188 research outputs found
Stock selection based on cluster analysis
We put forward a technique based on cluster analysis to group stocks in spot markets according to a risk-return criterion. We show how an informed investor will make money using the cluster analysis to select stocks of major companies from North and South America.
Disposition effect and gender
Investors seem to hold on to their losing stocks to a greater extent than they hold on to their winning stocks. This well-document behavioral regularity is termed disposition effect (Shefrin and Statman 1985). We set an experiment to replicate results from a previous study of the disposition effect (Weber and Camerer 1998), and further show that a subjectâs gender may interfere with the effectâs detection.
Evaluating Brazilian mutual funds with stochastic frontiers
We evaluate the performance of 307 Brazilian stock mutual funds employing stochastic frontiers. We list the top ten actively managed funds and the bottom ten for the period April 2001-July 2003, and show that a fund's efficiency increases with management skill to beat the market. We also find that portfolios with low volatility tend to be more efficient. Yet we find no relationship between fund size and performance, though this might be blurred by a survivorship bias.
Stockmarket comovements revisited
We revisit the issue of comovements of emerging and developed stockmarkets, and provide a simultaneous treatment of data for the eighties and nineties. We show that while emerging markets experience greater instability in the long term than their developed counterparts, there is room for short-term strategies to take advantage of profit opportunities in the emerging markets, especially in India.
DEA investment strategy in the Brazilian stock market
This paper presents a multi-period investment strategy using Data Envelopment Analysis (DEA) in the Brazilian stock market. Results show that the returns based on the DEA strategy were superior to the returns of a Brazilian stock index in most of the 22 quarters analyzed, presenting a significant Jensen's alpha.
Propensity to sell stocks in an artificial stock market
This experimental study of an artificial stock market investigates what explains the propensity to sell stocks and thus the disposition effect. It is a framed field experiment that follows the steps of a previous observational study of investor behavior in the Finnish stock market. Our experimental approach has an edge over the observational study in that it can control extraneous variables and two or more groups can be compared. We consider in particular the groups of amateur students and professional investors because it is well established in the literature that the disposition effect is less pronounced in professionals. The disposition effect was measured by both the traditional metric and a broader one that properly considers return intervals. A full logit model with control variables was employed in the latter case. As a result, we replicate for the broader definition what already has been found for the traditional measure: that investor experience dampens the disposition effect. Trades with positive returns exhibited higher propensity to sell than trades with negative returns. For the overall sample of participants, we find the disposition effect cannot be explained by prospect theory, but we cast doubt on this stance from partitions of data from amateurs and professionals.This work was supported by Conselho Nacional de Desenvolvimento CientĂfico e TecnolĂłgico 306331/2014-4 to Professor Newton da Costa Jr.; and Coordenação de Aperfeiçoamento de Pessoal de NĂvel Superior to Dr Wlademir Prates
VIĂS DO STATUS QUO E PERFIL DE RISCO EM TOMADAS DE DECISĂES POR ESTUDANTES DE MESTRADOS
Este trabalho procura verificar se existe relação entre o viĂ©s do status quo, o perfil de risco e habilidade quantitativa, em estudantes de pĂłs-graduação em economia, contabilidade e gestĂŁo. Foram realizadas anĂĄlises de regressĂŁo para buscar uma relação entre o perfil de risco dos participantes e o status quo, incluindo algumas variĂĄveis de controle. Os resultados mostraram que os respondentes propensos ao risco parecem nĂŁo ter sido afetados pelo viĂ©s do status quo em suas decisĂ”es, diferentemente dos demais. Quanto aos alunos que estudaram finanças comportamentais previamente nos cursos de licenciatura e/ou graduação(uma proxy para o conhecimento prĂ©vio do viĂ©s estudado) percebeu-se, em mĂ©dia, um aumento de respostas nas opçÔes alternativas ao status quo. No entanto, a presença do viĂ©s ainda foi predominante no total de respostas obtidas. Isto mostra que os respondentes que haviam estudado finanças comportamentais optaram mais por opçÔes alternativas do que os outros respondentes, porĂ©m, mesmo estes indivĂduos apresentaram o viĂ©s do status quo. Dessa forma, enfatiza-se a importĂąncia de compreender a influĂȘncia de vieses comportamentais nas tomadas de decisĂ”es, pois estes vieses podem comprometer decisĂ”es importantes dentro de uma organização
Disposition effect and gender
Investors seem to hold on to their losing stocks to a greater extent than they hold on to their winning stocks. This well-document behavioral regularity is termed disposition effect (Shefrin and Statman 1985). We set an experiment to replicate results from a previous study of the disposition effect (Weber and Camerer 1998), and further show that a subjectâs gender may interfere with the effectâs detection
- âŠ