöka om det är möjligt att utnyttja marknadens osäkerhet inför kvartalsrapporter. METOD: Metodmässigt bygger vår studie på sekundärdata, med fokus på Ericssons historiska slutkurser på aktier och optioner. Vi har prognostiserat den implicita volatiliteten inför kvartalsrapporter för att sedan utforma lämpliga deltaneutrala optionsstrategier som vi testar på nästkommande år. TEORI: Vi utgår från tidigare studier om att den implicita volatiliteten stiger inför kvartalsrapporter vilket vi vill testa. Dessutom testas teorin om svag marknadseffektivitet. EMPIRI: Våra resultat visar att den implicita volatiliteten generellt stiger inför kvartalsrapporter. De deltaneutrala optionsstrategierna genererade positiv avkastning som var högre än den riskfria räntan, men när transaktionskostnader medräknades blev avkastningen negativ. SLUTSATSER: Den implicita volatiliteten stiger innan kvartalsrapporter, men marknaden är redan uppmärksam på detta. När den implicita volatiliteten inte stiger lika mycket som marknaden förväntar sig medför det en negativ avkastning. Det är därför viktigt att alltid ha rätt tro och kunskap om volatiliteten. Då våra strategier inte genererade överavkastning kan vi dra slutsatsen att den del av marknaden som vi har studerat varit minst svagt effektiv