Three essays on the psychology of investment and financial markets

Préface My thesis consists of three essays where I consider equilibrium asset prices and investment strategies when the market is likely to experience crashes and possibly sharp windfalls. Although each part is written as an independent and self contained article, the papers share a common behavioral approach in representing investors preferences regarding to extremal returns. Investors utility is defined over their relative performance rather than over their final wealth position, a method first proposed by Markowitz (1952b) and by Kahneman and Tversky (1979), that I extend to incorporate preferences over extremal outcomes. With the failure of the traditional expected utility models in reproducing the observed stylized features of financial markets, the Prospect theory of Kahneman and Tversky (1979) offered the first significant alternative to the expected utility paradigm by considering that people focus on gains and losses rather than on final positions. Under this setting, Barberis, Huang, and Santos (2000) and McQueen and Vorkink (2004) were able to build a representative agent optimization model which solution reproduced some of the observed risk premium and excess volatility. The research in behavioral finance is relatively new and its potential still to explore. The three essays composing my thesis propose to use and extend this setting to study investors behavior and investment strategies in a market where crashes and sharp windfalls are likely to occur. In the first paper, the preferences of a representative agent, relative to time varying positive and negative extremal thresholds are modelled and estimated. A new utility function that conciliates between expected utility maximization and tail-related performance measures is proposed. The model estimation shows that the representative agent preferences reveals a significant level of crash aversion and lottery-pursuit. Assuming a single risky asset economy the proposed specification is able to reproduce some of the distributional features exhibited by financial return series. The second part proposes and illustrates a preference-based asset allocation model taking into account investors crash aversion. Using the skewed t distribution, optimal allocations are characterized as a resulting tradeoff between the distribution four moments. The specification highlights the preference for odd moments and the aversion for even moments. Qualitatively, optimal portfolios are analyzed in terms of firm characteristics and in a setting that reflects real-time asset allocation, a systematic over-performance is obtained compared to the aggregate stock market. Finally, in my third article, dynamic option-based investment strategies are derived and illustrated for investors presenting downside loss aversion. The problem is solved in closed form when the stock market exhibits stochastic volatility and jumps. The specification of downside loss averse utility functions allows corresponding terminal wealth profiles to be expressed as options on the stochastic discount factor contingent on the loss aversion level. Therefore dynamic strategies reduce to the replicating portfolio using exchange traded and well selected options, and the risky stock.

Man Made Black Holes and Big Bangs: Diffusion and Integration of Scientific Information into Everyday Thinking

Drawing on Social Representations Theory, this study investigates focalisation and anchoring during the diffusion of information concerning the Large Hadron Collider (LHC), the particle accelerator at the European Organisation for Nuclear Research (CERN). We hypothesised that people focus on striking elements of the message, abandoning others, that the nature of the initial information affects diffusion of information, and that information is anchored in prior attitudes toward CERN and science. A serial reproduction experiment with two generations and four chains of reproduction diffusing controversial versus descriptive information about the LHC shows a reduction of information through generations, the persistence of terminology regarding the controversy and a decrease of other elements for participants exposed to polemical information. Concerning anchoring, positive attitudes toward CERN and science increase the use of expert terminology unrelated to the controversy. This research highlights the relevance of a social representational approach in the public understanding of science.

Personas mayores y sus experiencias frente al cambio tecnológico en Murcia Capital: Estudio desde la perspectiva de género

Este estudio forma parte de la tesis doctoral presentada en 2014. Es de tipo cualitativo y tiene como base la Teoría de las expectativas de Eficacia (Bandura, 1977) que pretende hacer un acercamiento sobre cómo las personas mayores se enfrentan al cambio tecnológico en Murcia Capital. Los objetivos del mismo indagan sobre las dificultades, miedos, frustraciones o motivaciones que estas personas experimentan al hacer uso de la tecnología. Con base en sus experiencias, hombres y mujeres mayores, hablan sobre cómo se enfrentan al cambio tecnológico en el ámbito del hogar y del trabajo. Y de cómo esto afecta o contribuye en su desempeño en el trabajo, de la dificultad que representa hacer uso de la tecnología cuando nadie puede auxiliarlos/as o de la motivación que tienen debido al logro de diferentes actividades en línea realizadas con éxito. El estudio 10.601 aporta una nueva visión al identificar diferencias y similitudes entre hombres y mujeres mayores cuando hacen uso de Internet y sus aplicaciones.

Política pública en el desarrollo de la juventud rural

La política pública es fundamental para cumplir con el propósito de atender los problemas colectivos a través de la negociación colectiva. En el medio rural se expresa en toda su amplitud, como agenda de formulación, de ejecución y de evaluación ajena a los actores municipales. De esta forma, este artículo tiene como objetivo comprobar los procesos, condiciones y efectos que genera en la población que las recibe, las acepta y se adapta a ellas. Desde el enfoque territorial, se encontró que la política pública y algunos programas dirigidos a los jóvenes, se centran en la juventud urbana; mientras que los jóvenes rurales desconocen las políticas públicas y los programas que son creados o aplicados a ellos. Las instancias de gobierno municipal, registran una falta de atención a los jóvenes, por la escases de estructura administrativa y de recursos económicos, que profundizan la ausencia de coordinación y comunicación entre los tres niveles de gobierno y la sociedad civil; causando que la duplicidad de programas con recursos limitados e insuficientes se sumen a los demás factores que limitan la atención de los jóvenes de la Sierra Norte de Puebla.

Disability focus groups: A strategy for including people with disability in parishes

This paper reports the findings of an exploratory qualitative study examining parish awareness of the need to include individuals with disability in genuine and meaningful ways. Based on the interviews of over thirty persons, including people with disability, parents, parish workers, volunteers and human service workers within church agencies in the Catholic Archdiocese of Brisbane, Australia, the authors devised a process for including individuals in parishes. This process, known as a Disability Focus Group, was then implemented in one parish as a pilot study. The outcomes of the pilot are discussed.

Fit Futures: Focus on Food, Activity and Young People (PDF 861 KB)

The Fit Futures: Focus on Food, Activity and Young People report

Parent and child perspectives on the nature of anxiety in children and young people with Autism Spectrum Disorders: a focus group study

Anxiety disorders are common among children and young people with Autism Spectrum Disorders (ASD). Despite growing knowledge about the prevalence, phenomenology and treatment of anxiety disorders, relatively little is understood about the nature and impact of anxiety in this group and little is known about autism-specific factors that may play a role in the increased prevalence of anxiety disorders. In this exploratory study, we report on a series of 5 focus groups with 17 parents of children and adolescents with ASD and anxiety. Across groups, parents gave strikingly similar descriptions of the triggers and behavioural signs associated with anxiety. Another consistent finding was that many parents reported that their children had great difficulty expressing their worries verbally and most showed their anxiety through changes in their behaviour. The impact of anxiety was reported to often be more substantial than the impact of ASD itself. The implications of the focus group findings are discussed in relation to existing literature.

Patients' and health professionals' views on primary care for people with serious mental illness:focus group study

Objective: To explore the experience of providing and receiving primary care from the perspectives of primary care health professionals and patients with serious mental illness respectively. Design: Qualitative study consisting of six patient groups, six health professional groups, and six combined focus groups. Setting: Six primary care trusts in the West Midlands. Participants: Forty five patients with serious mental illness, 39 general practitioners (GPs), and eight practice nurses. Results: Most health professionals felt that the care of people with serious mental illness was too specialised for primary care. However, most patients viewed primary care as the cornerstone of their health care and preferred to consult their own GP, who listened and was willing to learn, rather than be referred to a different GP with specific mental health knowledge. Swift access was important to patients, with barriers created by the effects of the illness and the noisy or crowded waiting area. Some patients described how they exaggerated symptoms ("acted up") to negotiate an urgent appointment, a strategy that was also employed by some GPs to facilitate admission to secondary care. Most participants felt that structured reviews of care had value. However, whereas health professionals perceived serious mental illness as a lifelong condition, patients emphasised the importance of optimism in treatment and hope for recovery. Conclusions: Primary care is of central importance to people with serious mental illness. The challenge for health professionals and patients is to create a system in which patients can see a health professional when they want to without needing to exaggerate their symptoms. The importance that patients attach to optimism in treatment, continuity of care, and listening skills compared with specific mental health knowledge should encourage health professionals in primary care to play a greater role in the care of patients with serious mental illness.

As artes marciais chinesas para pessoas com deficiência : contextos, dilemas e possibilidades = Chinese martial arts for people with disabilities : contexts, dilemmas and possibilities

Universidade Estadual de Campinas . Faculdade de Educação Física

Escala de autoaceitação para pessoas com cegueira congênita ou precoce : desenvolvimento e investigação psicométrica = Self-acceptance acale for people with congenital or early blindness : development and psychometric analysis

Universidade Estadual de Campinas . Faculdade de Educação Física

Work issues for young people with psychosis: Barriers to employment

Young people who have had a mental illness face significant barriers to both gaining and maintaining employment. A study using a qualitative design and consisting of two focus groups, was conducted to focus on the issues experiencedby young people diagnosed with psychosis wanting to gain employment. The participants were 10 registered clients of an Australian mental health service that had a specialised early psychosis programme. The themes identified in this study concerned loss, low self-confidence and self-esteem, stigma, treatment issues, the need for support, and difficulties in identifying and achieving goals. Further research is warranted to gain a greater understanding of the type of programme that would best assist young people to gain and maintain employment.

Nonverbal narratives: Listening to people with severe intellectual disability

This article describes an exploratory study that examined the perspectives of practitioners who spend much of their working day listening to and in some ways interpreting for people with severe intellectual disabilities. On the basis of focus group interviews with 23 professional disability-sector workers, including speech therapists, psychologists, and human service workers, the article reports on the importance of a practitioner's values and experience in successful interactions with individuals who rely on self-developed nonsymbolic communication repertoires. The article includes a discussion of the likelihood of including individuals with severe intellectual disabilities in narrative research.