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Essays on International Asset Management: Evidence for Developed West and Emerging East

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Marina Nikiforow

Asset management is a global business, spreading from developed financial centers to emerging and transition markets. Empirical analyses of professional investors’ investment processes are justified not only by their key role in the traditional finance theory, as rational agents contributing to market efficiency, but also by the behavioral finance, finding evidence on irrational biases in their investment behavior. This study provides survey evidence on views and investment behavior of 772 fund managers from 274 investment companies in the USA, Germany, Thailand, Russia and Ukraine. New insights are gained on the persistency of behavioral biases. Cross-country comparisons shed light on fund managers’ information processing and investment behavior in different institutional market settings.

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1. Introduction ...............................................................................................1 1.1 Motivation and contribution of this dissertation ...................................1 1.2 Outline ...................................................................................................4 2. Professionals’ endorsement of behavioral finance: Does it impact their perception of markets and themselves? ................9 2.1 Introduction ...........................................................................................9 2.2 Data .....................................................................................................11 2.3 Views on market’s behavior ...............................................................16 2.3.1 Motivation ................................................................................16 2.3.2 Results ......................................................................................17 2.4 Views on one’s own behavior .............................................................19 2.4.1 Motivation ................................................................................19 2.4.2 Results ......................................................................................22 2.5 Consequence on investment behavior ................................................25 2.6 Conclusion . .........................................................................................28 3. Does training on behavioral finance influence fund managers’ perception and behavior? ........................................................................31 3.1 Introduction .........................................................................................31 3.2 Data .....................................................................................................33 3.3 Formation of comparison groups ........................................................35 3.3.1 “Trained” versus “Untrained” fund managers .........................35 3.3.2 “Trained experts” versus “Untrained experts” ........................36 3.3.3 “Trained and BF integrated” versus “Trained and BF not integrated” ................................................................................38 3.4 Trained fund mangers’ perception of markets and their self-assessment ...................................................................................39 3.4.1 Perception of markets ..............................................................39 3.4.2 Self-assessment ........................................................................42 3.5 Consequences on the investment behavior .........................................47 3.6 Conclusion ..........................................................................................51 Table of contents VI 4. Fund managers’ information processing in the developed West and the emerging Eastern Europe .................................................................53 4.1 Introduction .........................................................................................53 4.2 Data .....................................................................................................56 4.3 On information transparency and efficiency in Russia and Ukraine ..58 4.4 Evidence on market settings in developed markets (DM) and transition markets (TM) ......................................................................60 4.4.1 Motivation ................................................................................60 4.4.2 Results ......................................................................................63 4.5 Evidence on information processing in DM and TM …….................65 4.5.1 Hypotheses for the use of basic information categories ..........65 4.5.2 Evidence on the use of basic information categories ...............67 4.5.3 Evidence on herding .................................................................69 4.6 Order flow, herding and relevance of fundamental information...

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