Testing the efficient market hypothesis using financially illiterate investors

Detalhes bibliográficos
Autor(a) principal: Coelho, Tomaz Hamdan Melo
Data de Publicação: 2021
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: https://hdl.handle.net/10438/31066
Resumo: Nosso trabalho propõe um teste para a hipótese de mercados eficientes. Propomos um teste simples: colocamos investidores individuais que não sabem nada sobre finanças para negociar no mercado de ações e os comparamos com o resto dos investidores individuais. De acordo com a HME, o desempenho desses investidores antes dos custos de transação e ponderados pelo risco não deve ser diferente. Utilizamos a compra de produtos estruturados comercializados no Brasil que proporcionavam retornos abaixo do ativo livre de risco para classificar os investidores como analfabetos financeiros. Esses investidores possuem um desempenho pior de suas compras. Parte deste resultado ´e explicado por vieses comportamentais.
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spelling Coelho, Tomaz Hamdan MeloEscolas::EESPBueno, Rodrigo de Losso da SilveiraGiovannetti, Bruno CaraChague, Fernando Daniel2021-09-09T21:52:49Z2021-09-09T21:52:49Z2021-08-03https://hdl.handle.net/10438/31066Nosso trabalho propõe um teste para a hipótese de mercados eficientes. Propomos um teste simples: colocamos investidores individuais que não sabem nada sobre finanças para negociar no mercado de ações e os comparamos com o resto dos investidores individuais. De acordo com a HME, o desempenho desses investidores antes dos custos de transação e ponderados pelo risco não deve ser diferente. Utilizamos a compra de produtos estruturados comercializados no Brasil que proporcionavam retornos abaixo do ativo livre de risco para classificar os investidores como analfabetos financeiros. Esses investidores possuem um desempenho pior de suas compras. Parte deste resultado ´e explicado por vieses comportamentais.Our paper proposes a test for the efficient markets hypothesis. We propose a simple test: we put individual investors who know nothing about finance to trade in the stock market and compare them to the rest of the individual investors. According to EMH the performance of these investors before transaction costs and weighted by risk should not be different. We used the purchase of structured products marketed in Brazil that provided returns below the risk-free asset to classify investors as financially illiterate. Financially illiterate investors show a worse performance of their purchases. Part of this result is explained by behavioral biases.engEfficient market hypothesisInvestment decisionsBehavioral financeHipótese do mercado eficienteDecisões de InvestimentoFinanças comportamentaisEconomiaTeoria do mercado eficienteInvestimentos - AnáliseProcesso decisórioInvestidores (Finanças) - CondutaTesting the efficient market hypothesis using financially illiterate investorsinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINALTomaz_Dissertacao_VF.pdfTomaz_Dissertacao_VF.pdfPDFapplication/pdf1010363https://repositorio.fgv.br/bitstreams/73e9960c-f7bc-4be7-90df-ed4fbf85396a/download51e477f408d5dd2e0af05ef0615338d8MD53LICENSElicense.txtlicense.txttext/plain; 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dc.title.eng.fl_str_mv Testing the efficient market hypothesis using financially illiterate investors
title Testing the efficient market hypothesis using financially illiterate investors
spellingShingle Testing the efficient market hypothesis using financially illiterate investors
Coelho, Tomaz Hamdan Melo
Efficient market hypothesis
Investment decisions
Behavioral finance
Hipótese do mercado eficiente
Decisões de Investimento
Finanças comportamentais
Economia
Teoria do mercado eficiente
Investimentos - Análise
Processo decisório
Investidores (Finanças) - Conduta
title_short Testing the efficient market hypothesis using financially illiterate investors
title_full Testing the efficient market hypothesis using financially illiterate investors
title_fullStr Testing the efficient market hypothesis using financially illiterate investors
title_full_unstemmed Testing the efficient market hypothesis using financially illiterate investors
title_sort Testing the efficient market hypothesis using financially illiterate investors
author Coelho, Tomaz Hamdan Melo
author_facet Coelho, Tomaz Hamdan Melo
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EESP
dc.contributor.member.none.fl_str_mv Bueno, Rodrigo de Losso da Silveira
dc.contributor.author.fl_str_mv Coelho, Tomaz Hamdan Melo
dc.contributor.advisor1.fl_str_mv Giovannetti, Bruno Cara
Chague, Fernando Daniel
contributor_str_mv Giovannetti, Bruno Cara
Chague, Fernando Daniel
dc.subject.eng.fl_str_mv Efficient market hypothesis
Investment decisions
Behavioral finance
topic Efficient market hypothesis
Investment decisions
Behavioral finance
Hipótese do mercado eficiente
Decisões de Investimento
Finanças comportamentais
Economia
Teoria do mercado eficiente
Investimentos - Análise
Processo decisório
Investidores (Finanças) - Conduta
dc.subject.por.fl_str_mv Hipótese do mercado eficiente
Decisões de Investimento
Finanças comportamentais
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Teoria do mercado eficiente
Investimentos - Análise
Processo decisório
Investidores (Finanças) - Conduta
description Nosso trabalho propõe um teste para a hipótese de mercados eficientes. Propomos um teste simples: colocamos investidores individuais que não sabem nada sobre finanças para negociar no mercado de ações e os comparamos com o resto dos investidores individuais. De acordo com a HME, o desempenho desses investidores antes dos custos de transação e ponderados pelo risco não deve ser diferente. Utilizamos a compra de produtos estruturados comercializados no Brasil que proporcionavam retornos abaixo do ativo livre de risco para classificar os investidores como analfabetos financeiros. Esses investidores possuem um desempenho pior de suas compras. Parte deste resultado ´e explicado por vieses comportamentais.
publishDate 2021
dc.date.accessioned.fl_str_mv 2021-09-09T21:52:49Z
dc.date.available.fl_str_mv 2021-09-09T21:52:49Z
dc.date.issued.fl_str_mv 2021-08-03
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
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url https://hdl.handle.net/10438/31066
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
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