Title
Informaciona asimetrija i rizik portfolia individualnog investitora : doktorska disertacija
Creator
Hajrović, Edib 1973-
Copyright date
2015
Object Links
Select license
Autorstvo-Nekomercijalno-Bez prerade 3.0 Srbija (CC BY-NC-ND 3.0)
License description
Dozvoljavate samo preuzimanje i distribuciju dela, ako/dok se pravilno naznačava ime autora, bez ikakvih promena dela i bez prava komercijalnog korišćenja dela. Ova licenca je najstroža CC licenca. Osnovni opis Licence: http://creativecommons.org/licenses/by-nc-nd/3.0/rs/deed.sr_LATN. Sadržaj ugovora u celini: http://creativecommons.org/licenses/by-nc-nd/3.0/rs/legalcode.sr-Latn
Language
Serbian
Cobiss-ID
Theses Type
PhD thesis
Other responsibilities
mentor
Petrović, Evica
Academic Expertise
Društveno-humanističke nauke
University
Univerzitet u Nišu
Faculty
Ekonomski fakultet
Group
Katedra za računovodstvo, matematiku i informatiku
Title translated
INFORMATION ASYMMETRY AND INDIVIDUAL INVESTORS RISK PORTFOLIO
Publisher
Niš : [E. Hajrović]
Format
PDF/A (260 listova)
description
Biografija: list 245.
Umnoženo za odbranu.
Univerzitet u Nišu, 2014.
Bibliografske reference uz tekst.
Bibliografija: listovi 237-244.
Abstract.
Abstract (en)
Abstract: Building sophisticated, open and competitive market adapted financial
system of a national economy is undoubtedly the most important prerequisite for creating efficient
capital allocation at all levels. Only under such conditions, the capital would flow towards
secure and/or more profitable investment, i.e. where it is more usable and can produce
more and retreat from economic segments where it loses or does not receive much.
Because of the level of (un)development, developing markets are facing numerous
risks. Namely, the integration of countries having developing markets brings new kinds of
risk into international developments and increases dependence on changes appearing in the
environment. The development of the financial system in Serbia has been caused by the privatization
process since 2000. In this period a new regulation has been adopted that has institutionalize
the financial system in compliance with European and world financial systems.
However, regardless of the institutional basis and rapid development, the financial system of
Serbia was still bank-centered. The fact is that in building portfolio structures it is not possible
to disregard investors’ aims and preferences that directly or indirectly have an impact on:
development degree and data base reliability, knowledge of statistical techniques, computer
and telecommunication technology.
In other words, in business contacts the relevant information and the rapidity of finding
them are of outmost importance for making high quality decisions, i.e. information becomes
an input in decision-making process and as such has its price.
The practice reveals that in real economic transactions market participants are not
only fully informed but the information they have is asymmetrically arranged.
Namely, one side that participates in transactions has a better insight in to the facts on
a variable that is important for contract-business involving other side. This resulted in the
concept of adapted expectations according to which the expectation for the next period is
adapted in compliance with divergence (error) of previous expectation from the previous process
realization, by means of the adaptability coefficient.
The validity of each econometric analysis is conditioned by availability and reliability
of data it is based on. In practice the most used data are those involving financial series and
financial statements of an enterprise. The characteristics of time series are the following: unstable
autocorrelation, “fat tails”, asymmetry, aggregate normality of arrangement of financial
instrument yield, existence of alternating of yield volatility in any time horizon, leverage
effect, correlation of intensity, trade and volatility volume. On the other side, although financial
statements in essence show the state of financial position and success of an enterprise’s
business, their usability value for making decisions on investment is limited.
In order to avoid the adverse mechanism of spontaneous adaptability in the market with
asymmetric information it is necessary to know market signalizing and market screening.
Authors Key words
Informaciona asimetrija, Investitor, informacija, kvalitet, rizik, hazard, problem
principal-agent, upravljanje, tržište, vremenske serije, portfolio, vrednovanje portfolio
performansi, troškovi kapitala, monitoring, rebalansiranje, prinos, očekivana korist.
Authors Key words
information, quality, asymmetric information, risk, hazard, principalagent
problems, management, markets, time series, investor, portfolio, evaluating portfolio
performance, cost of capital, monitoring, rebalancing, yield, expected benefit
Classification
658
Subject
330
Type
Elektronska teza
Abstract (en)
Abstract: Building sophisticated, open and competitive market adapted financial
system of a national economy is undoubtedly the most important prerequisite for creating efficient
capital allocation at all levels. Only under such conditions, the capital would flow towards
secure and/or more profitable investment, i.e. where it is more usable and can produce
more and retreat from economic segments where it loses or does not receive much.
Because of the level of (un)development, developing markets are facing numerous
risks. Namely, the integration of countries having developing markets brings new kinds of
risk into international developments and increases dependence on changes appearing in the
environment. The development of the financial system in Serbia has been caused by the privatization
process since 2000. In this period a new regulation has been adopted that has institutionalize
the financial system in compliance with European and world financial systems.
However, regardless of the institutional basis and rapid development, the financial system of
Serbia was still bank-centered. The fact is that in building portfolio structures it is not possible
to disregard investors’ aims and preferences that directly or indirectly have an impact on:
development degree and data base reliability, knowledge of statistical techniques, computer
and telecommunication technology.
In other words, in business contacts the relevant information and the rapidity of finding
them are of outmost importance for making high quality decisions, i.e. information becomes
an input in decision-making process and as such has its price.
The practice reveals that in real economic transactions market participants are not
only fully informed but the information they have is asymmetrically arranged.
Namely, one side that participates in transactions has a better insight in to the facts on
a variable that is important for contract-business involving other side. This resulted in the
concept of adapted expectations according to which the expectation for the next period is
adapted in compliance with divergence (error) of previous expectation from the previous process
realization, by means of the adaptability coefficient.
The validity of each econometric analysis is conditioned by availability and reliability
of data it is based on. In practice the most used data are those involving financial series and
financial statements of an enterprise. The characteristics of time series are the following: unstable
autocorrelation, “fat tails”, asymmetry, aggregate normality of arrangement of financial
instrument yield, existence of alternating of yield volatility in any time horizon, leverage
effect, correlation of intensity, trade and volatility volume. On the other side, although financial
statements in essence show the state of financial position and success of an enterprise’s
business, their usability value for making decisions on investment is limited.
In order to avoid the adverse mechanism of spontaneous adaptability in the market with
asymmetric information it is necessary to know market signalizing and market screening.
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