CAPM und Behavioral Finance - Versuch einer Synthese

Seit Etablierung der ersten Börsen als Marktplatz für fungible Güter sind Marktteilnehmer und die Wissenschaft bemüht, Erklärungen für das Zustandekommen von Marktpreisen zu finden. Im Laufe der Zeit wurden diverse Modelle entwickelt. Allen voran ist das neoklassische Capital Asset Pricing Modell (CAPM) zu nennen. Die Neoklassik sieht den Akteur an den Finanzmärkten als emotionslosen und streng rationalen Entscheider, dem sog. homo oeconomicus. Psychologische Einflussfaktoren bei der Preisbildung bleiben unbeachtet. Mit der Behavioral Finance hat sich ein neuer Zweig zur Erklärung von Börsenkursen und deren Bewegungen entwickelt. Die Behavioral Finance sprengt die enge Sichtweise der Neoklassik und geht davon aus, dass psychologische Effekte die Entscheidung der Finanzakteure beeinflussen und dabei zu teilweise irrational und emotional geprägten Kursänderungen führen. Eines der Hauptprobleme der Behavioral Finance liegt allerdings in der fehlenden formellen Ermittelbarkeit und Testbarkeit der einzelnen psychologischen Effekte. Anders als beim CAPM, wo die einzelnen Parameter klar mathematisch bestimmbar sind, besteht die Behavioral Finance im Wesentlichen aus psychologischen Definitionen von kursbeeinflussenden Effekten. Die genaue Wirkrichtung und Intensität der Effekte kann, mangels geeigneter Modelle, nicht ermittelt werden. Ziel der Arbeit ist es, eine Abwandlung des CAPM zu ermitteln, die es ermöglicht, neoklassische Annahmen durch die Erkenntnisse des Behavioral Finance zu ergänzen. Mittels der technischen Analyse von Marktpreisen wird versucht die Effekte der Behavioral Finance formell darstellbar und berechenbar zu machen. Von Praktikern wird die technische Analyse dazu verwendet, aus Kursverläufen die Stimmungen und Intentionen der Marktteilnehmer abzuleiten. Eine wissenschaftliche Fundierung ist bislang unterblieben. Ausgehend von den Erkenntnissen der Behavioral Finance und der technischen Analyse wird das klassische CAPM um psychologische Faktoren ergänzt, indem ein Multi-Beta-CAPM (Behavioral-Finance-CAPM) definiert wird, in das psychologisch fundierte Parameter der technischen Analyse einfließen. In Anlehnung an den CAPM-Test von FAMA und FRENCH (1992) werden das klassische CAPM und das Behavioral-Finance-CAPM getestet und der psychologische Erklärungsgehalt der technischen Analyse untersucht. Im Untersuchungszeitraum kann dem Behavioral-Finance-CAPM ein deutlich höherer Erklärungsgehalt gegenüber dem klassischen CAPM zugesprochen werden.

Una discusión en torno al concepto de bienestar

En este documento se quiere demostrar que una teoría que pretenda fundamentar la política social que no permita las comparaciones interpersonales es inadecuada. Por esta razón, el punto de partida es una crítica a la economía normativa neoclásica. Esta crítica consiste, en últimas, en una crítica al concepto de bienestar de los utilitaristas. Se plantea que el bienestar entendido como utilidad excluye información relevante para juzgar el bienestar de las personas, y se propone que el concepto de bienestar del profesor Amartya Sen es adecuado como base de una teoría para la política social.

Exploring the construction of social class in educational discourse: the rational order of the nation state versus global uncertainties

This article aims to create intellectual space in which issues of social inequality and education can be analyzed and discussed in relation to the multifaceted and multi-levelled complexities of the modern world. It is divided into three sections. Section One locates the concept of social class in the context of the modern nation state during the period after the Second World War. Focusing particularly on the impact of 'Fordism' on social organization and cultural relations, it revisits the articulation of social justice issues in the United Kingdom, and the structures put into place at the time to alleviate educational and social inequalities. Section Two problematizes the traditional concept of social class in relation to economic, technological and sociocultural changes that have taken place around the world since the mid-1980s. In particular, it charts some of the changes to the international labour market and global patterns of consumption, and their collective impact on the re-constitution of class boundaries in 'developed countries'. This is juxtaposed with some of the major social effects of neo-classical economic policies in recent years on the sociocultural base in developing countries. It discusses some of the ways these inequalities are reflected in education. Section Three explores tensions between the educational ideals of the 'knowledge economy' and the discursive range of social inequalities that are emerging within and beyond the nation state. Drawing on key motifs identified throughout, the article concludes with a reassessment of the concept of social class within the global cultural economy. This is discussed in relation to some of the major equity and human rights issues in education today.

Exploring the construction of social class in educational discourse: the rational order of the nation state vs. global uncertainties

This article aims to create intellectual space in which issues of social inequality and education can be analyzed and discussed in relation to the multifaceted and multi-levelled complexities of the modern world. It is divided into three sections. Section One locates the concept of social class in the context of the modern nation state during the period after the Second World War. Focusing particularly on the impact of ‘Fordism’ on social organization and cultural relations, it revisits the articulation of social justice issues in the United Kingdom, and the structures put into place at the time to alleviate educational and social inequalities. Section Two problematizes the traditional concept of social class in relation to economic, technological and sociocultural changes that have taken place around the world since the mid-1980s. In particular, it charts some of the changes to the international labour market and global patterns of consumption, and their collective impact on the re-constitution of class boundaries in ‘developed countries’. This is juxtaposed with some of the major social effects of neo-classical economic policies in recent years on the sociocultural base in developing countries. It discusses some of the ways these inequalities are reflected in education. Section Three explores tensions between the educational ideals of the ‘knowledge economy’ and the discursive range of social inequalities that are emerging within and beyond the nation state. Drawing on key motifs identified throughout, the article concludes with a reassessment of the concept of social class within the global cultural economy. This is discussed in relation to some of the major equity and human rights issues in education today.

Spatial housing economics: a survey

This introduction to the Virtual Special Issue surveys the development of spatial housing economics from its roots in neo-classical theory, through more recent developments in social interactions modelling, and touching on the role of institutions, path dependence and economic history. The survey also points to some of the more promising future directions for the subject that are beginning to appear in the literature. The survey covers elements hedonic models, spatial econometrics, neighbourhood models, housing market areas, housing supply, models of segregation, migration, housing tenure, sub-national house price modelling including the so-called ripple effect, and agent-based models. Possible future directions are set in the context of a selection of recent papers that have appeared in Urban Studies. Nevertheless, there are still important gaps in the literature that merit further attention, arising at least partly from emerging policy problems. These include more research on housing and biodiversity, the relationship between housing and civil unrest, the effects of changing age distributions - notably housing for the elderly - and the impact of different international institutional structures. Methodologically, developments in Big Data provide an exciting framework for future work.

A economia como ciência. Dos clássicos a Keynes

Este ensaio se propõe confrontar a abordagem neoclássica da economia como ciência positiva, com a modelo keynesiano e a visão da economia dinâmica de Kalecki, onde a economia é tratada desde a perspectiva de uma ciência moral e normativa. Para tanto analisaremos as bases teóricas de cada modelo, seus pressupostos, leis fundamentais e principais conclusões. Dado o propósito didático do texto nos preocupamos em tentar explicar os antecedentes, axiomas, leis e relações funcionais de cada modelo, dando especial ênfase às que surgem da crítica de postulados anteriores, pois admitimos que cada modelo incorpora valores, pressupostos e metodologia própria, cuja crítica é essencial para o avanço da ciência. A economia neoclássica supõe agentes racionais, informação completa e ações e resultados imediatos. Seu método de análise é a otimização com restrições. O principio ordenador, necessário e suficiente da atividade econômica, consiste no comportamento racional dos agentes. Este modelo tem sua concepção política e ética das relações econômicas, consistente com seus pressupostos, o que fica patente, por exemplo, a propósito de sua teoria da distribuição da renda. Com a introdução de conceitos como: o tempo histórico; o caracter monetário da produção; a preferência pela liquidez; o comportamento subjetivo dos agentes; o predomínio da procura sobre a oferta; as expectativas e a incerteza em relação ao futuro, etc., a macroeconomia de Keynes consegue romper o paradigma anterior, do ajuste automático dos mercados de acordo com um feedeback contínuo e estável, capaz de garantir o equilíbrio de pleno emprego. Embora a análise keynesiana tivesse permitido a abordagem precisa de questões tão importantes como: a natureza e as causas do desemprego; o papel da moeda e do crédito; a determinação dos juros; os condicionantes do investimento, etc., faltava ainda uma teoria dos preços, da distribuição e do ciclo econômico, no que o trabalho de M. Kalecki, certamente parece ter avançado. Este autor parte de um contexto cultural e ideológico que lhe permite abordar sem entraves a natureza do capitalismo. Seu enfoque micro e macroeconômico é integrado e está apoiado no pressuposto da concorrência imperfeita. No universo keynesiano os mercados podem estar em equilíbrio, mas não no de pleno emprego, já segundo Kalecki o ciclo econômico é inevitável. Em ambos os casos os mercados não são perfeitos e não tendem naturalmente para o equilíbrio, o que justifica a ação reguladora do Estado, de acordo sua opção política e um código de valores preestabelecido. É de se imaginar que cada modelo de análise esteja condicionado pelo conjunto de valores dominantes do momento, o que não invalida o caracter de ciência social da economia. Por exemplo, desde a perspectiva individualista da troca mercantil, a economia se apresenta com a metodologia de ciência pura, porém, levando em conta as relações de classe social, é uma ciência moral.

Distortions in the investment goods sector and productivity decline

We study the impact of distortions in the investment goods sector on aggregate total factor productivity (TFP). We develop a two-sector neo-classical growth model in which TFP in the capital goods sector relative to TFP in the consumption sector is inversely related to the price of investment relative to consumption, so that we use relative prices to measure TFP in the investment goods sector. The model is calibrated to Brazil and we nd that distortions in the investment goods sector may explain most of the decline in Brazilian TFP relative to the United States since the mid-1970s.

A relação histórica entre democracia e liberalismo. Um diálogo crítico com Norberto Bobbio.

This work seeks to examine the historical relationships established between liberalism and democracy, questioning the apparent inseparability between the two ideologies. Methodologically construct a hypothetical dialogue with the Italian thinker Norberto Bobbio, one of the most important systematizers of liberal democracy, defending a theoretical and conceptual complementarity between the two ideologies. Following the Bobbio theoretical propose, it presents the political contributions of classical liberalism that the Italian thinker identify as logical and axiological antecedent of the modern democracy, naturalizing and universalizing the principles and ideals of classical liberalism. Going counter, it problematizes the political contributions of classical liberalism, emphasizing the tension between liberal theory and its practice, between the declared political principles and their translation into concrete historical reality, reserving rights and freedoms to property minority and severe restrictions to the majority. The critical analysis of classical liberalism allows questioning the privilege position that Bobbio reserves to the liberalism in the democracy history, to restore the important contribution of illiberal politics currents in the civil, political and social rights history, advocating the democracy with its social character, inclusive and participatory

Pissing Glass and the Body Crass: Adaptations of the Scatological in Théophile

Examination of scatological motifs in Théophile de Viau’s (1590-1626) libertine, or ‘cabaret’ poetry is important in terms of how the scatological contributes to the depiction of the Early Modern body in the French lyric.1 This essay does not examine Théophile’s portrait of the body strictly in terms of the ‘Baroque’ or the ‘neo-Classical.’ Rather, it argues that the scatological context in which he situates the body (either his, or those of others), reflects a keen sensibility of the body representative of the transition between these two eras. Théophile reinforces what Bernard Beugnot terms the body’s inherent ‘eloquence’ (17), or what Patrick Dandrey describes as an innate ‘textuality’ in what the body ‘writes’ (31), and how it discloses meaning. The poet’s scatological lyric, much of which was published in the Pamasse Satyrique of 1622, projects a different view of the body’s ‘eloquence’ by depicting a certain realism and honesty about the body as well as the pleasure and suffering it experiences. This Baroque realism, which derives from a sense of the grotesque and the salacious, finds itself in conflict with the Classical body which is frequently characterized as elegant, adorned, and ‘domesticated’ (Beugnot 25). Théophile’s private body is completely exposed, and, unlike the public body of the court, does not rely on masking and pretension to define itself. Mitchell Greenberg contends that the body in late sixteenth-century and early seventeenth-century French literature is often depicted in a chaotic manner because, ‘the French body politic was rent by tumultuous religious and social upheavals’ (62).2 While one could argue that Théophile’s portraits of a syphilis-ridden narrators are more a reflection of his personal agony rather than that of France as a whole, what emerges in Théophile is an emphasis on the movement, if not decomposition of the body.3 Given Théophile’s public persona and the satirical dimension of his work, it is difficult to imagine that the degeneration he portrays is limited only to his individual experience. On a collective level, Théophile reflects what Greenberg calls ‘a continued, if skewed apprehension of the world in both its physical and metaphysical dimensions’(62–3) typical of the era. To a large extent, the body Théophile depicts is a scatological body, one whose deterioration takes the form of waste, disease, and evacuation as represented in both the private and public domain. Of course, one could cast aside any serious reading of Théophile’s libertine verse, and virtually all of scatological literature for that matter, as an immature indulgence in the prurient. Nonetheless, it was for his dissolute behavior and his scatological poetry that Théophile was imprisoned and condemned to death. Consequently, this part of his work merits serious consideration in terms of the personal and poetic (if not occasionally political) statement it represents. With the exception of Claire Gaudiani’s outstanding critical edition of Théophile’s cabaret lyric, there exist no extensive studies of the poet’s libertine œuvre.4 Clearly however, these poems should be taken seriously with respect to their philosophical and aesthetic import. As a consequence, the objective becomes that of enhancing the reader’s understanding of the lyric contexts in which Théophile’s scatological offerings situate themselves. Structurally, the reader sees how the poet’s libertine ceuvre is just that — an integrated work in which the various components correspond to one another to set forth a number of approaches from which the texts are to be read. These points of view are not always consistent, and Théophile cannot be thought of as writing in a sequential manner along the lines of devotional Baroque poets such as Jean de La Ceppède and Jean de Sponde. However, there is a tendency not to read these poems in their vulgar totality, and to overlook the formal and substantive unity in this category of Théophile’s work. The poet’s resistance to poetic and cultural standards takes a profane, if not pornographic form because it seeks to disgust and arouse while denigrating the self, the lyric other, and the reader. Théophile’s pornography makes no distinction between the erotic and scatological. The poet conflates sex and shit because they present a double form of protest to artistic and social decency while titillating and attacking the reader’s sensibilities. Examination of the repugnant gives way to a cathartic experience which yields an understanding of, if not ironic delight in, one’s own filthy nature.

Constituição e modelo de mercado : uso liberal e desuso neoliberal

Tese de doutoramento, Direito (Ciências Jurídico-Políticas), Universidade de Lisboa, Faculdade de Direito, 2016

Supply and Demand Side Limitations Affecting the Structure of Agriculture and the Rural Economy. Factor Markets Working Paper No. 21, February 2012

The paper criticises the neo-classical assumptions of perfect factor markets and of complete information, which constitute central elements in labour market theory. Based on literature review and on economic reports from transition economies, as well as developing countries and more advanced economies, this deliverable focuses on the structural impediments and imperfections which often characterise rural labour markets and which may prevent an efficient allocation of labour. According to empirical studies, transactions costs and rigidities hinder the well-functioning of labour markets and constrain labour adjustments. The paper attempts to classify the various limitations of rural labour markets from both supply and demand side, although the distinction is not always clear-cut as some problems occur on both sides. The identification of these issues is extremely important as it allows us to highlight the inefficiencies and the failures in labour markets and to understand their impact on labour allocation. In this context, market intervention is desirable and the paper provides particular support for rural development policies such as investments in human capital. Lastly, labour institutions can play a key role in promoting the well functioning of labour markets, thus it is fundamental that they are well in place.

Paixão empreendedora: neoliberalismo, capital humano e processos seletivos de trainees

O neoliberalismo, do ponto de vista econômico e social, pode ser entendido como a instauração, na sociedade, de relações estritamente mercantis, fazendo com que a lógica da maximização do ganho e do rendimento seja estendida a todos os campos, promovendo a racionalidade econômica como forma de racionalidade em geral. A forma de governamentalidade neoliberal norte-americana, com sua pretensão de transmutar os indivíduos em sujeitos-microempresas e as relações humanas em relações de tipo concorrencial, faz com que os indivíduos passem a ser vistos como “capital humano”. Originalmente, o termo “capital humano” remete a uma teoria que, desenvolvida sob influência do paradigma econômico neoclássico e liderança de Theodore Schultz, foi responsável por assimilar e transferir princípios econômicos para uma realidade anteriormente isenta de significados dessa natureza, fazendo emergir um discurso que associa o humano ao capital, transportando-o, dessa forma, para uma lógica onde ele deve gerir a si mesmo, tal como uma empresa. A empresa é, assim, promovida a modelo de subjetivação, sendo cada indivíduo um capital a ser gerenciado e valorizado conforme as demandas do mercado. É por isso que o modelo de conduta empreendedora, advindo do discurso do capital humano de inspiração neoliberal e de teorias clássicas propostas por Werner Sombart e Joseph A. Schumpeter, acomete os profissionais das organizações sediadas nos países capitalistas. Esse fato é bastante expressivo entre os jovens que procuram inserir-se no mercado de trabalho, principalmente em posições estratégicas valorizadas dentro das organizações, como as de trainee. No Brasil, os programas de trainee são considerados uma estratégia de busca de atração de jovens com perfil diferenciado, sendo uma resposta encontrada por muitas organizações desde 1970 para ganhar vantagem em um cenário econômico altamente competitivo. Esses profissionais são vistos como os “talentos” da organização, sendo treinados para ocuparem cargos estratégicos em um curto espaço tempo. A fim de esclarecer de que maneira o modelo de conduta empreendedora está presente nos processos seletivos de trainee, foi realizada uma análise dos textos que descrevem as competências exigidas na seleção desses jovens, a partir da Análise Crítica do Discurso (ACD) de Fairclough (2001, 2003), a partir das categorias analíticas “modalidade” e “avaliação”, e reflexões acerca da ideologia neoliberal. Chegou-se à conclusão de que o modelo de conduta empreendedora que está presente nos processos seletivos de trainee é marcada pela expressão de um comportamento apaixonado, que, no campo do management, é entendido a partir do conceito de “paixão empreendedora”. A pesquisa desenvolvida é relevante para o campo da Administração, tanto para o campo acadêmico (uma vez que há poucos estudos que têm como objeto de pesquisa a seleção de trainees e que procuram entendê-lo a partir de um viés crítico utilizando-se da análise do discurso do capital humano), como para quem está inserido nas organizações e convive com as dificuldades e desafios de selecionar jovens para programas de trainees, já que levanta questões importantes sobre os impactos dessas iniciativas tanto para os jovens, como para as organizações que os contratam.

Military spending and economic growth in South Africa

This paper undertakes an empirical analysis of the economic effects of military spending on the South African economy. It estimates a neo-classical model common in the literature at the level of the macroeconomy and at the level of the manufacturing sector. An attempt is made to improve upon the model by allowing the data to determine the dynamic structure of the model through an ARDL procedure. No significant impact of military spending is found in aggregate, but there is a significant negative impact for the manufacturing sector. This suggests that the cuts in domestic military procurement that have occurred since 1989 could lead to improved economic performance in South Africa through their impact on the manufacturing sector.

Democracy promotion and Turkey

The dissertation documented the degree of Turkey's involvement in the promotion of democracy in the Arab Middle East (ME). Initially, I investigated why and under what conditions Turkey promotes democracy in the ME, and then I explained strategies through which Turkey promotes democracy in the region. I applied the neo-classical realist theoretical framework and a mixed methodology in the research, and I provided evidence from two sources: face-to-face interviews with the Turkish and foreign officials and common citizens, and the statistical data from institutions, such as the OECD, Turkish Statistical Institute, and World Bank.^ My research indicates that Turkey promotes democracy through seven channels. These channels are official development assistance (ODA), mentoring, demonstrative effect, normative pressure, conditionality, military power, enlargement, and civil society organizations. Turkey promotes democracy in the ME for three substantial reasons: first, to advance its security and economic interests; second, to improve the political, social, and economic conditions of people living in the region; and third, to create long-term regional stability, crucial for cooperation in economic and security realms.^ I attempted to engage in debates with two distinct, but interrelated fields of comparative politics and international relations. My most important contribution to the field is that I documented Turkey's case of democracy promotion regarding the degree of Turkey's involvement in this endeavor, its strategies, specificities, and effectiveness in the region. I also contribute to the field as I explained the difference between democracy promotion policies of a regional power, such as Turkey, and global powers, such as the US. I further engaged in discussions that illuminate some aspects of the interplay between the identity and strategic interests in states' foreign policy decisions.^

The issue of macroeconomic closure revisited and extended

Léon Walras (1874) already had realized that his neo-classical general equilibrium model could not accommodate autonomous investment. Sen analysed the same issue in a simple, one-sector macroeconomic model of a closed economy. He showed that fixing investment in the model, built strictly on neo-classical assumptions, would make the system overdetermined, thus, one should loosen some neo-classical condition of competitive equilibrium. He analysed three not neo-classical “closure options”, which could make the model well determined in the case of fixed investment. Others later extended his list and it showed that the closure dilemma arises in the more complex computable general equilibrium (CGE) models as well, as does the choice of adjustment mechanism assumed to bring about equilibrium at the macro level. By means of numerical models, it was also illustrated that the adopted closure rule can significantly affect the results of policy simulations based on a CGE model. Despite these warnings, the issue of macro closure is often neglected in policy simulations. It is, therefore, worth revisiting the issue and demonstrating by further examples its importance, as well as pointing out that the closure problem in the CGE models extends well beyond the problem of how to incorporate autonomous investment into a CGE model. Several closure rules are discussed in this paper and their diverse outcomes are illustrated by numerical models calibrated on statistical data. First, the analyses is done in a one-sector model, similar to Sen’s, but extended into a model of an open economy. Next, the same analyses are repeated using a fully-fledged multisectoral CGE model, calibrated on the same statistical data. Comparing the results obtained by the two models it is shown that although, using the same closure option, they generate quite similar results in terms of the direction and – to a somewhat lesser extent – of the magnitude of change in the main macro variables, the predictions of the multi-sectoral CGE model are clearly more realistic and balanced.