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The Disposition Effect in the Lab
Vlcek, Martin; Wang, Mei - Institut für Schweizerisches Bankwesen <Zürich> - 2007
We conduct controlled experiments in order to analyze individual trading behavior. Our results suggest that investors measure their gains relative to their initial wealth, and that this reference point together with past stock price changes determine the portfolio choices. Subjects choose a...
Persistent link: https://www.econbiz.de/10005858051
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Mental Accounting and the Equity Premium Puzzle
Hens, Thorsten; Woehrmann, Peter - Institut für Schweizerisches Bankwesen <Zürich> - 2006
We argue that the equity premium puzzle stems from a mismatch of applying mental accounting to experiments on risk … consistently in both areas the degrees of risk aversions obtained coincide and the equity premium puzzle is gone. …
Persistent link: https://www.econbiz.de/10005858774
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Occupational Choice and the Spirit of Capitalism
Doepke, Matthias; Zilibotti, Fabrizio - Institut für Schweizerisches Bankwesen <Zürich> - 2007
transformation to the contrast in values between a hard-working, thrifty and risk-taking middle class and an upper class imbued with …
Persistent link: https://www.econbiz.de/10005857784
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Financial Market Equilibria with Cumulative Prospect Theory
de Giorgio, Enrico; Hens, Thorsten; Rieger, Marc Oliver - Institut für Schweizerisches Bankwesen <Zürich> - 2009
. This latter observation also impliesthat concavication arguments which has been used in portfolio allocation problems with …
Persistent link: https://www.econbiz.de/10009354077
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Will investors adapt their investment behavior whenfaced with a change in information feedback and investmentflexibility?
Zeisberger, Stefan; Langer, Thomas; Weber, Martin - Institut für Schweizerisches Bankwesen <Zürich> - 2011
Assuming investors are loss averse, repeated risky investments are less attractive inmyopic evaluation. A theoretical foundation for this effect is given by the behavioralconcept of myopic loss aversion (MLA). The consequences of MLA have been confirmedin several between-subject experimental...
Persistent link: https://www.econbiz.de/10009354101
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Financial Market Equilibria With Cumulative Prospect Therory
De Giorgi, Enrico; Hens, Thorsten; Rieger, Marc Oliver - Institut für Schweizerisches Bankwesen <Zürich> - 2007
The paper shows that financial market equilibria need not exist if agents possess cumulative prospect theory preferences with piecewise-power value functions. The reason is an infiniteshort-selling problem. But even when a short-sell constraint is added, non-existence can occur due to...
Persistent link: https://www.econbiz.de/10005857777
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Hybrid Cat-bonds
Barrieu, Pauline; Loubergé, Henri - Institut für Schweizerisches Bankwesen <Zürich> - 2007
analyzed in this pap er reinsurance markets are unable to cope with this risk completely. Insurance-linked securities, such as … cat bonds, have been issued to complete the international risk transfer process, but their development is disappointing so … far. This paper argues that downside risk aversion and ambiguity aversion explain the limited success of cat bonds. Hybrid …
Persistent link: https://www.econbiz.de/10005857781
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Optimal Product Design : A CAPM approach
Rieger, Marc Oliver; Wang, Mei; Hens, Thorsten - Institut für Schweizerisches Bankwesen <Zürich> - 2006
We study properties of structured financial products optimizing a utility functional of a customer. The conventional method may have the disadvantage that the a priori restriction to a certain number of assets could make it impossible to find the optimal portfolio. So instead of optimizing the...
Persistent link: https://www.econbiz.de/10005858026
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Revealed and Stated Investment Decisions Concerning Structured Products
Vanini, Paolo; Döbeli, Barbara - Institut für Schweizerisches Bankwesen <Zürich> - 2007
We analyze the investment behavior of private clients concerning structured products. To ascertain their stated and revealed preferences, we use a questionnaire and a field experiment, respectively. The real product issued in the field experiment is comparable to one product in the questionnaire...
Persistent link: https://www.econbiz.de/10005858052
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Foreign Direct Investment and Exchange Rate Volatility: a Non-Linear Story
Jeanneret, Alexandre - Institut für Schweizerisches Bankwesen <Zürich> - 2007
This paper sheds light on the influence of exchange rate volatility on foreign direct investment (FDI), both at the theoretical and the empirical level. The novelty of the empirical analysis, which is based on a panel of 27 OECD countries over the period 1982-2002, is to provide evidence of a...
Persistent link: https://www.econbiz.de/10005858054