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Weekday dependence of German stock market returns
Herwartz, Helmut - 1999
The so-called 'Monday effect ' has been found for various stock markets of the world. The empirical finding that Monday returns are significantly smaller than returns measured for the remaining days of the week calls the efficiency hypothesis for pricing processes operating on stock markets into...
Persistent link: https://www.econbiz.de/10009580468
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Experimental "beauty contests" with homogeneous and heterogeneous players and with interior and boundary equilibria
Güth, Werner; Kocher, Martin; Sutter, Matthias - 2001
We study behavior in experimental beauty contests with, first, boundary and interior equilibria, and, second, homogeneous and heterogenous types of players. We find quicker and better convergence to the game-theoretic equilibrium with interior equilibria and homogeneous players. -- beauty...
Persistent link: https://www.econbiz.de/10009614296
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A class of Health-Jarrow-Morton models in which the unbiased expectations hypothesis holds
Riedel, Frank - 1997
The unbiased expectations hypothesis states that forward rates are unbiased estimates for future short rates. Cox, Ingersoll and Ross [1] conjectured that this hypothesis should be inconsistent with the absence of arbitrage possibilities. Using the framework of Heath, Jarrow and Morton [4] we...
Persistent link: https://www.econbiz.de/10009632605
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On the regulation of social norms
Kübler, Dorothea - 2000
inappropriate or that following a certain new norm is appropriate. Both forms of norm regulation are incorporated into Akerlof … different types of norms. -- social norms ; regulation ; conformity …
Persistent link: https://www.econbiz.de/10009583884
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Canonical decomposition of linear transformations of two independent Brownian motions
Föllmer, Hans; Wu, Ching-Tang; Yor, Marc - 1998
filtering theory ; enlargement of filtration ; canonical decomposition ; Sturm-Liouville equation ; Volterra kernels …
Persistent link: https://www.econbiz.de/10009578007
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Modeling the interdependence of volatility and inter-transaction duration processes
Grammig, Joachim; Wellner, Marc - 1999
In this paper we motivate, specify and estimate a model in which the intra-day volatilty process affects the inter-transaction duration process and vice versa. In order to solve the estimation problems implied by this interdependent formulation, we first propose a GMM estimation procedure for...
Persistent link: https://www.econbiz.de/10009579173
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Fractional cointegration and tests of present value models
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000
This paper tests the validity of Present Value (PV) models of stock prices by employing a two-step strategy for testing the null hypothesis of no cointegration against alternatives which are fractionally cointegrated. Monte Carlo simulations are conducted to evaluate the power and size...
Persistent link: https://www.econbiz.de/10009582383
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The influence of inventory effects and reference points on the rate of consumption
Bell, David R.; Boztuğ, Yasemin - 2001 - Rev.
The authors develop and test a model to study the influence of inventory-on-hand and price-based reference points on the consumption rate of consumers. The model is motivated by recent theoretical and empirical research which suggests inventory pressure can cause consumers to increase...
Persistent link: https://www.econbiz.de/10009615422
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Arrow-Debreu equilibria with asymptotically heterogeneous expectations exist
Riedel, Frank - 2001
In infinite horizon economies only local equivalence of beliefs is needed to ensure the existence of an Arrow-Debreu equilibrium. In fact, agents can even disagree completely in the long run in the sense that asymptotically, their beliefs are singular. -- Heterogeneous expectations ;...
Persistent link: https://www.econbiz.de/10009613607
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Framing effects on asset markets : an experimental analysis
Kirchler, Erich; Maciejovsky, Boris; Weber, Martin - 2001
In this paper we investigate four hypotheses which are inconsistent with expected utility theory, but may well be … explained by prospect theory. It deals with framing, the non-linearity of subjective probabilities, the disposition effect, and …) found little correspondence between different experimental risk elicitation methods. -- Prospect Theory ; Framing …
Persistent link: https://www.econbiz.de/10009613618