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Doctoral Thesis
DOI
https://doi.org/10.11606/T.12.2007.tde-24012008-122304
Document
Author
Full name
João José de Farias Neto
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2007
Supervisor
Committee
Yoshino, Joe Akira (President)
Avelino, Ricardo Rezende Gomes
Belluzzo Junior, Walter
Bueno, Rodrigo de Losso da Silveira
Madeira, Gabriel de Abreu
 
Title in Portuguese
Utilidades em 'S' e os paradoxos do mercado financeiro
Keywords in Portuguese
Ações
Consumo
Economia matemática
Escolha (teoria econômica)
Abstract in Portuguese
Testam-se quatro utilidades com o formato S das curvas de saturação - gama, logística, Cauchy e Cauchy modificada - no modelo básico de apreçamento de ativos de Lucas, com séries temporais do mercado americano. Estabelecendo-se um parâmetro que acompanha o nível de consumo per capita , constata-se que todas resolvem o chamado riskfree puzzle. A gama e a Cauchy modificada saem-se melhor no apreçamento dos 25 ativos do portfolio de Fama e French e esta última é eleita a vencedora, pelas suas propriedades assintóticas e por apresentar coeficiente médio (no sentido cross-section) de aversão relativa ao risco na faixa considerada normal (entre 0 e 5). A Cauchy modificada regulariza a utilidade de Constantinides-Cochrane-Campbel, de formação de hábito, permitindo que o trecho abaixo do consumo habitual seja usado, com isso dispensando o uso de truques para impedir que o consumo suavizado ultrapasse o real. Constatou-se a manutenção daquele coeficiente médio dentro da faixa normal, em um nível pouco abaixo do americano, no caso do mercado brasileiro. Nesse sentido de média crosssection, poderia-se dizer que a utilidade aqui proposta resolve o chamado equity premium puzzle.
 
Title in English
S-shaped utilities and the puzzles of the financial markets
Keywords in English
Habit formation
Puzzles
S-shaped
Utility function
Abstract in English
Four S-shaped utility functions are tested - gamma, logistic, Cauchy and modified Cauchy - on Lucas asset pricing model with American market time series. Establishing a parameter that follows the level of the per capita consumption, it is shown that all of them solve the so called risk free puzzle. The gamma utility and the modified Cauchy are the ones with better pricing power with respect to Fama and French's 25 book-to-market portfolio and the last one is elected the winner, for its asymptotic properties and for exhibiting mean (in the cross-section sense) relative risk aversion coefficient inside the accepted normal range (between 0 and 5). The modified Cauchy utility regularizes the habit-formation Constantinides-Cochrane-Campbel utility function, allowing the usage of the stretch below the habit consumption level, thus doing without the need of tricks to forbid the smoothed consumption series from outgrowing the real one. In the Brazilian market, the mean relative risk aversion coefficient also remains inside the acceptable region, on a slightly lower level. In this mean cross-section sense, it might be possible to state that the utility here proposed solves the equity premium puzzle.
 
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TeseJJFariasNeto.pdf (2.07 Mbytes)
Publishing Date
2008-01-28
 
WARNING: The material described below relates to works resulting from this thesis or dissertation. The contents of these works are the author's responsibility.
  • DE FARIAS NETO, Joao Jose. The Financial Market as a Complex System. In Unifying Themes in Complex Systems Volume VIII: Proceedings of the Eighth ICCS [online], 8, Quincy, MA, EUA, 2011. Boston, MA, EUA : New England Complex Systems Institute Series on Complexity (NECSI Knowledge Press), 2011. p. 1089-1103. ISBN 0965632843. [acesso 2012-02-08]. Disponível em : <http://necsi.edu/events/iccs2011/proceedings.html>

  • DE FARIAS NETO, Joao Jose. S-shaped Utility Functions and the Puzzles of the Financial Market : An investigation in behavioral finance. Saarbrucken : Lambert Academic Publishing, 2010.

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