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‣ On the closed-end funds discounts/premiums in the context of the investor sentiment theory

Monte, Ana Paula; Armada, Manuel José da Rocha
Fonte: World Scientific Publishing Publicador: World Scientific Publishing
Tipo: Parte de Livro
Português
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The existence of closed-end funds discounts/premiums, although an issue largely studied, it is still puzzling both academics as well as practitioners. As it is well known, they result from the difference between the value of the shares of the fund, determined by the market, and their net asset value (the market value of the securities held by the fund, less the liabilities). Taking into account that the closed-end fund shares are traded on the stock exchange, as well as the assets included on their portfolios, no discrepancies would be expected (at least theoretically) between the market value of the funds and their net asset values, since the market should be able to adjust and correct the prices, due to the fact that the information is widely diffused. In attempt to explain this “puzzle” several theories have been suggested. On one hand, those based on rational factors, such as: potential tax liabilities due to unrealised capital gains, the dividend policy, the fund portfolio composition, agency costs and management performance and, on the other hand, those based on behavioural factors, such as the investor sentiment theory. This latter framework, at least theoretically is, in our view, the one that seems to better explain almost all the features of the “puzzle”...

‣ On the closed-end funds discounts/premiums whithin the context of the investor sentiment theory

Monte, Ana Paula; Armada, Manuel José da Rocha
Fonte: Instituto Politécnico de Bragança Publicador: Instituto Politécnico de Bragança
Tipo: Conferência ou Objeto de Conferência
Português
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The purpose of this paper is to present our research on factors that may explain the existence and persistence of the discounts/premiums of closed-end. In this research we use as theoretical framework for closed-end funds discounts/premiums explanations the investor sentiment theory hypothesis. We also investigate the correlation between the discounts/premiums of those funds among themselves and each other over time, the mean reversion of the discounts/premiums, as well as the predictability power of the fund shares and of the net asset value returns. It was also our objective to search for the relevance of the investor sentiment theory in order to explain the discounts/premiums, so that we used Brauer’s (1993) methodology and the signal extraction technique of French and Roll (1986). We also carried out (as far as we know, for the first time) a panel data analysis in order to check how much of the discounts/premiums variability is due to the presence of “noise traders”. This research was based on a sample of 41 North-Americans closed-end funds, that invest mainly on stocks and/or bonds traded on the NYSE or on the AMEX, during the period from January 1987 to June 1999 (inclusive). The data was collected from the Wiesenberger database. From the results that we got...

‣ Sentimento do investidor nos mercados da Alemanha e do Reino Unido; Investor sentiment in the German and British markets

Dias, Diana Raquel Fernandes Santos Pereira
Fonte: Universidade do Minho Publicador: Universidade do Minho
Tipo: Dissertação de Mestrado
Publicado em //2015 Português
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Dissertação de mestrado em Finanças; Esta dissertação estuda o impacto do sentimento do investidor em rendibilidades agregadas de mercado e a nível transversal, em horizontes temporais de 1, 6 e 12 meses, nos mercados acionistas da Alemanha e do Reino Unido. O sentimento é representado por uma medida direta (Índice de Confiança do Consumidor) e por uma medida indireta (Índice de Sentimento, que integra as proxies volume e rendibilidades iniciais de IPOs, volume de transação e prémio de volatilidade). O seu impacto é testado no mercado total, e em subconjuntos de empresas financeiras e não financeiras. O período temporal decorre entre 1 de Janeiro de 1999 e 31 de Outubro de 2014 (190 meses), tendo os dados uma periodicidade mensal. A análise de componentes principais efetuada na construção do Índice de Sentimento e as análises de regressão linear realizadas para testar o impacto do sentimento constituem as principais metodologias implementadas. Os resultados demonstram a capacidade preditiva contrária do sentimento do investidor das rendibilidades agregadas, apenas no mercado alemão, em todos os horizontes temporais e para todos os conjuntos de mercado (mercado total e subconjuntos). Esta ocorre mais tarde nas empresas financeiras. Os resultados obtidos a nível transversal...

‣ Investor sentiment and the market reaction to dividend news: European evidence

Vieira, Elisabete F. Simões
Fonte: Emerald Publicador: Emerald
Tipo: Artigo de Revista Científica
Português
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Purpose: This paper examines the effect of investor sentiment on the market reaction to dividend change announcements. Design/methodology/approach: We use the European Economic Sentiment Indicator data, from Directorate General for Economic and Financial Affairs (DG ECFIN), as a proxy for investor sentiment and focus on the market reaction to dividend change announcements, using panel data methodology. Findings: Using data from three European markets, our results indicate that the investor sentiment has some influence on the market reaction to dividend change announcements, for two of the three analysed markets. Globally, we find no evidence of investor sentiment influencing the market reaction to dividend change announcements for the Portuguese market. However, we find evidence that the positive share price reaction to dividend increases enlarges with sentiment, in the case of the UK markets, whereas the negative share price reaction to dividend decreases reduces with sentiment, in the French market. Research limitations/implications: We have no access to dividend forecasts, so, our findings are based on naïve dividend changes and not unexpected change dividends. Originality/value: This paper offers some insights on the effect of investor sentiment on the market reaction to firms’ news...

‣ Does the market reaction to dividend news is influenced by investor sentiment?

Vieira, Elisabete F. Simões
Fonte: Universidade de Aveiro Publicador: Universidade de Aveiro
Tipo: Conferência ou Objeto de Conferência
Português
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We analyse whether the investor sentiment affects the market reaction to dividend change announcements. We use the European Economic Sentiment Indicator data, from Directorate General for Economic and Financial Affairs (DG ECFIN), as a proxy for investor sentiment and focus on the market reaction to dividend change announcements. Our results indicate that the investor sentiment have some influence on the market reaction to dividend change announcements, for two of the three analysed markets. Globally, we find no evidence of investor sentiment influencing the market reaction to dividend change announcements for the Portuguese market. However, we find evidence that the positive share price reaction to dividend increases enlarges with sentiment, in the case of the UK markets, whereas the negative share price reaction to dividend decreases reduces with sentiment, in the French market.

‣ Investor sentiment and market reaction: evidence on 2010 FIFA World Cup

Vieira, Elisabete F. Simões
Fonte: Inderscience Publishers Publicador: Inderscience Publishers
Tipo: Artigo de Revista Científica
Português
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The purpose of this study is to examine whether investor sentiment influences the stock price reaction to football matches results, giving some contribute to the behaviour finance, or if investors react in a rational way, giving evidence of standard finance. To proxy for investor sentiment, we analyse the 2010 FIFA World Cup of South Africa. Globally, the study provides no evidence of a direct relationship between games results and the subsequent market reaction, not documenting a change in investor mood caused by soccer games outcomes. This paper contributes to the recent literature on the asset pricing impact of behaviour biases. The global results are more in line with standard finance than on behaviour finance, suggesting that stock prices are not influenced by economically-neutral events that can affect the investor sentiment, and, consequently, the stock prices.

‣ Investor sentiment and market reaction: evidence on 2010 FIFA World Cup

Vieira, Elisabete F. Simões
Fonte: Inderscience Publicador: Inderscience
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
37.134126%
The purpose of this study is to examine whether investor sentiment influences the stock price reaction to football matches results, giving some contribute to the behaviour finance, or if investors react in a rational way, giving evidence of standard finance. To proxy for investor sentiment, we analyse the 2010 FIFA World Cup of South Africa. Globally, the study provides no evidence of a direct relationship between games results and the subsequent market reaction, not documenting a change in investor mood caused by soccer games outcomes. This paper contributes to the recent literature on the asset pricing impact of behaviour biases. The global results are more in line with standard finance than on behaviour finance, suggesting that stock prices are not influenced by economically-neutral events that can affect the investor sentiment, and, consequently, the stock prices.

‣ Essays on Stock Investing and Investor Behavior

Ranish, Benjamin Michael
Fonte: Harvard University Publicador: Harvard University
Tipo: Thesis or Dissertation
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Chapter one shows that US households with high unconditional and cyclical labor income risk are more leveraged and allocate a greater share of their financial assets to stocks. I use self-reported risk preferences to show that rational sorting of risk tolerant workers into risky employment is responsible for this otherwise puzzling result. With risk preferences accounted for, I find evidence that households with greater permanent income variance reduce leverage and stock allocations to an extent consistent with theory. However, household portfolios and employment selection do not respond significantly to any of the other three forms of labor income risk I measure: disaster risk, permanent income cyclicality, and permanent income variance cyclicality. Chapter two reports evidence that individual investors in Indian equities hold better performing portfolios as they become more experienced in the equity market. Experienced investors tilt their portfolios profitably towards value stocks and stocks with low turnover, but these tilts do not fully explain their performance. Experienced investors also tend to have lower turnover and disposition bias. These behaviors, as well as underdiversification, diminish when investors experience poor returns resulting from them...

‣ Integrated Reporting and Investor Clientele

Serafeim, Georgios
Fonte: Harvard University Publicador: Harvard University
Tipo: Research Paper or Report
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In this paper, I examine the relation between Integrated Reporting (IR) and the composition of a firm’s investor base. I hypothesize and find that firms that practice IR have a more long-term oriented investor base with more dedicated and fewer transient investors. This result is more pronounced for firms with high growth opportunities, not controlled by a family, operating in ‘sin’ industries, and exhibiting more stable IR practice over time. I find that the results are robust to the inclusion of firm fixed effects, controls for the quantity of sustainability disclosure, and alternative ways of measuring IR. Moreover, I show that investor activism on environmental or social issues or a large number of concerns about a firm’s environmental or social impact leads a firm to practice more IR and that this investor or crisis-induced IR affects the composition of a firm’s investor base.

‣ Investor Protection and the Coasian View

Bergman, Nittai; Nicolaievsky, Daniel
Fonte: MIT - Massachusetts Institute of Technology Publicador: MIT - Massachusetts Institute of Technology
Tipo: Trabalho em Andamento Formato: 271615 bytes; application/pdf
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Some legal regimes leave gaps in the protection provided by the law to firm investors. This paper considers the decision by a firm to opt out of the law and bridge those gaps using contracts. Examining the charters of a sample of Mexican firms, we find that private firms often enhance significantly the protection offered by the law to their investors, but public firms rarely do so. Motivated by these findings, we construct a model that endogenizes the degree of investor protection that firms provide, using as springboard the assumption that legal regimes differ in their ability to enforce what we call precisely filtering contracts, namely, contracts that provide protection only in those cases where expropriation can occur. Our model generates predictions about the types of contracts that would be employed and the levels of investor protection that they would provide across different legal regimes in both private and in public firms.

‣ Measures of Investor and Consumer Confidence and Policy Actions in the Current Crisis

Dailami, Mansoor; Masson, Paul
Fonte: Banco Mundial Publicador: Banco Mundial
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The current financial crisis has highlighted the danger that declines in confidence can have a self-fulfilling effect on economic activity. In this paper, the authors consider ways of measuring investor and consumer confidence, and try to explain the evolution of confidence using measures of financial volatility, investment performance, macroeconomic outcomes, and policy actions. They identify a link between investor and consumer confidence. Finally, they show that liquidity provision and easing of interest rates had only a limited effect on financial market spreads during the crisis, arguing for additional measures to address the loss of confidence. The paper focuses on the need for financial regulatory reform, and shows how the incentives to cooperate in this area are stimulated by a common shock to confidence.

‣ Investor Protection and Corporate Governance : Firm-Level Evidence Across Latin America

Chong, Alberto; López-de-Silanes, Florencio
Fonte: Palo Alto, CA: Stanford University Press; Washington, DC: World Bank; Washington, DC: Inter-American Development Bank Publicador: Palo Alto, CA: Stanford University Press; Washington, DC: World Bank; Washington, DC: Inter-American Development Bank
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This book holds that the crucial failure of corporate governance is the expropriation of outside investors, be they shareholders or creditors, by those who are in control of firms. The problem of expropriation, also known as tunneling, often takes on enormous proportions. Billions of dollars of wealth are siphoned away from outside investors to controlling shareholders and their private company allies. The expropriation prevents investors from devoting funds in the corporate sector, thus leading to low valuations of corporate assets, stunted capital markets, and slowed economic growth. Low valuations and underdeveloped financial markets are only two of the symptoms of investor expropriation. Other symptoms include concentrated corporate ownership, large spreads between cash flow ownership and the voting rights of dominant shareholders, pyramids, and low dividend payments. When financial markets exhibit these symptoms, the likely underlying problem is investor expropriation. The essays collected in this volume put together a compelling picture showing that many of the symptoms of investor expropriation and poor corporate governance are present in Latin America. The evidence is loud and clear in every chapter of this book. But there are also benefits to collecting this detailed proof. The evidence suggests recipes for improvement as well. The message of this book is as unambiguous as is its analysis: a critical goal in the agenda of financial reform in Latin America must be improvement in corporate governance through legal reform.

‣ Investor Protection, Ownership, and the Cost of Capital

Himmelberg, Charles P.; Hubbard, R. Glenn; Love, Inessa
Fonte: World Bank, Washington, D.C. Publicador: World Bank, Washington, D.C.
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The authors combine the agency theory of the firm with risk diversification incentives for insiders. Principal-agent problems between insiders and outsiders force insiders to retain a larger share in their firm than they would under a perfect risk diversification strategy. The authors predict that this higher share of insider ownership and the resulting exposure of insiders to higher idiosyncratic risk will result in underinvestment and higher cost of capital. Using firm-level data from 38 countries, the authors provide evidence in support of their theoretical model, showing that the premium for bearing idiosyncratic risk varies between zero and six percent and decreases in the level of outside investor protection. The results of the study imply that policies aimed at strengthening investor protection laws and their enforcement will improve capital allocation and result in higher growth.

‣ Explaining Investor Preferences: The Significance of Socio-demographic, Ideological, and Attitudinal Factors

Beydoun, Abdul
Fonte: FIU Digital Commons Publicador: FIU Digital Commons
Tipo: Artigo de Revista Científica Formato: application/pdf
Português
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Previous research on investor preferences focused mainly on the relationship between socio-demographic variables and risk tolerance. This study extends the research in this area by focusing on three aspects of investor preferences: risk tolerance, time horizon, and estate intentions. The objective is to provide a more comprehensive model of investor preferences, including both psychological and attitudinal variables. This study addresses the following: Are socio-demographic variables sufficient to predict investor preferences? Is there a difference between males and females? How much additional variance is explained by including political ideology, positive psychology attitudes, and pro-social attitudes? Are these attitudinal variables simply additive or are they interactive? Data were collected from MBA students and senior undergraduate students in a major research university in South Florida. A scale was developed to measure estate intentions, a construct that has never been examined in management studies. The findings supported the expectation that psychological variables would be positively correlated with the dependent variables. However, I expected that pro-social attitudes would be a moderator variable, and this expectation was not realized. This dissertation contributes to the investor preferences field in several ways. First...

‣ How effective are Investor-State Dispute Settlement safeguards in protecting Australia’s right to regulate?

Wijesinha, Hashendra
Fonte: Universidade Nacional da Austrália Publicador: Universidade Nacional da Austrália
Tipo: Relatório
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This report evaluates the effectiveness of safeguards in Investor-State Settlement (ISDS) provisions in Australia’s bilateral investment treaties (BITs). The importance of ISDS safeguards come in the wake of Philip Morris, a tobacco company, contesting the Australian government in an ISDS tribunal for lost sales and revenue resulting from plain packaging legislation. There are concerns that foreign firms taking action against governments through ISDS tribunals will discourage Australia from continuing to implement legitimate legislation for public welfare. This may due to the high costs of arbitration, and damage claims if the investor wins. Legislation. The Australian government has maintained that Australia’s free trade agreements signed in the last decade carry ISDS safeguards which help protect Australia from this. This report will assess these claims by evaluating the two most contentious and common safeguards seen in Australian investment treaties, including the Korea-Australia Free Trade Agreement (KAFTA), Australia’s latest investment agreement to come into effect, and the Trans Pacific Partnership (TPP), which is still under negotiations. The report’s key findings are that the ISDS safeguard included in both KAFTA...

‣ Asset Pricing and Investor Behavior; Bewertung von Finanzanlagen und Investorenverhalten

Jank, Stephan
Fonte: Universidade de Tubinga Publicador: Universidade de Tubinga
Tipo: Dissertação
Português
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This thesis consists of three essays in empirical finance covering various aspects of asset prices and their relation to the behavior of investors. The first part looks at the cross-section of stock returns and the size and value premium in the context of technology risk. We find that the risk of creative destruction plays an important role in the stock market and is priced. The growth of patent issues, patent activity growth, serves as a measure for technology shocks and creative destruction risk. While small value firms have a negative exposure to patent activity growth, large growth firms have a positive exposure to this factor. This results in an economically meaningful risk premium which can account for the size and the value premium. The second part investigates the time-varying equity premium in the context of investor behavior. The focus of this chapter lies on one specific investor group, namely mutual fund investors. The main result is that mutual fund investors sell stocks in poor (macroeconomic) times which also are times of high expected returns. This portfolio adjustment suggests that in bad times mutual fund investors are less willing to hold equity than the average investor. Possible explanations for this behavior are that mutual fund investors have a higher risk aversion or a higher exposure to income shocks. The third part analyzes the attention of retail investors to the stock market and stock market volatility. The interest of retail investors in the stock market is measured by internet search queries for index names. Searches of index names and the volatility of the index show a strong co-movement over time. Furthermore...

‣ Inducing investment or savaging sovereignty: a report on the development and implications of an investor-state dispute mechanism in an AUSFTA

Miller, Gregory
Fonte: Universidade Nacional da Austrália Publicador: Universidade Nacional da Austrália
Tipo: Relatório
Português
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An investor-state dispute mechanism, a potential inclusion in an Australia-US Free Trade Agreement (AUSFTA) , has the ability to undermine the sovereign law making power of Australian Governments, and alter the fabric of Australian society. Yet despite these dire consequences, the level of examination on the effects of a dispute mechanism on Australia, from academics, the government and media is negligible. This report utilises the NAFTA countries experience with an investor-state dispute mechanism (ISDM) to underscore potential issues , recommendations and considerations for Australia, should a similar mechanism be suggested for an Australia-United States Free Trade Agreement (AUSFT A). The past two decades have seen a return of bilateralism as an increasingly common method of trade liberalisation. Australia in contrast to world trends, has been signatory to very few bilateral agreements, preferring to concentrate on multilateral negotiations. However, 2003 has marked a redirection of Australia's trade policy, with a free trade agreement (FTA) being signed with Singapore (SAFTA), and negotiations being undertaken for an AUSFTA. There have been a series of reports and quantitative studies performed to ascertain the value of an AUSFTA to Australia. These enquiries have largely ignored the potential impact of an investor-state dispute mechanism on Australian governance and society. However...

‣ Potential and Actual FDI Spillovers in Global Value Chains : The Role of Foreign Investor Characteristics, Absorptive Capacity and Transmission Channels

Winkler, Deborah
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
Português
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Using newly collected survey data on direct supplier-multinational linkages in Chile, Ghana, Kenya, Lesotho, Mozambique, Swaziland, and Vietnam, this paper first evaluates whether foreign investors differ from domestic producers in terms of their potential to generate positive spillovers for local suppliers. It finds that foreign firms outperform domestic producers on several indicators, but have fewer linkages with the local economy and offer less supplier assistance, resulting in offsetting effects on the spillover potential. The paper also studies the relationship between foreign investor characteristics and linkages with the local economy as well as assistance extended to local suppliers. It finds that foreign investor characteristics matter for both. The paper also examines the role of suppliers' absorptive capacities in determining the intensity of their linkages with multinationals. The results indicate that several supplier characteristics matter, but these effects also depend on the length of the supplier relationship. Finally...

‣ Corporate Governance, Investor Protection, and Performance in Emerging Markets

Klapper, Leora F.; Love, Inessa
Fonte: World Bank, Washington, D.C. Publicador: World Bank, Washington, D.C.
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
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Recent research studying the link between law, and finance has concentrated on country-level investor protection measures, and focused on differences in legal systems across countries, and legal families. The authors extend this literature, and provide a study of firm-level corporate governance practices across emerging markets, and a greater understanding of the environments under which corporate governance matters more. Their empirical tests show that better corporate governance is highly correlated with better operating performance, and market valuation. More important, the authors provide evidence showing that firm-level corporate governance provisions, matter more in countries with weak legal environments. These results suggest that firms can partially compensate for ineffective laws, and enforcement by establishing good governance, and providing credible investor protection. The authors' tests also show that firm-level governance, and performance is lower in countries with weak legal environments...

‣ Information and investor behavior surrounding earnings announcements

J. García, C.; B. Herrero, M.; M. Ibáñez, A.
Fonte: Instituto Politécnico de Lisboa Publicador: Instituto Politécnico de Lisboa
Tipo: Conferência ou Objeto de Conferência
Publicado em /07/2011 Português
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Preliminary version; The goal of this paper is to analyze the impact of annual earnings announcements on the market through the order flow data in addition to the usual transaction data. In this respect, examining order flow data can potentially reveal valuable information which is not available from transaction data. In fact, the data allow us to test hypotheses about asymmetric information and investor behavior and to test if the behavior varies with investor sophistication. In addition, the paper tries to identify the determinants of the impact on a firm's value using assumptions about investor behavior.