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How do investors' expectations drive asset prices?

Lüders, Erik; Peisl, Bernhard - 2001

stochastic volatility of asset prices and to give theoretical arguments for empirically well documented facts. We show that … stochastic volatility. …

Persistent link: https://www.econbiz.de/10013428399

Black Monday, globalization and trading behavior of stock investors

Kurz-Kim, Jeong-Ryeol - 2016

Using a simple sign test, we report new empirical evidence, taken from both the US and the German stock markets, showing that trading behavior substantially changed around Black Monday in 1987. It turned out that before Black Monday investors behaved more as in the momentum strategy; and after...

Persistent link: https://www.econbiz.de/10011486252

Who trades on momentum?

Baltzer, Markus; Jank, Stephan; Smajlbegovic, Esad - 2014

Using a unique data set that contains the complete ownership structure of the German stock market, we study the momentum and contrarian trading of different investor groups. Foreign investors and financial institutions, and especially mutual funds, are momentum traders, whereas private...

Persistent link: https://www.econbiz.de/10010471006

Common information-processing irrationality as trade creator

Klishchuk, Bogdan - 2020

We show that a common (identical across investors) irrationality in information processing can be enough to create nontrivial trade, using one of standard partial-equilibrium environments. We can attribute this trade to their common irrationality because we strip the investors and their...

Persistent link: https://www.econbiz.de/10012266529

Unleashing animal spirits : self-control and overpricing in experimental asset markets

Kocher, Martin; Lucks, Konstantin; Schindler, David - 2018

One explanation for overpricing on asset markets is a lack of traders' self-control. Self-control is the individual capacity to override or inhibit undesired impulses that may drive prices. We implement the first experiment to address the causal relationship between self-control abilities and...

Persistent link: https://www.econbiz.de/10011899248

Asset prices and alternative characterizations of the pricing kernel

Lüders, Erik - 2002

volatility. Hence, they are viable alternatives to the geometric Brownian motion. …

Persistent link: https://www.econbiz.de/10013428466

What triggers stock market jumps?

Baker, Scott; Bloom, Nicholas; Davis, Steven J.; … - 2021

Persistent link: https://www.econbiz.de/10012614411

Financial crises and the dynamic linkages between stock and bond returns

Eraslan, Sercan; Ali, Faek Menla - 2017

framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other … results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio …

Persistent link: https://www.econbiz.de/10011663407

The standard portfolio choice problem in Germany

Huck, Steffen; Schmidt, Tobias; Weizsäcker, Georg - 2014

We study an investment experiment conducted with a representative sample of German households. Respondents invest in a safe asset and a risky asset whose return is tied to the German stock market. Experimental investments correlate with beliefs about stock market returns and exhibit desirable...

Persistent link: https://www.econbiz.de/10010413601

Financial literacy, stock market participation, and financial well-being in Germany

Bucher-Koenen, Tabea; Janssen, Bennet; Knebel, Caroline; … - 2023

We examine financial literacy in Germany and its relevance for financial well-being. Using data from the Panel on Household Finances collected in 2021, we show that about 62% of German households answer the Big Three financial literacy questions correctly. Those with lower education, who are out...

Persistent link: https://www.econbiz.de/10014504767

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