Narrow search
Showing 1 - 10 of 1,411
Cover Image
What is the impact of stock market contagion on an investor's portfolio choice?
Branger, Nicole; Kraft, Holger; Meinerding, Christoph - 2009
risk of crashes in other stocks (or indices). Our paper explicitly takes this contagion risk into account and studies its … investor significantly adjusts his portfolio when contagion is more likely to occur. Capturing the time dimension of contagion … portfolio decisions. Investors ignoring contagion completely or accounting for contagion while ignoring its time dimension …
Persistent link: https://www.econbiz.de/10009764762
Cover Image
Asset pricing with index investing
Chabakauri, Georgy; Ryčkov, Oleg - In: Journal of financial economics 141 (2021) 1, pp. 195-216
Persistent link: https://www.econbiz.de/10012872622
Cover Image
Why Does Implied Risk Aversion Smile?
Ziegler, Alexandre - 2002
This paper shows that preferences alone cannot explain the patterns reported in the literature.
Persistent link: https://www.econbiz.de/10005843337
Cover Image
Learning from experience in the stock market
Nakov, Anton; Nuño, Galo - 2011
We study the dynamics of a Lucas-tree model with finitely lived agents who "learn from experience." Individuals update expectations by Bayesian learning based on observations from their own lifetimes. In this model, the stock price exhibits stochastic boom-and-bust fluctuations around the...
Persistent link: https://www.econbiz.de/10011605442
Cover Image
Leverage and beliefs: Personal experience and risk taking in margin lending
Koudijs, Peter; Voth, Hans-Joachim - 2014
What determines risk-bearing capacity and the amount of leverage in financial markets? Using unique archival data on collateralized lending, we show that personal experience can affect individual risk-taking and aggregate leverage. When an investor syndicate speculating in Amsterdam in 1772 went...
Persistent link: https://www.econbiz.de/10011282480
Cover Image
Herding and Contrarian Behavior in Financial Markets: An Internet Experiment
Drehmann, Mathias; Oechssler, Jörg; Roider, Andreas - 2002
We report results of an internet experiment designed to test the theory of informational cascades in financial markets (Avery and Zemsky, AER, 1998). More than 6000 subjects, including a subsample of 267 consultants from an international consulting firm, participated in the experiment. As...
Persistent link: https://www.econbiz.de/10010263070
Cover Image
Sentiment dynamics and stock returns: the case of the German stock market
Lux, Thomas - 2008
We use weekly survey data on short-term and medium-term sentiment of German investors in order to study the causal relationship between investors' mood and subsequent stock price changes. In contrast to extant literature for other countries, a tri-variate vector autoregression for short-run...
Persistent link: https://www.econbiz.de/10010263537
Cover Image
Two heads are less bubbly than one: team decision-making in an experimental asset market
Cheung, Stephen L.; Palan, Stefan - 2009
We study the effect of team decision-making on bubbles and crashes in experimental asset markets of the kind introduced by Smith, Suchanek and Williams (1988). We find that populating such markets with teams of size two instead of individuals significantly reduces the severity of mispricing. In...
Persistent link: https://www.econbiz.de/10010269599
Cover Image
Mass psychology in action: identification of social interaction effects in the German stock market
Lux, Thomas - 2009
We use weekly survey data on short-term and medium-term sentiment of German investors to estimate the parameters of a stochastic model of opinion dynamics. The bivariate nature of our data set also allows us to explore the interaction between the two hypothesized opinion formation processes,...
Persistent link: https://www.econbiz.de/10010269717
Cover Image
Stochastic behavioral asset pricing models and the stylized facts
Lux, Thomas - 2008
High-frequency financial data are characterized by a set of ubiquitous statistical properties that prevail with surprising uniformity. While these 'stylized facts' have been well-known for decades, attempts at their behavioral explanation have remained scarce. However, recently a new branch of...
Persistent link: https://www.econbiz.de/10010273169