AN INVESTMENT CHOICE PROBLEM AND CALENDAR ANOMALIES: A GROUP AHP MODEL FOR INVESTORS

An investment choice can be influenced by numerous qualitative and quantitative factors that often conflict with one other. Therefore, portfolio management choice is a multi-criteria decision problem that requires flexible and analytic decision tools for investors. For this task, the Analytic Hierarchy Process (AHP) is suitable. We propose an AHP group-based model to analyze an investment choice problem looking at two financial markets including Spain and France. The evaluation criteria that we used in our model are the return of the stock market, performance of government bonds and calendar effects in the financial markets. The 2017 French and Spanish equity market returns and the government bond performances for each country are available in public databases. Mean tests were performed in order to analyze calendar anomalies for both of the markets from 2007-2017. The aim of our study is to propose a model that allows simultaneous evaluation of the impact of the previously mentioned factors on investment choice. Our analysis involves 69 students from the Department DEMM of the University of Sannio (Italy) who have worked on financial market simulators. The data were obtained using questionnaires. The common priority vector procedure (CPVP) was used to determine the individual priorities (derived by individual judgments matrices) and aggregate the individual priorities (derived by individual judgments matrices) to obtain the group preferences. The results show that the decision makers prefer to invest in diversified portfolios.