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Efeito das experiências passadas nos investimentos financeiros na Europa : análise empirica com base no SHARELIFE e SHARE (2006-2010)
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Esta tese investiga os efeitos das experiências passadas dos detentores de ações e obrigações, que viveram a Crise Financeira de 2008, num contexto da Household Finance. Após análise da literatura, foi possível testar empiricamente modelos para Stockholdings e Bondholdings com base no cruzamento dos dados do Survey of Health, Ageing and Retirement in Europe (SHARE), nomeadamente SHARELIFE (2008) e SHARE (WAVE 2 - 2006 e WAVE 4 - 2010), de 12 países (N = 8.649 de indivíduos com idade entre os 50 e 90 anos). Várias especificações foram testadas usando modelos Probit, em que a variável dicotómica dependente assume o valor 1, se a utilidade de deter ações ou obrigações for não negativa em 2010 e assume o valor 0, se a utilidade for negativa. Os resultados são fornecidos para Stockholdings e Bondholdings com experiência do tipo (i), se em algum momento do seu historial investiram em ações ou obrigações e com experiência do tipo (ii), que define o número de anos de experiência em ações ou obrigações. A probabilidade de participar no mercado acionista em 2010 aumenta com os indivíduos que detinham ações em 2006 com experiência do tipo (i) e (ii), controlados para riqueza ou educação e decresce com rendimento por escalões ou aversão ao risco. A probabilidade de participar no mercado obrigacionista em 2010 aumenta com os indivíduos que detinham ações em 2006 com experiência do tipo (i) e (ii), controlados pela riqueza e diminui com os escalões de rendimento e educação. As diferenças encontradas entre os vários modelos provaram que a experiência assume um efeito marginal mais elevado que as variáveis tradicionais de participação nos mercados financeiros (riqueza/rendimento, educação e aversão ao risco).
This dissertation investigates the effects of past experiences of holders of stocks and bonds, who lived the Financial Crisis of 2008, in a context of Household Finance. After examining the literature, it was possible to empirically test models for Stockholdings and Bondholdings based on cross section data of the Survey of Health, Ageing and Retirement in Europe (SHARE), including SHARELIFE (2008) and SHARE (WAVE 2-2006 and WAVE 4 - 2010), from 12 countries (N = 8,649 individuals aged between 50 and 90 years). Various specifications were tested using Probit models, where the dichotomous dependent variable takes the value 1 if the utility of holding stocks or bonds is not negative in 2010 and takes the value 0 if the utility is negative. The results are provided for Stockholdings and Bondholdings with experience of type (i), if at any point of the its history invested in stocks or bonds and with experience of type (ii), which defines the number of years of experience in stocks or bonds. The probability to participate in the stock market in 2010 increases with individuals who held shares in 2006 with experience of type (i) and (ii), controlling for wealth or education and decreases with income levels or by risk aversion. The probability to participate in the bond market in 2010 increases with individuals who held shares in 2006 with experience of type (i) and (ii), controlled by wealth and decreases with income and education levels. The differences between the several models have proven that experience takes on a higher marginal effect than the traditional variables of participation in financial markets (wealth / income, education and risk aversion).
This dissertation investigates the effects of past experiences of holders of stocks and bonds, who lived the Financial Crisis of 2008, in a context of Household Finance. After examining the literature, it was possible to empirically test models for Stockholdings and Bondholdings based on cross section data of the Survey of Health, Ageing and Retirement in Europe (SHARE), including SHARELIFE (2008) and SHARE (WAVE 2-2006 and WAVE 4 - 2010), from 12 countries (N = 8,649 individuals aged between 50 and 90 years). Various specifications were tested using Probit models, where the dichotomous dependent variable takes the value 1 if the utility of holding stocks or bonds is not negative in 2010 and takes the value 0 if the utility is negative. The results are provided for Stockholdings and Bondholdings with experience of type (i), if at any point of the its history invested in stocks or bonds and with experience of type (ii), which defines the number of years of experience in stocks or bonds. The probability to participate in the stock market in 2010 increases with individuals who held shares in 2006 with experience of type (i) and (ii), controlling for wealth or education and decreases with income levels or by risk aversion. The probability to participate in the bond market in 2010 increases with individuals who held shares in 2006 with experience of type (i) and (ii), controlled by wealth and decreases with income and education levels. The differences between the several models have proven that experience takes on a higher marginal effect than the traditional variables of participation in financial markets (wealth / income, education and risk aversion).
Descrição
Mestrado em Finanças
Palavras-chave
Experiência de Investimento Stockholdings Bondholdings Choque Macroeconómico Household Finance Europa SHARELIFE SHARE Investment Experience Macroeconomic Shock Europe
Contexto Educativo
Citação
Ponte, Joel Cabrita Pincho da. 2013. "Efeito das experiências passadas nos investimentos financeiros na Europa : análise empirica com base no SHARELIFE e SHARE (2006-2010)". Dissertação de Mestrado. Universidade de Lisboa. Instituto Superior de Economia e Gestão.
Editora
Instituto Superior de Economia e Gestão