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The analysis of selected behavioral biases in the context of the stock market
Havlíček, David ; Musílek, Petr (advisor) ; Daňhel, Jaroslav (referee) ; Budinský, Petr (referee)
The thesis focuses on the partial synthesis of investment strategies based on the theory of efficient markets and behavioral finance. Model of investment behavior consists of three parts - the Markowitz model of portfolio approach , De Bondt - Thaler model of re-building portfolio by capital gains in past and a model of short-term behavioral biases. Parameters of behavioral biases are determined arbitrarily and calibrated using correlation analysis for stock index DJIA and the particular stock title. The assembled model of short-term behavioral biases can explain only about 1 percent of changes in market prices of assets and regression analysis doesn't confirmed their statistical significance. Better results were found in a particular stock title than the stock index. The model of investment behavior has shown that without taking into account transaction costs Markowitz model was the most successful, but taking into account the costs De Bondt - Thaler model was more successful. The model of behavioral biases couldn't even overcome market benchmark, but in terms of risk the model was the least risky. The overall model of investment behavior also suggested the possibility of prediction of financial crisis, which could also be a space for further research in this area. The synthesis would also be appropriate to explore also by other methods such as simulation or real survey.
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Chování účastníků finančního trhu v anomálních situacích
Hajduček, Tomáš
Thesis deal with recognition rationality behavior participant's money - market in anomalous situations, then in situations at rise capital bubbles in the marketplace plus their disruption. For needs of this work is bubble identified like situation, in which price is deflected by expressive way from its fundamentalism. With the help of analysises buy/sell direction - order on choice markets is surveyed, whether submitters hints act conformable with capital theory (which claims, that the inves-tors cheaply buy and dearly sell), or in their decision making dominate emotive factors. Part of work is also delimitation pertinent negative influences, leading to the surd decision making. Experimental volume of work is built on answered three experimental questions, solving rationality behaviour investors plus inquest, whether ourselves investors administer to rise bubbles. Purpose those work is inquire into region behavioral revenue office that were to be till now surveyed above all by the help of qualitative research, about numericaly scriptural quantitative research.
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Economic and Psychological Aspects of a Consumer's Behaviour and Decision-Making
Kašová, Jana ; Votava, Libor (advisor) ; Hes, Patrik (referee)
The dissertation called Economic and Psychological Aspects of a Consumer's Behaviour and Decision-Making is dedicated to a consumer's behaviour and decision-making in economic and financial issues from the perspective of classic economy, psychology and behavioural economy. The theoretical part describes the expected utility theory and psychological findings on one hand, and presents the so called Prospect Theory and systematic biases on the other hand. The practical part comprises a research. Mission of the questionnaire survey is to find out whether behaviour and decision-making are rational and correspond with the classic economy theory or whether consumers behave irrationally and verify presumptions of behavioural economy.
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Behavioral finance - implications for investors
Stupavský, Michal ; Musílek, Petr (advisor) ; Havlíček, David (referee)
Degree thesis deals with behavioral finance with a focus on behavior and psychology of an individual investor. The first part is devoted to the prospect theory that is a descriptive model of behavior of economic agents under the conditions of uncertainty and stands in a stark contrast with the traditional normative expected utility theory. The second part is devoted to the group of behavioral biases that are distortions of human thinking and judgment documented by cognitive psychology. These biases are difficult to eliminate and lead to a biased perception, inaccurate judgments and illogical interpretations. The third and final part is devoted to a questionnaire survey whose goal was to find out whether financial market participants behave according to the axioms of the expected utility theory or whether they systemically deviate from the axioms of this normative theory. The second goal of the survey was to confirm or disprove inferences of academic studies about existence of behavioral biases.
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