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Entscheidungsregeln und ihr Einfluss auf den Aktienkurs

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  • Trifan, Emanuela

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.

Suggested Citation

  • Trifan, Emanuela, 2004. "Entscheidungsregeln und ihr Einfluss auf den Aktienkurs," Darmstadt Discussion Papers in Economics 131, Darmstadt University of Technology, Department of Law and Economics.
    • Handle: RePEc:zbw:darddp:dar_37282
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