Together Everyone Achieves More? Herding Behavior in the Finnish Stock Market

This thesis examines whether or not Finnish stock markets has herding behavior. Sample data is from 2004 to 2013. Including total of 2516 market days. Market wide herding, up and down market herding, extreme price movement herding and turnover volume herding are measured in this thesis. Methods used in this thesis are cross-sectional absolute dispersion and cross-sectional standard deviation. This thesis found no signs of herding in the Finnish stock market.

Real estate mutual funds: herding, momentum-trading and performance

This study jointly examines herding, momentum trading and performance in real estate mutual funds (REMFs). We do this using trading and performance data for 159 REMFs across the period 1998–2008. In support of the view that Real Estate Investment Trust (REIT) stocks are relatively more transparent, we find that stock herding by REMFs is lower in REIT stocks than other stock. Herding behavior in our data reveals a tendency for managers to sell winners, reflective of the “disposition effect.” We find low overall levels of REMF momentum trading, but further evidence of the disposition effect when momentum trading is segregated into buy–sell dimensions. We test the robustness of our analysis using style analysis, and by reference to the level of fund dividend distribution. Our results for this are consistent with our conjecture about the role of transparency in herding, but they provide no new insights in relation to the momentum-trading dimensions of our analysis. Summarizing what are complex interrelationships, we find that neither herding nor momentum trading are demonstrably superior investment strategies for REMFs.

House price dynamics and bank herding: European empirical evidence

This paper investigates the behavior of residential property and examines the linkages between house price dynamics and bank herding behavior. The analysis presents evidence that irrational behaviour may have played a significant role in several countries, including; United Kingdom, Spain, Denmark, Sweden and Ireland. In addition, we also provide evidence indicative of herding behaviour in the European residential mortgage loan market. Granger Causality tests indicate that non-fundamentally justified prices dynamics contributed to herding by lenders and that this behaviour was a response by the banks as a group to common information on residential property assets. In contrast, in Germany, Portugal and Austria, residential property prices were largely explained by fundamentals. Furthermore, these countries show no evidence of either irrational price bubbles or herd behaviour in the mortgage market. Granger Causality tests indicate that both variables are independent.

Fluxos de capitais, fragilidade externa e regimes cambiais: uma revisão teórica

Capital Flows, External Fragility and Currency Regimes: A Theoretical Review. The major integration and deregulation of the international financial markets increased the degree of interdependence and risk of incompatibility between the financial and monetary policy adopted by different countries. The consequences of these facts are the financial instability and the currency crisis. In this article we develop arguments advocating that independent of the currency regime adopted the national policy makers should take into account, between other factors, the major capital mobility and the integrations of markets. One of the corollaries of our analyses is that countries should pursue policies that reduces the degree of short-term capital volatile by the adoption of capital controls or though measures of prudential supervision.

O efeito manada nos fundos de investimento no Brasil: um teste em finanças comportamentais

Utilizando-se de uma amostra de movimentações diárias de fundos de investimento em ações, multimercados e renda fixa no Brasil, por meio de uma metodologia baseada na direção das captações líquidas de um grande número de fundos de investimento, agregados em grupos de investidores de acordo com o porte médio de seu investimento (ricos e pobres), foi encontrada forte evidência da ocorrência de efeito manada de forma heterogênea entre diferentes grupos de investidores, sendo que a intensidade do efeito manada varia de acordo com o porte do investidor, tipo de fundo e com a época. Também foi testado um viés de heurística: a ancoragem de preço, que supõe que após uma nova máxima ou mínima histórica nos preços das ações, haverá uma movimentação anormal de investidores, que acreditam ser este evento um indicador sobre os preços futuros. Encontrou-se evidência de que este fenômeno ocorre em diferentes tipos de fundos de investimento, não apenas os fundos de investimento em ações, e que tem maior impacto quando há uma nova mínima do que quando há uma cotação recorde no índice Ibovespa. Entretanto, o poder de explicação deste viés sobre o efeito manada é pequeno, e há uma série de variáveis ainda não exploradas que têm maior poder de explicação sobre o efeito manada. Desta maneira, este estudo encontrou evidências de que os pressupostos de finanças comportamentais de que a informação e as expectativas dos investidores não são homogêneas, e que os investidores são influenciáveis pelas decisões de outros investidores, estão corretos, mas que há fraca evidência que o viés de heurística de ancoragem de preço tenha papel relevante no comportamento dos investidores.

Evidência do efeito manada em fundos de renda variável na indústria de fundos brasileira

Este trabalho tem por objetivo identificar e quantificar o comportamento de manada (herd behavior) nos fundos de ações ativos do mercado financeiro brasileiro, valendo- se da medida LSV, proposta por Lakonishok et al (1992). Para tanto, analisamos a composição das carteiras de 642 fundos de ação, de 214 gestores diferentes, de setembro de 2007 até outubro de 2013. Em linha com a literatura relevante, há fortes evidências da ocorrência de efeito manada de forma heterogênea na amostra analisada. Encontramos indícios de que a intensidade do efeito manada varia de acordo com o tamanho do fundo e a capitalização da ação negociada.

The Law and Economics of Hedge Fund Regulation: A Comparison between the U.S. and the EU

This doctoral dissertation seeks to assess and address the potential contribution of the hedge fund industry to financial instability. In so doing, the dissertation investigates three main questions. What are the contributions of hedge funds to financial instability? What is the optimal regulatory strategy to address the potential contribution of hedge funds to financial instability? And do new regulations in the U.S. and the EU address the contribution of hedge funds to financial instability? With respect to financial stability concerns, it is argued that despite their benefits, hedge funds can contribute to financial instability. Hedge funds’ size and leverage, their interconnectedness with Large Complex Financial Institutions (LCFIs), and the likelihood of herding behavior in the industry can potentially undermine financial stability. Nonetheless, the data on hedge funds’ size and leverage suggest that these features are far from being systemically important. In contrast, the empirical evidence on the interconnectedness of hedge funds with LCFIs and their herding behavior is mixed. Based on these findings, the thesis focuses on one particular aspect of hedge fund regulation: direct vs. indirect regulation. In this respect, a major contribution of the thesis to the literature consists in the explicit discussion of the relationships between hedge funds and other market participants. Specifically, the thesis locates the domain of the indirect regulation in the inter-linkages between hedge funds and prime brokers. Accordingly, the thesis argues that the indirect regulation is likely to address the contribution of hedge funds to systemic risk without compromising their benefits to financial markets. The thesis further conducts a comparative study of the regulatory responses to the potential contribution of hedge funds to financial instability through studying the EU Directive on Alternative Investment Fund Managers (AIFMD) and the hedge fund-related provisions of the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010.

Essays on credit rating agencies and the assessment of sovereign risk

Sovereign ratings have only recently regained attention in the academic debate. This seems to be somewhat surprising against the background that their influence is well-known and that rating decisions have often been criticized in the past (as for example during the Asian crisis in the 90s). Sovereign ratings do not only assess the creditworthiness of governments: They are also included in the calculation of ratings for sub-sovereign issuers whereby their rating is usually restricted to the upper bound of the sovereign rating (sovereign ceiling). Earlier studies have also shown that the downgrade of a sovereign often leads to contagion effects on neighbor countries. This study focuses first on misleading incentives in the rating industry before chapter three summarizes the literature on the influence and determinants of sovereign ratings. The fourth chapter explores empirically how ratings respond to changes in sovereign debt across specific country groups. The fifth part focuses on single rating decisions of four selected rating agencies and investigates whether the timing of decisions gives reason for herding behavior. The final chapter presents a reform proposal for the future regulation of the rating industry in light of the aforementioned flaws.rn

Discovery Of A Rare Pterosaur Bone Bed In A Cretaceous Desert With Insights On Ontogeny And Behavior Of Flying Reptiles.

A pterosaur bone bed with at least 47 individuals (wing spans: 0.65-2.35 m) of a new species is reported from southern Brazil from an interdunal lake deposit of a Cretaceous desert, shedding new light on several biological aspects of those flying reptiles. The material represents a new pterosaur, Caiuajara dobruskii gen. et sp. nov., that is the southermost occurrence of the edentulous clade Tapejaridae (Tapejarinae, Pterodactyloidea) recovered so far. Caiuajara dobruskii differs from all other members of this clade in several cranial features, including the presence of a ventral sagittal bony expansion projected inside the nasoantorbital fenestra, which is formed by the premaxillae; and features of the lower jaw, like a marked rounded depression in the occlusal concavity of the dentary. Ontogenetic variation of Caiuajara dobruskii is mainly reflected in the size and inclination of the premaxillary crest, changing from small and inclined (∼ 115°) in juveniles to large and steep (∼ 90°) in adults. No particular ontogenetic features are observed in postcranial elements. The available information suggests that this species was gregarious, living in colonies, and most likely precocial, being able to fly at a very young age, which might have been a general trend for at least derived pterosaurs.

Bile And Liver Metallothionein Behavior In Copper-exposed Fish.

The present study analyzed metallothionein (MT) excretion from liver to bile in Nile Tilapia (Oreochromis niloticus) exposed to sub-lethal copper concentrations (2mgL(-1)) in a laboratory setting. MTs in liver and bile were quantified by spectrophotometry after thermal incubation and MT metal-binding profiles were characterized by size exclusion high performance liquid chromatography coupled to ICP-MS (SEC-HPLC-ICP-MS). Results show that liver MT is present in approximately 250-fold higher concentrations than bile MT in non-exposed fish. Differences between the MT profiles from the control and exposed group were observed for both matrices, indicating differential metal-binding behavior when comparing liver and bile MT. This is novel data regarding intra-organ MT comparisons, since differences between organs are usually present only with regard to quantification, not metal-binding behavior. Bile MT showed statistically significant differences between the control and exposed group, while the same did not occur with liver MT. This indicates that MTs synthesized in the liver accumulate more slowly than MTs excreted from liver to bile, since the same fish presented significantly higher MT levels in liver when compared to bile. We postulate that bile, although excreted in the intestine and partially reabsorbed by the same returning to the liver, may also release MT-bound metals more rapidly and efficiently, which may indicate an efficient detoxification route. Thus, we propose that the analysis of bile MTs to observe recent metal exposure may be more adequate than the analysis of liver MTs, since organism responses to metals are more quickly observed in bile, although further studies are necessary.

[the Perception Of Behavior Related To Mindfulness And The Brazilian Version Of The Freiburg Mindfulness Inventory].

Mindfulness is a practice and a form of consciousness which has been the basis for innovative interventions in care and health promotion. This study presents mindfulness, describes and discusses the process of cultural adaptation of The Freiburg Mindfulness Inventory (FMI) to Brazilian Portuguese. From the original version of this pioneering instrument for assessing mindfulness two translations and two back-translations were made. These were evaluated by a committee of 14 experts (Buddhists, linguists, health professionals), who helped to create two versions for the first pre-test, based on which suggestions were made by a sample of 41 people of the population through interviews. Considering the difficulties in understanding the concepts that are unfamiliar to the Brazilian culture, a new version was prepared with additional explanations, which underwent a further evaluation of the experts and a second pre-test with 72 people. This process aimed at addressing the limitations and challenges of evaluating mindfulness in a country of western culture through a self-report instrument based on Buddhist psychology. With appropriate levels of clarity and equivalence with the original instrument, the Freiburg Mindfulness Inventory adapted for Brazil is presented.

Beliefs Related To Adherence To Oral Antidiabetic Treatment According To The Theory Of Planned Behavior.

to identify salient behavioral, normative, control and self-efficacy beliefs related to the behavior of adherence to oral antidiabetic agents, using the Theory of Planned Behavior. cross-sectional, exploratory study with 17 diabetic patients in chronic use of oral antidiabetic medication and in outpatient follow-up. Individual interviews were recorded, transcribed and content-analyzed using pre-established categories. behavioral beliefs concerning advantages and disadvantages of adhering to medication emerged, such as the possibility of avoiding complications from diabetes, preventing or delaying the use of insulin, and a perception of side effects. The children of patients and physicians are seen as important social references who influence medication adherence. The factors that facilitate adherence include access to free-of-cost medication and taking medications associated with temporal markers. On the other hand, a complex therapeutic regimen was considered a factor that hinders adherence. Understanding how to use medication and forgetfulness impact the perception of patients regarding their ability to adhere to oral antidiabetic agents. medication adherence is a complex behavior permeated by behavioral, normative, control and self-efficacy beliefs that should be taken into account when assessing determinants of behavior.

Changes In Motor Behavior During Pregnancy In Rats: The Basis For A Possible Animal Model Of Restless Legs Syndrome.

Pregnant women have a 2-3 fold higher probability of developing restless legs syndrome (RLS - sleep-related movement disorders) than general population. This study aims to evaluate the behavior and locomotion of rats during pregnancy in order to verify if part of these animals exhibit some RLS-like features. We used 14 female 80-day-old Wistar rats that weighed between 200 and 250 g. The rats were distributed into control (CTRL) and pregnant (PN) groups. After a baseline evaluation of their behavior and locomotor activity in an open-field environment, the PN group was inducted into pregnancy, and their behavior and locomotor activity were evaluated on days 3, 10 and 19 of pregnancy and in the post-lactation period in parallel with the CTRL group. The serum iron and transferrin levels in the CTRL and PN groups were analyzed in blood collected after euthanasia by decapitation. There were no significant differences in the total ambulation, grooming events, fecal boli or urine pools between the CTRL and PN groups. However, the PN group exhibited fewer rearing events, increased grooming time and reduced immobilization time than the CTRL group (ANOVA, p<0.05). These results suggest that pregnant rats show behavioral and locomotor alterations similar to those observed in animal models of RLS, demonstrating to be a possible animal model of this sleep disorder.

Behavior Of Listeria Monocytogenes In A Multi-species Biofilm With Enterococcus Faecalis And Enterococcus Faecium And Control Through Sanitation Procedures.

The formation of mono-species biofilm (Listeria monocytogenes) and multi-species biofilms (Enterococcus faecium, Enterococcus faecalis, and L. monocytogenes) was evaluated. In addition, the effectiveness of sanitation procedures for the control of the multi-species biofilm also was evaluated. The biofilms were grown on stainless steel coupons at various incubation temperatures (7, 25 and 39°C) and contact times (0, 1, 2, 4, 6 and 8days). In all tests, at 7°C, the microbial counts were below 0.4 log CFU/cm(2) and not characteristic of biofilms. In mono-species biofilm, the counts of L. monocytogenes after 8days of contact were 4.1 and 2.8 log CFU/cm(2) at 25 and 39°C, respectively. In the multi-species biofilms, Enterococcus spp. were present at counts of 8 log CFU/cm(2) at 25 and 39°C after 8days of contact. However, the L. monocytogenes in multi-species biofilms was significantly affected by the presence of Enterococcus spp. and by temperature. At 25°C, the growth of L. monocytogenes biofilms was favored in multi-species cultures, with counts above 6 log CFU/cm(2) after 8days of contact. In contrast, at 39°C, a negative effect was observed for L. monocytogenes biofilm growth in mixed cultures, with a significant reduction in counts over time and values below 0.4 log CFU/cm(2) starting at day 4. Anionic tensioactive cleaning complemented with another procedure (acid cleaning, disinfection or acid cleaning+disinfection) eliminated the multi-species biofilms under all conditions tested (counts of all micro-organisms<0.4 log CFU/cm(2)). Peracetic acid was the most effective disinfectant, eliminating the multi-species biofilms under all tested conditions (counts of the all microorganisms <0.4 log CFU/cm(2)). In contrast, biguanide was the least effective disinfectant, failing to eliminate biofilms under all the test conditions.

Biofilm And Saliva Affect The Biomechanical Behavior Of Dental Implants.

Friction coefficient (FC) was quantified between titanium-titanium (Ti-Ti) and titanium-zirconia (Ti-Zr), materials commonly used as abutment and implants, in the presence of a multispecies biofilm (Bf) or salivary pellicle (Pel). Furthermore, FC was used as a parameter to evaluate the biomechanical behavior of a single implant-supported restoration. Interface between Ti-Ti and Ti-Zr without Pel or Bf was used as control (Ctrl). FC was recorded using tribometer and analyzed by two-way Anova and Tukey test (p<0.05). Data were transposed to a finite element model of a dental implant-supported restoration. Models were obtained varying abutment material (Ti and Zr) and FCs recorded (Bf, Pel, and Ctrl). Maximum and shear stress were calculated for bone and equivalent von Misses for prosthetic components. Data were analyzed using two-way ANOVA (p<0.05) and percentage of contribution for each condition (material and FC) was calculated. FC significant differences were observed between Ti-Ti and Ti-Zr for Ctrl and Bf groups, with lower values for Ti-Zr (p<0.05). Within each material group, Ti-Ti differed between all treatments (p<0.05) and for Ti-Zr, only Pel showed higher values compared with Ctrl and Bf (p<0.05). FC contributed to 89.83% (p<0.05) of the stress in the screw, decreasing the stress when the FC was lower. FC resulted in an increase of 59.78% of maximum stress in cortical bone (p=0.05). It can be concluded that the shift of the FC due to the presence of Pel or Bf is able to jeopardize the biomechanical behavior of a single implant-supported restoration.