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Hellström, Jörgen
Publications (10 of 29) Show all publications
Hellström, J., Olsson, R. & Stålnacke, O. (2017). Evaluating measures of individual investors' expectations of risk and return. Review of Behavioral Finance, 9(3), 206-226
Open this publication in new window or tab >>Evaluating measures of individual investors' expectations of risk and return
2017 (English)In: Review of Behavioral Finance, ISSN 1940-5979, Vol. 9, no 3, p. 206-226Article in journal (Refereed) Published
Abstract [en]

Purpose

The purpose of this paper is to measure individual investors’ expectations of risk and return and to evaluate different expectation measures.

Design/methodology/approach

The authors measure individual investors’ expectations of risk and return regarding an index fund and two stocks using survey data on a random sample of individual investors in Sweden. The survey contains three different return and four different risk expectation measures. To evaluate the different expectation measures, three different evaluation perspectives are considered.

Findings

The risk expectations obtained from the different measures are positively correlated across respondents, but their average magnitudes differ considerably across measures. The return expectations are also positively correlated, and their magnitudes also differ, but to a lesser extent. Consequently, the same individual can express risk expectations that either underestimate or overestimate the forward risk, depending on the measure that is used. The variations in the expectations mainly relate to differences in the responses to the questions underlying the different measures, rather than to the methods used to obtain the expectations. The results from the evaluation of the measures indicate that the expectation measure proposed by Dominitz and Manski (2011) is the only measure for which it is possible to distinguish between individuals’ expectations, using all three of the evaluation perspectives.

Originality/value

This is, to the best of the authors’ knowledge, the first paper that evaluates different survey measures of individual investors’ expectations of risk and return.

Keywords
Expectations, Risk, Beliefs, Return, Subjective probability
National Category
Business Administration
Identifiers
urn:nbn:se:umu:diva-140746 (URN)10.1108/RBF-10-2016-0066 (DOI)000411490100001 ()
Available from: 2017-10-18 Created: 2017-10-18 Last updated: 2018-06-09Bibliographically approved
Berggren, N., Daunfeldt, S.-O. & Hellström, J. (2016). Does social trust speed up reforms?: The case of central-bank independence. Journal of Institutional Economics, 12(2), 395-415
Open this publication in new window or tab >>Does social trust speed up reforms?: The case of central-bank independence
2016 (English)In: Journal of Institutional Economics, ISSN 1744-1374, E-ISSN 1744-1382, Vol. 12, no 2, p. 395-415Article in journal (Refereed) Published
Abstract [en]

Many countries have undertaken central-bank independence reforms, but the years of implementation differ. What explains such differences in timing? This is of interest more broadly, as it sheds light on factors that matter for the speed at which economic reforms come about. We study a rich set of potential determinants, both economic and political, but put special focus on a cultural factor, i.e. social trust. We find empirical support for an inverse u-shape: Countries with low and high social trust implemented their reforms earlier than countries with intermediate levels. We make use of two factors to explain this pattern: the need to undertake reform (which is more urgent in countries with low social trust) and the ability to undertake reform (which is greater in countries with high social trust). Overall, our findings imply that culture matters for institutional change.

Place, publisher, year, edition, pages
Cambridge University Press, 2016
Keywords
Central bank independence, Trust, reforms
National Category
Economics
Research subject
Economics
Identifiers
urn:nbn:se:umu:diva-112120 (URN)10.1017/S1744137415000284 (DOI)000377461700007 ()
Available from: 2015-12-02 Created: 2015-12-02 Last updated: 2018-06-07Bibliographically approved
Hellström, J., Liu, Y. & Sjögren, T. (2016). Stock exchange mergers and weak-form information efficiency: Evidence from the OMX Nordic and Baltic consolidation.
Open this publication in new window or tab >>Stock exchange mergers and weak-form information efficiency: Evidence from the OMX Nordic and Baltic consolidation
2016 (English)Report (Other academic)
Abstract [en]

In this paper we study whether the creation of a uniform Nordic and Baltic stock trading platform has affected weak-form information efficiency. In the study, a time-varying measure of return predictability for individual stocks is used in a panel-data setting to test for stock market merger effects. The results indicate that the stock market consolidations have had a positive effect on the information efficiency and turnover for an average firm. The merger effects are, however, asymmetrically distributed which indicates a flight to liquidity effect in the sense that relatively large (small) firms located on relatively large (small) markets experience an improved (reduced) information efficiency and turnover. Although the results indicate that changes in the level of investor attention (measured by turnover) may explain part of the changes in information efficiency, they also lend support to the hypothesis that merger effects may partially be driven by changes in the composition of informed versus uninformed investors following a stock.

Publisher
p. 33
Series
Umeå economic studies, ISSN 0348-1018 ; 923
Keywords
Time-varying return predictability, market structure
National Category
Economics
Research subject
Economics
Identifiers
urn:nbn:se:umu:diva-119868 (URN)
Available from: 2016-05-01 Created: 2016-05-01 Last updated: 2018-06-07Bibliographically approved
Gyllenram, A., Hellström, J. & Hanes, N. (2015). Förmåga att hantera stress och individers beslut att äga aktier. Ekonomisk Debatt, 43(1), 7-15
Open this publication in new window or tab >>Förmåga att hantera stress och individers beslut att äga aktier
2015 (Swedish)In: Ekonomisk Debatt, ISSN 0345-2646, Vol. 43, no 1, p. 7-15Article in journal (Other academic) Published
Abstract [sv]

Nyare finansiell forskning har påvisat att individers kognitiva förmåga (IQ) påverkar finansiella beslut. Att äga aktier korrelerar t ex starkt med IQ. Men även bland ”smarta” individer är det många som inte äger aktier. Detta är förbryllande, då avkastningen på aktiemarknaden historiskt har slagit andra investeringsalternativ, och det indikerar att det kanske inte räcker med att vara ”smart” för att göra smarta val. En möjlig förklaring till detta, som vi finner empiriskt stöd för, är att även andra personliga egenskaper, som exempelvis stresstålighet, kan påverka finansiella beslut.

Keywords
Finansiell ekonomi, aktieägande, stresstålighet
National Category
Economics Business Administration
Research subject
Business Studies; Economics
Identifiers
urn:nbn:se:umu:diva-112117 (URN)
Funder
The Jan Wallander and Tom Hedelius Foundation, P2011-0226:1
Note

Artiklar från Nationella konferensen i nationalekonomi 2014

Available from: 2015-12-02 Created: 2015-12-02 Last updated: 2018-06-07Bibliographically approved
Zetterdahl, E. & Hellström, J. (2015). Ladies and Gentlemen: Gender Identity and Financial Risk-Taking.
Open this publication in new window or tab >>Ladies and Gentlemen: Gender Identity and Financial Risk-Taking
2015 (English)Report (Other academic)
Abstract [en]

Novel empirical evidence indicates the importance of gender identity and gender norms on individuals’ financial risk-taking. Specifically, by use of matching and by dividing male and females into those with “traditional” versus “nontraditional” gender identities, comparison of average risk-taking between groupings indicate that over a third (about 35-40%) of the identified total gender risk differential is explained by differences in gender identities. Results further indicate that risky financial market participation is 19 percentage points higher in groups of women with nontraditional, compared with traditional, gender identities. The results, obtained while conditioning upon a vast number of controls, are robust towards a large number of alternative explanations and indicate that some individuals (mainly women) partly are fostered by society, through identity formation and socially constructed norms, to a relatively lower financial risk-taking.  

Publisher
p. 46
Series
Umeå economic studies, ISSN 0348-1018 ; 905
Keywords
Investor behavior, Family effects, Peer effects, Financial literacy, Social trust
National Category
Economics
Research subject
Economics
Identifiers
urn:nbn:se:umu:diva-102501 (URN)
Available from: 2015-04-27 Created: 2015-04-27 Last updated: 2018-06-07Bibliographically approved
Zetterdahl, E. & Hellström, J. (2015). Who's listening? Heterogeneous Impact of Social Interaction on Individuals' Stock Market Participation. Umeå
Open this publication in new window or tab >>Who's listening? Heterogeneous Impact of Social Interaction on Individuals' Stock Market Participation
2015 (English)Report (Other academic)
Abstract [en]

Novel evidence is provided indicating that the influence from family (parents and partners) and peer social interaction on individuals’ stock market participation vary over different types of individuals. Focusing on distinct features of concern for the social interaction process, results imply that individuals’ exposure to, and valuation of, stock market related social signals are of importance and thus, contribute to the understanding of the heterogeneous influence of social interaction. Overall, the results are interesting and enhance the understanding of the underlying mechanisms of social interaction on individuals’ financial decision making. 

Place, publisher, year, edition, pages
Umeå: , 2015. p. 45
Series
Umeå economic studies, ISSN 0348-1018 ; 904
National Category
Economics
Research subject
Economics
Identifiers
urn:nbn:se:umu:diva-102500 (URN)
Available from: 2015-04-27 Created: 2015-04-27 Last updated: 2018-06-07Bibliographically approved
Hellström, J., Berggren, N. & Daunfeldt, S.-O. (2014). Social trust and central-bank independence. European Journal of Political Economy, 34, 425-439
Open this publication in new window or tab >>Social trust and central-bank independence
2014 (English)In: European Journal of Political Economy, ISSN 0176-2680, E-ISSN 1873-5703, Vol. 34, p. 425-439Article in journal (Refereed) Published
Abstract [en]

Central banks have become more independent in many countries. A common rationale has been the existence of a credibility (or lack-of-trust) problem for monetary policy. This indicates a possible and until now unexplored link between social trust and central-bank independence. Our empirical findings, based on data from 149 countries, confirm such a link, in the form of a u-shaped relationship. We suggest that two factors help explain this finding: the need for this kind of reform and the ability with which it can be implemented. At low trust, the need for central-bank independence is strong enough to dominate the low ability; at high trust the ability for reform is high and dominates the low need; at intermediate trust levels there is neither need nor ability strong enough to generate very independent central banks.

Place, publisher, year, edition, pages
Elsevier, 2014
Keywords
Central banks, Independence, Credibility, Trust, Inflation, Monetary policy, Reform
National Category
Economics
Research subject
Economics
Identifiers
urn:nbn:se:umu:diva-81744 (URN)10.1016/j.ejpoleco.2013.10.002 (DOI)000336018100026 ()
Available from: 2013-10-21 Created: 2013-10-21 Last updated: 2018-06-08Bibliographically approved
Hellström, J., Zetterdahl, E. & Hanes, N. (2013). Loved ones matter: family effects and stock market participation. Umeå
Open this publication in new window or tab >>Loved ones matter: family effects and stock market participation
2013 (English)Report (Other academic)
Abstract [en]

In this paper new and detailed empirical evidence on the impact of family on individuals’ stock market participation decision is provided. Since influence is likely to vary systematically over different types of individuals the heterogeneous effect of social interaction, in a setting including both community as well as within-family effects, is further examined. The main results indicate that individuals’ likelihood for subsequent participation increases (decreases) following positive (negative) parental and partner stock market experiences. The effect of social interaction is further found to be of relatively greater importance for individuals with relatively lower levels of financial literacy and for individuals with an on average higher level of interpersonal trust. In terms of gender, both male and female participation is positively affected by family influence, while community effects mainly pertain to males.

Place, publisher, year, edition, pages
Umeå: , 2013. p. 39
Series
Umeå economic studies, ISSN 0348-1018 ; 865
Keywords
family effects, investor behavior, peer effect, social interaction, social influence, stock market participation
National Category
Business Administration Economics
Research subject
Business Studies; Economics
Identifiers
urn:nbn:se:umu:diva-81749 (URN)
Available from: 2013-10-21 Created: 2013-10-21 Last updated: 2018-06-08Bibliographically approved
Hellström, J., Liu, Y. & Sjögren, T. (2013). Stock exchange mergers and return co-movement: A flexible dynamic component correlations model. Economics Letters, 121(3), 511-515
Open this publication in new window or tab >>Stock exchange mergers and return co-movement: A flexible dynamic component correlations model
2013 (English)In: Economics Letters, ISSN 0165-1765, E-ISSN 1873-7374, Vol. 121, no 3, p. 511-515Article in journal (Refereed) Published
Abstract [en]

The creation of a common cross-border stock trading platform is found, by use of a Flexible Dynamic Component Correlations (FDCC) model, to have increased long-run trends in conditional correlations between foreign and domestic stock market returns.

Place, publisher, year, edition, pages
Elsevier, 2013
Keywords
Time-varying correlation, Long-run trend, Transitory component, C-GARCH
National Category
Business Administration Economics
Research subject
Business Studies; Economics
Identifiers
urn:nbn:se:umu:diva-81736 (URN)10.1016/j.econlet.2013.10.001 (DOI)000329145500038 ()
Available from: 2013-10-21 Created: 2013-10-21 Last updated: 2018-06-08Bibliographically approved
Gyllenram, A., Hanes, N. & Hellström, J. (2013). The influence of non-cognitive and cognitive ability on individuals' stock market participation. Umeå
Open this publication in new window or tab >>The influence of non-cognitive and cognitive ability on individuals' stock market participation
2013 (English)Report (Other academic)
Abstract [en]

Stock market participation is found to be positively related to cognitive, as well as non-cognitive ability, controlling for wealth, income, age, and other demographic and socioeconomic factors. Interestingly, the effects are of economic significant magnitudes, e.g. participation is on average 11.49% larger among those with high compared with low cognitive and non-cognitive abilities, and holds also when controlling for individuals risk preferences. The later indicates that cognitive and non-cognitive abilities have a role in affecting financial decisions also through non-preference driven effects. Limitations in non-cognitive ability do further explain non-participation among affluent individuals.

Place, publisher, year, edition, pages
Umeå: , 2013. p. 43
Series
Umeå economic studies, ISSN 0348-1018 ; 866
Keywords
household finance, investor behavior, stock market participation, psychological traits, intelligence, risk preferences
National Category
Economics Business Administration
Research subject
Business Studies; Economics
Identifiers
urn:nbn:se:umu:diva-81748 (URN)
Available from: 2013-10-21 Created: 2013-10-21 Last updated: 2018-06-08Bibliographically approved
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