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Asset Pricing bei heterogenen Erwartungen : Analyse der Auswirkungen von heterogenen Erwartungen auf Wertpapierpreise und Wertpapierpreisbewegungen
Schnelle, Pascal - 2009
Die neoklassische Kapitalmarkttheorie und die ihr zugeordneten Standard-Asset-Pricing-Modelle gehen grundsätzlich von … neoklassischen Kapitalmarkttheorie erscheint es als logische Konsequenz, dass sich in einigen Bereichen der Kapitalmarktforschung … wissenschaftlichen Schrifttum aber an einem Rahmenwerk, welches sich dem gesamten Forschungsbereich Kapitalmarkttheorie bei …
Persistent link: https://www.econbiz.de/10009448906
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Zur axiomatischen Fundierung und Struktur von Aktienkursindizes
Süslü, Mustafa Kemal - 2006
In dieser Arbeit werden weltweit wichtige Aktienkursindizes (AI´s) dargestellt, wobei eine axiomatische Untersuchung im Vordergrund steht. Von besonderer Bedeutung ist hierbei die Struktur, d.h. auch insbesondere die verwendeten Indexformeln und die eingesetzten Korrekturmethoden für den Fall...
Persistent link: https://www.econbiz.de/10009462195
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Der Indexeffekt am deutschen Kapitalmarkt und dessen Ursachen - eine theoretische und empirische Analyse unter besonderer Berücksichtigung des Einflusses fremdverwalteter Wertpapie...
Deininger, Claus - 2005
Bei der vorliegenden Arbeit handelt es sich um eine Untersuchung mit dem Ziel, die Reaktionen im Umfeld von Veränderungen der Zusammensetzung der großen deutschen Aktienindizes DAX, MDAX und HDAX zu ermitteln. Da in der idealtypischen Finanztheorie eine Indexauswechslung keine...
Persistent link: https://www.econbiz.de/10009433690
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Robust estimation of the optimal hedge ratio
Harris, Richard D. F.; Shen, Jian - 2003
When using derivative instruments such as futures to hedge a portfolio of risky assets, the primary objective is to estimate the optimal hedge ratio (OHR). When agents have mean-variance utility and the futures price follows a martingale, the OHR is equivalent to the minimum variance hedge...
Persistent link: https://www.econbiz.de/10009440947
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Analisis Pengaruh Nilai Tukar Rupiah /Us$ Dan Tingkat Suku Bunga Sbi Terhadap Indeks Harga Saham Gabungan Di Bursa Efek Jakarta Tahun 2007 – 2009
Agung, Mohammad - 2011
The purpose of this study was to determine the effect of the Rupiah / US $ and the SBI interest rate of composite stock price index at the Jakarta Stock Exchange in 2007 - 2009. The method of analysis used to investigate the effect of the rupiah / US $ and the SBI interest rate of composite...
Persistent link: https://www.econbiz.de/10009464691
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Benchmark Concentration: Capitalization Weights Versus Equal Weights in the FTSE 100 Index
Tabner, Isaac T. - 2009
Identifying a suitable benchmark is essential when testing asset pricing models, measuring the performance of active investors, or providing market proxy portfolios for passive investors. Concern that increased domination of capitalization weighted stock indices by a few large firms will lead to...
Persistent link: https://www.econbiz.de/10009465898
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Price discovery and volatility spillovers in index futures markets: Some evidence from Mexico
Zhong, Maosen; Darrat, Ali F.; Otero, Rafael - 2004
This paper investigates the hypotheses that the recently established Mexican stock index futures market effectively serves the price discovery function, and that the introduction of futures trading has provoked volatility in the underlying spot market. We test both hypotheses simultaneously with...
Persistent link: https://www.econbiz.de/10009448857
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Cost efficiency in Australian non-bank financial institutions: A non-parametric approach
Worthington, Andrew C. - 2000
A two-stage procedure is employed to evaluate non-bank financial institution cost efficiency. In the first stage, data envelopment analysis is used to calculate technical, allocative and cost efficiency indices using a sample of two hundred Australian credit unions. The results indicate that a...
Persistent link: https://www.econbiz.de/10009437438
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Transmission of equity returns and volatility in Asian developed and emerging markets : a multivariate Garch analysis
Worthington, Andrew C.; Higgs, Helen - 2004
This paper examines the transmission of equity returns and volatility among Asian equity markets and investigates the differences that exist in this regard between the developed and emerging markets. Three developed markets (Hong Kong, Japan and Singapore) and six emerging markets (Indonesia,...
Persistent link: https://www.econbiz.de/10009437447
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Losing Sleep At The Market: An Empirical Note On The Daylight Saving Anomaly In Australia
Worthington, Andrew C. - 2003
The ‘daylight saving effect’ predicts that the mean weekend return following the spring and fall/autumn changes in daylight saving time is less than the mean weekend return throughout the rest of the year. With this market anomaly, the change in market participants’ behaviour is linked...
Persistent link: https://www.econbiz.de/10009437465