We analyse questions of arbitrage in financial markets in which asset prices change in time as stationary stochastic processes. The main focus of the paper is on a model where the price vectors are independent and identically distributed. In the framework of this model, we find conditions that...

In this paper, we consider an investor who plays in a market that involves a risky asset whose instantaneous rate of return changes at unknown random times. This return rate is assumed to follow the law of a Compound Poisson Process. We construct optimal mathematical strategies in this context...

We aim to compare financial technical analysis techniques to strategies which depend on a mathematical model. In this paper, we consider the moving average indicator and an investor using a risky asset whose instantaneous rate of return changes at an unknown random time. We construct...

This paper shows that in financial markets with endogenous asset supply and demand, both rational and noise traders do coexist in the long run. The finding implies that financial markets are neither informationally nor allocationally efficient. While rational traders have a consistently higher...

This paper uses a simple model of mean-variance asset pricing with transactions costs to analyze one of the main empirical phenomena in stock market competition in the last years, the decrease of transaction costs. We endogenize transactions costs as variables strategically influenced by stock...

The goal of this paper is to assess, for the first time, the empirical impact of "Kaynes' beauty contest", or "higher order belief", on asset price volatility. The paper shows that heterogeneous expectations induce higher order beliefs and that heterogeneous expectation asset pricing models...

This paper tests two competing hypotheses about the influence of financial institutions as large shareholders on the performance of their industrial portfolio firms: the superior monitoring hypothesis versus the rent extraction hypothesis. The methodology of this study exploits the abolishment...

International evidence on the accrual anomaly is sparse and conflicting. Testing for accrual mispricing in 28 equity markets, we provide statistical evidence for anomalous returns in some countries. However, we question whether this result might have occurred by chance alone and that it might...

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...

During the last decade, a surprisingly high percentage of U.S. companies has fulfilled or beatenanalysts´ earnings per share forecasts. One of the most frequently cited reasons for this growingtendency is a change in the nature of U.S. executive compensation structure. As stock options...