Wir entwickeln ein Modell für strategisches Spielverhalten bei Glücksspielen nach dem Totalisatorprinzip und wenden es auf die Fußballwettspiele Toto und Torwette an. Unter der Annahme, dass Buchmacherquoten die wahren Ausgangswahrscheinlichkeiten der betreffenden Fußballspiele reflektieren,...

The German market has seen a plunge in wholesale electricity prices from 2007 until 2014, when base futures prices dropped by more than 40 percent. In this paper we determine the fundamental components of electricity futures prices and quantify their impact on the price drop as well as on...

A model of profits switches between four regimes with fixed probabilities; the rationally expected profits stream implies the stock market value. This efficient market model is not rejected by UK post-war time-series behaviour of either profits or the FTSE index.

The transcript of a panel discussion marking the fiftieth anniversary of John Muth's "Rational Expectations and the Theory of Price Movements" (Econometrica 1961). The panel consists of Michael Lovell, Robert Lucas, Dale Mortensen, Robert Shiller, and Neil Wallace. The discussion is moderated by...

Even efficient financial markets may break down under periods of prolonged stress, especially when the ramification of an event is unclear. Political violence is such an event, sending immediate signals about possible impact on firm valuations but unclear information about the future viability...

Der Untersuchungsgegenstand der Arbeit ist die Darstellung der wichtigsten Anlegermotive bei Marktübertreibungen. Es wird dabei auf Konzepte der verhaltensorientierten Kapitalmarktforschung zurückgegriffen. Basierend auf den gewonnenen Erkenntnissen werden Lösungsansätze zur Vermeidung von...

We examine the various senses in which economist use the term “rationality” and then outline some of the commonly drawn implications and auxiliary assumptions. Finally, we confront the implications with the empirical evidence, drawing on the insights from the exciting new field of behavioral...

A popular interpretation of the Rational Expectations/Efficient Markets hypothesis states that, if the hypothesis holds, then market valuations must follow a random walk. This postulate has frequently been criticized on the basis of empirical evidence. Yet the assertion itself incurs what we...

A popular interpretation of the Rational Expectations/Efficient Markets hypothesis states that, if it holds, market valuations must follow a random walk; hence, the hypothesis is frequently criticized on the basis of empirical evidence against such a prediction. Yet this reasoning incurs what we...