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.

A behavioral comparison of male and female adults with high functioning autism spectrum conditions

Autism spectrum conditions (ASC) affect more males than females in the general population. However, within ASC it is unclear if there are phenotypic sex differences. Testing for similarities and differences between the sexes is important not only for clinical assessment but also has implications for theories of typical sex differences and of autism. Using cognitive and behavioral measures, we investigated similarities and differences between the sexes in age- and IQ-matched adults with ASC (high-functioning autism or Asperger syndrome). Of the 83 (45 males and 38 females) participants, 62 (33 males and 29 females) met Autism Diagnostic Interview-Revised (ADI-R) cut-off criteria for autism in childhood and were included in all subsequent analyses. The severity of childhood core autism symptoms did not differ between the sexes. Males and females also did not differ in self-reported empathy, systemizing, anxiety, depression, and obsessive-compulsive traits/symptoms or mentalizing performance. However, adult females with ASC showed more lifetime sensory symptoms (p = 0.036), fewer current socio-communication difficulties (p = 0.001), and more self-reported autistic traits (p = 0.012) than males. In addition, females with ASC who also had developmental language delay had lower current performance IQ than those without developmental language delay (p<0.001), a pattern not seen in males. The absence of typical sex differences in empathizing-systemizing profiles within the autism spectrum confirms a prediction from the extreme male brain theory. Behavioral sex differences within ASC may also reflect different developmental mechanisms between males and females with ASC. We discuss the importance of the superficially better socio-communication ability in adult females with ASC in terms of why females with ASC may more often go under-recognized, and receive their diagnosis later, than males.

Formal theory building for the avalanche game: explaining counter-intuitive behaviour of a complex system using geometrical and human behavioural/physiological effects

In 'Avalanche', an object is lowered, players staying in contact throughout. Normally the task is easily accomplished. However, with larger groups counter-intuitive behaviours appear. The paper proposes a formal theory for the underlying causal mechanisms. The aim is to not only provide an explicit, testable hypothesis for the source of the observed modes of behaviour-but also to exemplify the contribution that formal theory building can make to understanding complex social phenomena. Mapping reveals the importance of geometry to the Avalanche game; each player has a pair of balancing loops, one involved in lowering the object, the other ensuring contact. For more players, sets of balancing loops interact and these can allow dominance by reinforcing loops, causing the system to chase upwards towards an ever-increasing goal. However, a series of other effects concerning human physiology and behaviour (HPB) is posited as playing a role. The hypothesis is therefore rigorously tested using simulation. For simplicity a 'One Degree of Freedom' case is examined, allowing all of the effects to be included whilst rendering the analysis more transparent. Formulation and experimentation with the model gives insight into the behaviours. Multi-dimensional rate/level analysis indicates that there is only a narrow region in which the system is able to move downwards. Model runs reproduce the single 'desired' mode of behaviour and all three of the observed 'problematic' ones. Sensitivity analysis gives further insight into the system's modes and their causes. Behaviour is seen to arise only when the geometric effects apply (number of players greater than degrees of freedom of object) in combination with a range of HPB effects. An analogy exists between the co-operative behaviour required here and various examples: conflicting strategic objectives in organizations; Prisoners' Dilemma and integrated bargaining situations. Additionally, the game may be relatable in more direct algebraic terms to situations involving companies in which the resulting behaviours are mediated by market regulations. Finally, comment is offered on the inadequacy of some forms of theory building and the case is made for formal theory building involving the use of models, analysis and plausible explanations to create deep understanding of social phenomena.

Theory building with system dynamics: topic and research contributions

The article discusses various reports published within the issue, including the articles "Closing the Loop: Promoting Synergies with other Theory Building Approaches to Improve System Dynamics Practice," by Birgit Kopainsky and Luis Luna-Reyes, and "On improving dynamic decision-making: Implications from multiple-process cognitive theory," by Bent Bakken.

Corporate strategic responses to foreign entry: insights from prospect theory

Purpose – The purpose of this paper is to address how firms adapt their product and geographic diversification as a response to foreign rivals penetrating their domestic market by adopting a behavioral perspective to understand firm-level strategic responses to foreign entry. Design/methodology/approach – The study proposes that strategic responses to foreign entry selected by domestic incumbents have both a framing component and a related, strategic choice component, with the latter including changes in product and geographic market diversification (though other more business strategy-related responses are also possible, e.g. in product pricing and marketing). This study tests a set of hypotheses building on panel data of large US firms. Findings – The study finds, in accordance with our predictions, that domestic incumbents reduce their product and geographic diversification when facing an increase in import penetration. However, when increased market penetration by foreign firms takes the form of FDI rather than imports, the corporate response appears to be an increase in product and geographic diversification, again in line with our predictions. Originality/value – The study develops a new conceptual framework that is grounded in prospect theory, but builds on recent insights from mainstream international strategic management studies (Bowen and Wiersema, 2005; Wiersema and Bowen, 2008).

Avaliando questionários de risco e o comportamento do investidor sobre a ótica de behavioral finance

Tolerância ao risco é fundamental quando se tomam decisões financeiras. No entanto, a avaliação da tolerância ao risco tem se baseado ao longo dos anos em diferentes metodologias, tais como julgamentos heurísticos e a teoria da utilidade esperada que tem como base a hipótese dos mercados eficientes. Foi dentro desta ótica que este trabalho se desenvolveu. O objetivo é analisar três diferentes questionários de avaliação ao risco que são na prática amplamente utilizados por consultores financeiros. Foi assumido para isso que os investidores são considerados racionais, conhecem e ordenam de forma lógica suas preferências, buscam maximizar a "utilidade" de suas escolhas, e conseguem atribuir com precisão probabilidades aos eventos futuros, quando submetidos a escolhas que envolvam incertezas. No entanto, em uma análise preliminar dos questionários, estes poderiam estar utilizando conceitos de behavioral finance para avaliarem a tolerância ao risco, ao invés de utilizarem somente a metodologia tradicional da teoria da utilidade esperada. Dessa forma tornou-se necessário o estudo dos conceitos de behavioral finance. O primeiro capítulo então trata dos aspectos psicológicos do investidor, procurando entender como este se comporta e como este forma suas preferências. Apesar do estudo assumir racionalidade nas decisões, se a teoria de behavioral estiver correta e os investidores apresentarem desvios a racionalidade, como a teoria prospectiva afirma, o questionário poderia ser o veículo ideal para identificar tais desvios, sendo possível então educar e orientar o indivíduo em suas escolhas financeiras, afim de maximizá-las. O capitulo dois coloca a análise dos questionários inserida no contexto da teoria moderna de finanças, falando das escolhas de portfólio para investidores de longo prazo. O capítulo mostra de forma bem resumida e simplificada como o investidor maximiza a sua utilidade da riqueza. A idéia desse capítulo é entender como alguns julgamentos heurísticos assumidos na prática por consultores financeiros afetam as escolhas de portfólio e em quais condições esses julgamentos heurísticos são verdadeiros. Isso se torna importante pois os questionários mesclam medidas de risco com horizonte de investimentos do investidor. Estes questionários são utilizados para traçar uma política de investimentos completa para o investidor. Para cada perfil de risco encontrado a instituição traça um modelo de alocação de portfólio. O capítulo três trata da avaliação dos questionários em si tendo como base a teoria da utilidade esperada, os conceitos de behaviral finance e as lições tiradas das escolhas de portfólio para investidores de longo prazo.

Prospect theory, diversificação ingênua e propensão a risco de especialistas em mercado: evidência empírica no Brasil

The Prospect Theory is one of the basis of Behavioral Finance and models the investor behavior in a different way than von Neumann and Morgenstern Utility Theory. Behavioral characteristics are evaluated for different control groups, validating the violation of Utility Theory Axioms. Naïve Diversification is also verified, utilizing the 1/n heuristic strategy for investment funds allocations. This strategy causes different fixed and equity allocations, compared to the desirable exposure, given the exposure of the subsample that answered a non constrained allocation question. When compared to non specialists, specialists in finance are less risk averse and allocate more of their wealth on equity.

EthoSeq: A tool for phylogenetic analysis and data mining in behavioral sequences

This article introduces the software program called EthoSeq, which is designed to extract probabilistic behavioral sequences (tree-generated sequences, or TGSs) from observational data and to prepare a TGS-species matrix for phylogenetic analysis. The program uses Graph Theory algorithms to automatically detect behavioral patterns within the observational sessions. It includes filtering tools to adjust the search procedure to user-specified statistical needs. Preliminary analyses of data sets, such as grooming sequences in birds and foraging tactics in spiders, uncover a large number of TGSs which together yield single phylogenetic trees. An example of the use of the program is our analysis of felid grooming sequences, in which we have obtained 1,386 felid grooming TGSs for seven species, resulting in a single phylogeny. These results show that behavior is definitely useful in phylogenetic analysis. EthoSeq simplifies and automates such analyses, uncovers much of the hidden patterns of long behavioral sequences, and prepares this data for further analysis with standard phylogenetic programs. We hope it will encourage many empirical studies on the evolution of behavior.

Generalizing the dynamic field theory of spatial cognition across real and developmental time scales

Within cognitive neuroscience, computational models are designed to provide insights into the organization of behavior while adhering to neural principles. These models should provide sufficient specificity to generate novel predictions while maintaining the generality needed to capture behavior across tasks and/or time scales. This paper presents one such model, the Dynamic Field Theory (DFT) of spatial cognition, showing new simulations that provide a demonstration proof that the theory generalizes across developmental changes in performance in four tasks—the Piagetian A-not-B task, a sandbox version of the A-not-B task, a canonical spatial recall task, and a position discrimination task. Model simulations demonstrate that the DFT can accomplish both specificity—generating novel, testable predictions—and generality—spanning multiple tasks across development with a relatively simple developmental hypothesis. Critically, the DFT achieves generality across tasks and time scales with no modification to its basic structure and with a strong commitment to neural principles. The only change necessary to capture development in the model was an increase in the precision of the tuning of receptive fields as well as an increase in the precision of local excitatory interactions among neurons in the model. These small quantitative changes were sufficient to move the model through a set of quantitative and qualitative behavioral changes that span the age range from 8 months to 6 years and into adulthood. We conclude by considering how the DFT is positioned in the literature, the challenges on the horizon for our framework, and how a dynamic field approach can yield new insights into development from a computational cognitive neuroscience perspective.

Local home bias: Theory and new empirical evidence from Italy

This thesis examines the literature on local home bias, i.e. investor preference towards geographically nearby stocks, and investigates the role of firm’s visibility, profitability, and opacity in explaining such behavior. While firm’s visibility is expected to proxy for the behavioral root originating such a preference, firm’s profitability and opacity are expected to capture the informational one. I find that less visible, and more profitable and opaque firms, conditionally to the demand, benefit from being headquartered in regions characterized by a scarcity of listed firms (local supply of stocks). Specifically, research estimates suggest that firms headquartered in regions with a poor supply of stocks would be worth i) 11 percent more if non-visible, non-profitable and non-opaque; ii) 16 percent more if profitable; and iii) 28 percent more if both profitable and opaque. Overall, as these features are able to explain most, albeit not all, of the local home bias effect, I reasonably argue and then assess that most of the preference for local is determined by a successful attempt to exploit local information advantage (60 percent), while the rest is determined by a mere (irrational) feeling of familiarity with the local firm (40 percent). Several and significant methodological, theoretical, and practical implications come out.

An interdisciplinary analysis of obesity: theory and empirical evidence

The dissertation is structured in three parts. The first part compares US and EU agricultural policies since the end of WWII. There is not enough evidence for claiming that agricultural support has a negative impact on obesity trends. I discuss the possibility of an exchange in best practices to fight obesity. There are relevant economic, societal and legal differences between the US and the EU. However, partnerships against obesity are welcomed. The second part presents a socio-ecological model of the determinants of obesity. I employ an interdisciplinary model because it captures the simultaneous influence of several variables. Obesity is an interaction of pre-birth, primary and secondary socialization factors. To test the significance of each factor, I use data from the National Longitudinal Survey of Adolescent Health. I compare the average body mass index across different populations. Differences in means are statistically significant. In the last part I use the National Survey of Children Health. I analyze the effect that family characteristics, built environment, cultural norms and individual factors have on the body mass index (BMI). I use Ordered Probit models and I calculate the marginal effects. I use State and ethnicity fixed effects to control for unobserved heterogeneity. I find that southern US States tend have on average a higher probability of being obese. On the ethnicity side, White Americans have a lower BMI respect to Black Americans, Hispanics and American Indians Native Islanders; being Asian is associated with a lower probability of being obese. In neighborhoods where trust level and safety perception are higher, children are less overweight and obese. Similar results are shown for higher level of parental income and education. Breastfeeding has a negative impact. Higher values of measures of behavioral disorders have a positive and significant impact on obesity, as predicted by the theory.

An examination of the Gonorrhea Cases & Places Study: An analysis of the Theory of Gender and Power, Situational/Environmental Variables Theory, and Sexual Script Theory as it relates to risky sexual behavior in African American adults

Objective. The purpose of the study is to provide a holistic depiction of behavioral & environmental factors contributing to risky sexual behaviors among predominantly high school educated, low-income African Americans residing in urban areas of Houston, TX utilizing the Theory of Gender and Power, Situational/Environmental Variables Theory, and Sexual Script Theory. Methods. A cross-sectional study was conducted via questionnaires among 215 Houston area residents, 149 were women and 66 were male. Measures used to assess behaviors of the population included a history of homelessness, use of crack/cocaine among several other illicit drugs, the type of sexual partner, age of participant, age of most recent sex partner, whether or not participants sought health care in the last 12 months, knowledge of partner's other sexual activities, symptoms of depression, and places where partner's were met. In an effort to determine risk of sexual encounters, a risk index employing the variables used to assess condom use was created categorizing sexual encounters as unsafe or safe. Results. Variables meeting the significance level of p<.15 for the bivariate analysis of each theory were entered into a binary logistic regression analysis. The block for each theory was significant, suggesting that the grouping assignments of each variable by theory were significantly associated with unsafe sexual behaviors. Within the regression analysis, variables such as sex for drugs/money, low income, and crack use demonstrated an effect size of ≥ ± 1, indicating that these variables had a significant effect on unsafe sexual behavioral practices. Conclusions. Variables assessing behavior and environment demonstrated a significant effect when categorized by relation to designated theories.

Behavioral and psychosocial factors associated with sexual risk in a population of crack cocaine users

The purpose of this dissertation was to examine the relationship between key psychosocial and behavioral components of the Transtheoretical Model and the Theory of Reasoned Action for sexual risk reduction in a population of crack cocaine smokers and sex workers, not in drug treatment. ^ The first study examined the results of an analysis of the association between two principal constructs in the Transtheoretical Model, the processes of change and the stages of change for condom use, in a high risk population. In the analysis of variance for all respondents, the overall F-test revealed that people in different stages have different levels of experiential process use, F(3,317) = 17.79, p = 0.0001 and different levels of behavioral process use, F(3,317) = 28.59, p = .0001. For the experiential processes, there was a significant difference between the precontemplation/contemplation stage, and both the action, and maintenance, stages.^ The second study explored the relationship between the Theory of Reasoned Action “beliefs” and the stages-of-change in the same population. In the analysis of variance for all participants, the results indicate that people in different stages did value the positive beliefs differently, F(3,502) = 15.38, p = .0001 but did not value the negative beliefs differently, F(3,502) = 2.08, p = .10. ^ The third study explored differences in stage-of-change by gender, partner type drug use, and HIV status. Three discriminant functions emerged, with a combined χ2(12) = 139.57, p = <.0001. The loading matrix of correlations between predictors and discriminant functions demonstrate that the strongest predictor for distinguishing between the precontemplation/contemplation stage and the preparation, action, and maintenance stages (first function) is partner type (.962). The loadings on the second discriminant function suggest that once partner type has been accounted for, ever having HIV/AIDS (.935) was the best predictor for distinguishing between the first three stages and the maintenance stage. ^ These studies demonstrate that behavioral change theories can contribute important insight to researchers and program planners attempting to alter HIV risk behavior in high-risk populations. ^