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.

PhD Students’ Research Group Networks: a Qualitative Approach

This article examines the networks within the research groups where Spanish PhD students are pursuing their doctorate. Capó et al. (2007) used quantitative data to predict PhD students’ publishing performance from their background, attitudes, supervisors’ performance and research group networks. Variables related to the research group network had a negligible explanatory power on student performance once the remaining variables had been accounted for. In this article, a qualitative follow up of the same students is carried out using extreme case sampling and indepth interviews. The qualitative research shows networking as important for students. Out of the 115 aspects that students mention in the interviews as relevant to publishing in the qualitative research, 92 have to do with their supervisors, their research group or their network as a whole. Similarly, out of the 50 hindrances mentioned, 20 have to do with the networks or relations. The most commonly mentioned network-related topics are research group members pushing PhD students to publish, meeting researchers outside the research group, existence of other PhD students in the group, help with the PhD from group members, supervisor’s interest in the thesis, the possibility of discussing with experts on the PhD’s topic and frequent contact with the supervisor and research group members. Some of these characteristics were not, however, measured in the conventional quantitative social network survey

À procura da identidade de Heinz : um modelo de compreensão da motivação moral

RESUMO: As teorias psicológicas da moralidade dividem-se na conceptualização da motivação moral, o tema desta dissertação. Os modelos construtivistas, apoiados na epistemologia genética, privilegiam a cognição como factor determinante mas, as teorias que enfatizam o funcionamento individual admitem que as emoções e a identidade interferem na tendência de cada pessoa agir moralmente. Particularmente apoiados na segunda perspectiva, testámos um modelo preditor da motivação moral com três variáveis, identidade, identidade moral e integridade, todas avaliadas por medidas psicométricas, em duas amostras. A primeira era composta por 320 estudantes do 12º ano de uma escola do concelho de Lisboa, com idades compreendidas entre 18 e 20 anos (M=18,22; Dp=0,49), 108 masculinos e 194 femininos e a segunda era composta por 174 sujeitos, estudantes finalistas de cursos profissionais de uma escola do concelho de Lisboa frequentada por alunos provenientes de ambientes sociais caracterizados pelo stresse sócio-económico e familiar, e até, em bastantes casos, que já tinham participado em actos ilegais relacionados com furto, vandalismo, tráfico de drogas, e agressões, com idades compreendidas entre 18 e 22 anos (M=18,98; Dp=1,075), 104 masculinos e 70 femininos. A primeira amostra foi considerada normativa e a segunda de risco psicossocial. Para avaliar a motivação moral foi construída uma medida que incluiu dois aspectos: a consciência moral, relativa à avaliação objectiva e subjectiva que os indivíduos fazem das situações morais que através de processos de análise de conteúdo foi distinguida em três categorias exclusivas: não transgressão, transgressão relativizada e transgressão; e a autoatribuição de emoções que indica a probabilidade objectiva dos indivíduos cometerem acções morais. Foi verificada a existência de diferenças individuais em ambas as medidas da motivação moral e, também, a existência de diferenças na atribuição de emoções em função da consciência moral: os sujeitos da categoria transgressão apresentaram atribuições mais negativas do que os sujeitos de transgressão relativizada e estes, por sua vez, apresentaram atribuições mais negativas que os sujeitos da categoria não transgressão. Estes resultados confirmam o papel da identidade na motivação moral. A análise da predição confirmou que a integridade, a identidade e a identidade moral, em ordem decrescente de capacidade explicativa, constituem factores preditores tanto da consciência moral como da auto-atribuição de emoções. ABSTRACT: Moral motivation, the subject of this thesis, is differently viewed by several psychological perspectives. Constructivist models supported by genetic epistemology define cognition as the determinant factor while theories that emphasize individual functioning admit that emotions and identity have a central role in the way that persons could morally act. Particularly supported in this second approach we tested a predictive model of moral motivation with three variables, identity, moral identity and integrity, all evaluated by psychometric scales, in two samples. The first sample had 320 graduate high school students with age between 18 and 20 (M=18,22; SD=0,49), 108 male and 194 female and the second sample had 174 graduate students of vocational courses in high school of a risk social and familiar environment, many of them had already done illegal acts such as stealing, vandalism, drug traffic and aggressions; they had ages between 18 and 22 (M=18,98; SD=1,08), 104 male and 70 female. The first sample was considered normative and the second one was classified as psychosocial risk. To evaluate moral motivation we developed a measure that assesses two aspects: moral conscience, who includes both objective and subjective evaluation of moral situations that was distinguished in three exclusive categories by procedures of content analysis: non-transgression, justifiable transgression and transgression; and self-attribution of emotion that indicates the likelihood of committing moral actions. We observed individual differences in both measurements of moral motivation and also verified differences in emotional attribution on the basis of moral conscience: the individuals of transgression category presented more negative attributions than those of justifiable transgression and in turn the latter presented more negative attributions than individuals of non-transgression category. These results confirm the role of identity in moral motivation. The predictor analysis confirmed integrity, identity and moral identity, in descending order of explanatory power, as predictive variables of moral consciousness and self-attribution of emotions.

Estimating technical efficiency of Australian dairy farms using alternative frontier methodologies

Technical efficiency is estimated and examined for a cross-section of Australian dairy farms using various frontier methodologies; Bayesian and Classical stochastic frontiers, and Data Envelopment Analysis. The results indicate technical inefficiency is present in the sample data. Also identified are statistical differences between the point estimates of technical efficiency generated by the various methodologies. However, the rank of farm level technical efficiency is statistically invariant to the estimation technique employed. Finally, when confidence/credible intervals of technical efficiency are compared significant overlap is found for many of the farms' intervals for all frontier methods employed. The results indicate that the choice of estimation methodology may matter, but the explanatory power of all frontier methods is significantly weaker when interval estimate of technical efficiency is examined.

Phyto-activity of biocides used to manipulate herbivory: tests of three pesticides on fourteen plant species

1. We tested three pesticides used for field manipulations of herbivory for direct phytoactive effects on the germination and growth of 14 herbaceous plant species selected to provide a range of life-history strategies and functional groups. 2. We report three companion experiments: (A) Two insecticides, chlorpyrifos (granular soil insecticide) and dimethoate (foliar spray), were applied in fully-factorial combination to pot-germinated individuals of 12 species. (B) The same fully-factorial design was used to test for direct effects on the germination of four herbaceous legumes. (C) The molluscicide, metaldehyde, was tested for direct effects on the germination and growth of six plant species. 3. The insecticides had few significant effects on growth and germination. Dimethoate acted only on growth stimulating Anisantha sterilis, Sonchus asper and Stellaria graminea. In contrast, chlorpyrifos acted on germination increasing the germination of Trifolium dubium and Trifolium pratense. There was also a significant interactive effect of chlorpyrifos and dimethoate on the germination of T pratense. However, all. effects were relatively small in magnitude and explanatory power. The molluscicide had no significant effect on plant germination or growth. 4. The small number and size of direct effects of the pesticides on plant performance is encouraging for the use of these pesticides in manipulative experiments on herbivory, especially for the molluscicide. However, a smatt number of direct (positive) effects of the insecticides on some plant species need to be taken into account when interpreting field manipulations of herbivory with these compounds, and emphasises the importance of conducting tests for direct phyto-active effects. (C) 2004 Elsevier GmbH. All rights reserved.

Host niches and defensive extended phenotypes structure parasitoid wasp communities

Oak galls are spectacular extended phenotypes of gallwasp genes in host oak tissues and have evolved complex morphologies that serve, in part, to exclude parasitoid natural enemies. Parasitoids and their insect herbivore hosts have coevolved to produce diverse communities comprising about a third of all animal species. The factors structuring these communities, however, remain poorly understood. An emerging theme in community ecology is the need to consider the effects of host traits, shaped by both natural selection and phylogenetic history, on associated communities of natural enemies. Here we examine the impact of host traits and phylogenetic relatedness on 48 ecologically closed and species-rich communities of parasitoids attacking gall-inducing wasps on oaks. Gallwasps induce the development of spectacular and structurally complex galls whose species- and generation-specific morphologies are the extended phenotypes of gallwasp genes. All the associated natural enemies attack their concealed hosts through gall tissues, and several structural gall traits have been shown to enhance defence against parasitoid attack. Here we explore the significance of these and other host traits in predicting variation in parasitoid community structure across gallwasp species. In particular, we test the "Enemy Hypothesis,'' which predicts that galls with similar morphology will exclude similar sets of parasitoids and therefore have similar parasitoid communities. Having controlled for phylogenetic patterning in host traits and communities, we found significant correlations between parasitoid community structure and several gall structural traits (toughness, hairiness, stickiness), supporting the Enemy Hypothesis. Parasitoid community structure was also consistently predicted by components of the hosts' spatiotemporal niche, particularly host oak taxonomy and gall location (e.g., leaf versus bud versus seed). The combined explanatory power of structural and spatiotemporal traits on community structure can be high, reaching 62% in one analysis. The observed patterns derive mainly from partial niche specialisation of highly generalist parasitoids with broad host ranges (>20 hosts), rather than strict separation of enemies with narrower host ranges, and so may contribute to maintenance of the richness of generalist parasitoids in gallwasp communities. Though evolutionary escape from parasitoids might most effectively be achieved via changes in host oak taxon, extreme conservatism in this trait for gallwasps suggests that selection is more likely to have acted on gall morphology and location. Any escape from parasitoids associated with evolutionary shifts in these traits has probably only been transient, however, due to subsequent recruitment of parasitoid species already attacking other host galls with similar trait combinations.

Phylogeny and metabolic scaling in mammals

The scaling of metabolic rates to body size is widely considered to be of great biological and ecological importance, and much attention has been devoted to determining its theoretical and empirical value. Most debate centers on whether the underlying power law describing metabolic rates is 2/3 (as predicted by scaling of surface area/volume relationships) or 3/4 ("Kleiber's law"). Although recent evidence suggests that empirically derived exponents vary among clades with radically different metabolic strategies, such as ectotherms and endotherms, models, such as the metabolic theory of ecology, depend on the assumption that there is at least a predominant, if not universal, metabolic scaling exponent. Most analyses claimed to support the predictions of general models, however, failed to control for phylogeny. We used phylogenetic generalized least-squares models to estimate allometric slopes for both basal metabolic rate (BMR) and field metabolic rate (FMR) in mammals. Metabolic rate scaling conformed to no single theoretical prediction, but varied significantly among phylogenetic lineages. In some lineages we found a 3/4 exponent, in others a 2/3 exponent, and in yet others exponents differed significantly from both theoretical values. Analysis of the phylogenetic signal in the data indicated that the assumptions of neither species-level analysis nor independent contrasts were met. Analyses that assumed no phylogenetic signal in the data (species-level analysis) or a strong phylogenetic signal (independent contrasts), therefore, returned estimates of allometric slopes that were erroneous in 30% and 50% of cases, respectively. Hence, quantitative estimation of the phylogenetic signal is essential for determining scaling exponents. The lack of evidence for a predominant scaling exponent in these analyses suggests that general models of metabolic scaling, and macro-ecological theories that depend on them, have little explanatory power.

Monetary integration and real estate markets: an investigation of the impact of the introduction of a single currency on real estate performance

This paper assesses the impact of the monetary integration on different types of stock returns in Europe. In order to isolate European factors, the impact of global equity integration and small cap factors are investigated. European countries are sub-divided according to the process of monetary convergence. Analysis shows that national equity indices are strongly influenced by global market movements, with a European stock factor providing additional explanatory power. The global and European factors explain small cap and real estate stocks much less well –suggesting an increased importance of ‘local’ drivers. For real estate, there are notable differences between core and non-core countries. Core European countries exhibit convergence – a convergence to a European rather than a global factor. The non-core countries do not seem to exhibit common trends or movements. For the non-core countries, monetary integration has been associated with increased dispersion of returns, lower correlation and lower explanatory power of a European factor. It is concluded that this may be explained by divergence in underlying macro-economic drivers between core and non-core countries in the post-Euro period.

Continental shift? An analysis of convergence trends in European real estate equities

European economic and political integration have been recognised as having implications for patterns of performance in national real estate and capital markets and have generated a wide body of research and commentary. In 1999, progress towards monetary integration within the European Union culminated in the introduction of a common currency and monetary policy. This paper investigates the effects of this ‘event’ on the behaviour of stock returns in European real estate companies. A range of statistical tests is applied to the performance of European property companies to test for changes in segmentation, co-movement and causality. The results suggest that, relative to the wider equity markets, the dispersion of performance is higher, correlations are lower, a common contemporaneous factor has much lower explanatory power whilst lead-lag relationships are stronger. Consequently, the evidence of transmission of monetary integration to real estate securities is less noticeable than to general securities. Less and slower integration is attributed to the relatively small size of the real estate securities market and the local and national nature of the majority of the companies’ portfolios.

Style analysis in real estate markets: beyond the sectors and regions dichotomy

While style analysis has been studied extensively in equity markets, applications of this valuable tool for measuring and benchmarking performance and risk in a real estate context are still relatively new. Most previous real estate studies on this topic have identified three investment categories (rather than styles): sectors, administrative regions and economic regions. However, the low explanatory power reveals the need to extend this analysis to other investment styles. We identify four main real estate investment styles and apply a multivariate model to randomly generated portfolios to test the significance of each style in explaining portfolio returns. Results show that significant alpha performance is significantly reduced when we account for the new investment styles, with small vs. big properties being the dominant one. Secondly, we find that the probability of obtaining alpha performance is dependent upon the actual exposure of funds to style factors. Finally we obtain that both alpha and systematic risk levels are linked to the actual characteristics of portfolios. Our overall results suggest that it would be beneficial for real estate fund managers to use these style factors to set benchmarks and to analyze portfolio returns.

What determines the out-of-home placement of children in the USA?

Using NCANDS data of US child maltreatment reports for 2009, logistic regression, probit analysis, discriminant analysis and an artificial neural network are used to determine the factors which explain the decision to place a child in out-of-home care. As well as developing a new model for 2009, a previous study using 2005 data is replicated. While there are many small differences, the four estimation techniques give broadly the same results, demonstrating the robustness of the results. Similarly, apart from age and sexual abuse, the 2005 and 2009 results are roughly similar. For 2009, child characteristics (particularly child emotional problems) are more important than the nature of the abuse and the situation of the household; while caregiver characteristics are the least important. All these models have low explanatory power.

Are gay rights Islamophobic? A critique of some uses of the concept of homonationalism in activism and academia

The concept of ‘homonationalism’ refers to deployments of gay rights for racist and Islamophobic ends, resulting in the consolidation of more sexually inclusive, but racially exclusionary, ideas of citizenship. This article critiques some of the analyses that the concept has inspired in both activist and academic contexts. The critique concentrates on two texts, showing that they make inappropriate rhetorical moves and inaccurate or unsubstantiated claims, and that rather than unearthing structural undercurrents of racism from certain texts or events, they project such structures onto them. While the validity of ‘homonationalism’ as an analytical category is not disputed, some of its propounders assume its explanatory power to be greater than it appears to be. The implications of this critique for gay rights activism and reform are explored.

Forecasting real estate returns using financial spreads

This paper examines the predictability of real estate asset returns using a number of time series techniques. A vector autoregressive model, which incorporates financial spreads, is able to improve upon the out of sample forecasting performance of univariate time series models at a short forecasting horizon. However, as the forecasting horizon increases, the explanatory power of such models is reduced, so that returns on real estate assets are best forecast using the long term mean of the series. In the case of indirect property returns, such short-term forecasts can be turned into a trading rule that can generate excess returns over a buy-and-hold strategy gross of transactions costs, although none of the trading rules developed could cover the associated transactions costs. It is therefore concluded that such forecastability is entirely consistent with stock market efficiency.

Progress report on longitudinal and cross-sectional study of carbon disclosure strategies: evidence from UK listed companies

Global warming has attracted attention from all over the world and led to the concern about carbon emission. Kyoto Protocol, as the first major international regulatory emission trading scheme, was introduced in 1997 and outlined the strategies for reducing carbon emission (Ratnatunga et al., 2011). As the increased interest in carbon reduction the Protocol came into force in 2005, currently there are already 191 nations ratifying the Protocol(UNFCCC, 2012). Under the cap-and-trade schemes, each company has its carbon emission target. When company’s carbon emission exceeds the target the company will either face fines or buy emission allowance from other companies. Thus unlike most of the other social and environmental issues carbon emission could trigger cost for companies in introducing low-emission equipment and systems and also emission allowance cost when they emit more than their targets. Despite the importance of carbon emission to companies, carbon emission reporting is still operating under unregulated environment and companies are only required to disclose when it is material either in value or in substances (Miller, 2005, Deegan and Rankin, 1997). Even though there is still an increase in the volume of carbon emission disclosures in company’s financial reports and stand-alone social and environmental reports to show their concern of the environment and also their social responsibility (Peters and Romi, 2009), the motivations behind corporate carbon emission disclosures and whether carbon disclosures have impact on corporate environmental reputation and financial performance have not yet to explore. The problems with carbon emission lie on both the financial side and non-financial side of corporate governance. On one hand corporate needs to spend money in reducing carbon emission or paying penalties when they emit more than allowed. On the other hand as the public are more interested in environmental issues than before carbon emission could also impact on the image of corporate regarding to its environmental performance. The importance of carbon emission issue are beginning to be recognized by companies from different industries as one of the critical issues in supply chain management (Lee, 2011) and 80% of companies analysed are facing carbon risks resulting from emissions in the companies’ supply chain as shown in a study conducted by the Investor Responsibility Research Centre Institute for Corporate Responsibility (IRRCI) and over 80% of the companies analysed found that the majority of greenhouse gas (GHG) emission are from electricity and other direct suppliers (Trucost, 2009). The review of extant literature shows the increased importance of carbon emission issues and the gap in the study of carbon reporting and disclosures and also the study which links corporate environmental reputation and corporate financial performance with carbon reporting (Lohmann, 2009a, Ratnatunga and Balachandran, 2009, Bebbington and Larrinaga-Gonzalez, 2008). This study would focus on investigating the current status of UK carbon emission disclosures, the determinant factors of corporate carbon disclosure, and the relationship between carbon emission disclosures and corporate environmental reputation and financial performance of UK listed companies from 2004-2012 and explore the explanatory power of classical disclosure theories.

Do Cognitive Models of Obsessive Compulsive Disorder Apply to Children and Adolescents?

Cognitive models of obsessive compulsive disorder (OCD) have been influential in understanding and treating the disorder in adults. Cognitive models may also be applicable to children and adolescents and would have important implications for treatment. The aim of this systematic review was to evaluate research that examined the applicability of the cognitive model of OCD to children and adolescents. Inclusion criteria were set broadly but most studies identified included data regarding responsibility appraisals, thought-action fusion or meta-cognitive models of OCD in children or adolescents. Eleven studies were identified in a systematic literature search. Seven studies were with non clinical samples, and 10 studies were cross-sectional. Only one study did not support cognitive models of OCD in children and adolescents and this was with a clinical sample and was the only experimental study. Overall, the results strongly supported the applicability of cognitive models of OCD to children and young people. There were, however, clear gaps in the literature. Future research should include experimental studies, clinical groups, and should test which of the different models provide more explanatory power.