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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)

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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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Publisher 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
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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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Find related papers by JEL classification:
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Mortgages
G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage

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    Other versions:
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