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Wieweit tragen rationale Modelle in der Finanzmarktforschung?

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Author Info

  • Günter Franke

    ()
    (University of Konstanz)

  • Thomas Weber

    ()
    (University of Konstanz)

Abstract

In diesem Beitrag wird untersucht, inwieweit Erkenntnisse des Behavioral Finance erforderlich sind, um einerseits das kundenbezogene Wertpapiergeschäft von Banken und andererseits die Preisbildung auf Kapitalmärkten zu untersuchen. Es wird dargelegt, daß das kundenbezogene Wertpapiergeschäft von Banken in erheblichem Maß durch „irrationales“ Verhalten von Anlegern gekennzeichnet ist. Demgegenüber ist es sehr schwierig nachzuweisen, daß die beobachtbaren Wertpapierpreise durch „rationale“ Bewertungsmodelle nicht erklärt werden können. Verallgemeinerte Gleichgewichtsmodelle ermöglichen eine Vielzahl von Bewertungen. Lediglich Verletzungen der Arbitragefreiheit können als Indiz für „irrationales“ Verhalten gedeutet werden.

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Bibliographic Info

Paper provided by Center of Finance and Econometrics, University of Konstanz in its series CoFE Discussion Paper with number 06-09.

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Length: 25 pages
Date of creation: 01 Oct 2006
Date of revision:
Handle: RePEc:knz:cofedp:0609

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Related research

Keywords: Integer Count Hurdle; Copula Functions; Discrete Multivariate; Distributions; Foreign Exchange Market;

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References

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  1. Guntar Franke & Richard C. Stapleton & Marti G. Subrahmanyam, 1999. "When are Options Overpriced? The Black-Scholes Model and Alternative Characterizations of the Pricing Kernel," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-003, New York University, Leonard N. Stern School of Business-.
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  6. Günter Franke & Erik Lüders, 2006. "Return Predictability and Stock Market Crashes in a Simple Rational Expectations Model¤," CoFE Discussion Paper 06-05, Center of Finance and Econometrics, University of Konstanz.
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  11. Daniel, Kent & Hirshleifer, David & Subrahmanyam, Avanidhar, 2005. "Investor Psychology and Tests of Factor Pricing Models," Working Paper Series 2005-26, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
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