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Modelling Sustainable Investing in the CAPM
Hens, Thorsten; Trutwin, Ester - 2023
Empirical studies investigate various causes and effects of sustainable investments. While some attempts have been made to describe the results found by theoretical models, these are relatively complex and idiosyncratic. We relate to existing studies and use a parsimonious CAPM in which we model...
Persistent link: https://www.econbiz.de/10014353691
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Making Prospect Theory Fit for Finance
De Giorgi, Enrico G. - 2006
The prospect theory of Kahneman and Tversky (in Econometrica 47(2), 263-291, 1979) and the cumulative prospect theory of Tversky and Kahneman (in J. Risk Uncertainty 5, 297-323, 1992) are descriptive models for decision making that summarize several violations of the expected utility theory....
Persistent link: https://www.econbiz.de/10012779395
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Investment Competence and Advice Seeking
Bachmann, Kremena - 2016
This study evaluates individuals' abilities to avoid investment mistakes driven by behavioral biases and analyzes the … relationship between investment competence and the propensity to seek or rely on professional advice. We use novel survey data … demographic characteristics − investment competence is positively related to demand for financial advice. It appears that …
Persistent link: https://www.econbiz.de/10013006682
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Strategic complementarity and substitutability of investment strategies
Doskov, Nikolay; Hens, Thorsten; Schenk-Hoppé, Klaus Reiner - 2022
Institutional investors in equities tend to follow well-defined investment strategies, often based on factors such as … flows between investment strategies on the cross-section of their performance. We find that the correlation between factor …
Persistent link: https://www.econbiz.de/10012800936
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Risk Aversion in the Large and in the Small
Haug, Jørgen; Hens, Thorsten; Wöhrmann, Peter - Institutt for foretaksøkonomi, Norges Handelshøyskole … - 2011
Estimates of agents' risk aversion differ between market studies and experimental studies. We demonstrate that the estimates can be reconciled through consistent treatment of agents' tendency for narrow framing, regarding integration of background wealth as well as across risky outcomes: Risk...
Persistent link: https://www.econbiz.de/10009320815
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Risk aversion in the large and in the small
Haug, Jørgen; Hens, Thorsten; Woehrmann, Peter - In: Economics Letters 118 (2013) 2, pp. 310-313
Estimates of agents’ risk aversion differ between market studies and experimental studies. We demonstrate that these estimates can be reconciled through consistent treatment of agents’ propensity for narrow framing.
Persistent link: https://www.econbiz.de/10011041715
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International Evidence on the Equity Premium Puzzle and Time Discounting
Rieger, Marc Oliver; Hens, Thorsten; Wang, Mei - In: Multinational Finance Journal 17 (2013) 3-4, pp. 149-163
We examine time discounting factors in an international survey. Our analysis reveals a significant relationship between time discount factors and historical equity premiums across 27 countries. This result implies that higher historical equity risk premiums are observed in countries where survey...
Persistent link: https://www.econbiz.de/10011103236
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Two Paradigms And Nobel Prizes In Economics : A contradiction Or Coexistence?
De Giorgi, Enrico; Hens, Thorsten; Levy, Haim - 2003
Markowitz and Sharpe won the Nobel Prize in Economics more than a decade ago for the development of Mean-Variance analysis and the Capital Asset Pricing Model (CAPM). In the year2002, Kahneman won the Nobel Prize in Economics for the development of Prospect Theory....
Persistent link: https://www.econbiz.de/10005846386
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Prospect Theory and the CAPM - a contradiction or coexistence?
Levy, Haim; De Giorgi, Enrico; Hens, Thorsten - 2003
Under the assumption of normally distributed returns, we analyzewhether the Cumulative Prospect Theory of Tversky and Kahneman (1992) is consistent with the Capital Asset Pricing Model. We find that in every financial market equilibrium the Security Market Line Theorem holds....
Persistent link: https://www.econbiz.de/10005846387
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The dark side of the moon: structured products from the customer's perspective
Hens, Thorsten; Rieger, Marc Oliver - Institut für Schweizerisches Bankwesen <Zürich> - 2008
Structured financial products have gained more and more popularity in recent years, but nevertheless has their success so far notthoroughly been analyzed. In this article we develop a theoreticalframework for the design of optimal structured products and analyzethe maximal utility gain for an...
Persistent link: https://www.econbiz.de/10005857733