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Entscheidungsregeln und ihr Einfluss auf den Aktienkurs

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  • Trifan, Emanuela
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    Abstract

    Der vorliegende Beitrag quantifiziert anhand eines Marktmikrostruktur-Modells mit asymmetrischer Information den Einfluss der Anwender praktischer Entscheidungsregeln auf die Aktienkurse. Letztere werden als unvollständig informierte Anleger betrachtet. Neben diesen Anlegern agieren auf dem Markt vollständig informierte, uninformierte Investoren und ein kompetitiver Market Maker, welcher periodisch zwei Transaktionskurse (Ask/Bid) festlegt. Der Einfluss der unvollständig informierten Anleger auf die Transaktionskurse erfolgt einerseits durch die Genauigkeit ihrer Information, anderseits durch ihren Anteil an der Gesamtheit der Investoren. Die ermittelte Preisspanne (Spread) ist positiv and weist eine c.p. positive Abhängigkeit von diesen beiden Faktoren auf. Eine mögliche Erklärung dafür bietet das Auftreten von Adverse Selektion.

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    Bibliographic Info

    Paper provided by Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute of Economics (VWL) in its series Darmstadt Discussion Papers in Economics with number 37282.

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    Date of creation: Mar 2004
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    Publication status: Published in Darmstadt Discussion Papers in Economics . 131 (2004-03)
    Handle: RePEc:dar:ddpeco:37282

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    9. David Easley & Soeren Hvidkjaer & Maureen O'Hara, 2002. "Is Information Risk a Determinant of Asset Returns?," Journal of Finance, American Finance Association, vol. 57(5), pages 2185-2221, October.
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