In der Vergangenheit führte die Globalisierung und Öffnung der Finanzmärkte zu größerer Kapital- und Dienstleistungsfreiheit und zur De-Regulierung des Finanzsektors. In jüngster Zeit ist jedoch eine Trendumkehr von der De-Regulierung zur Re-Regulierung zu beobachten...

On financial markets many investment decisions are taken by groups and not by individuals. The evidence, however, whether groups better than individuals, is ambigous. We analyze the portfolios of groups and individuals in an asset allocation task on an experimental market. We find that groups on...

This paper analyzes the effects that uncertainty about economic fundamentalshas on aggregate trading volume. First, the trading volume of an investor facinga standard consumption portfolio choice problem is derived. It is found that if theparameters describing the investment opportunity set...

In this paper we show that reputation formation in endogenously formed relationships is a decisive determinant for the existence and performance of credit markets. In theabsence of any third party enforcement of debt repayment the contracting parties succeed in establishing stable bilateral...

In this paper we show that measures of economic uncertainty (conditional volatilityof consumption) predict and are predicted by valuation ratios at long horizons. Furtherwe document that asset valuations drop as economic uncertainty rises — that is,financial markets dislike economic...

There is an extensive literature claiming that it is often difficultto make use of arbitrage opportunities in financial markets. Thispaper provides a new reason why existing arbitrage opportunitiesmight not be seized. We consider a world with short-lived securities,no short-selling constraints...

There is widespread evidence of excess return predictability in financial markets. In this paper we examine whether this predictability is related to expectational errors. To consider this issue, we use data on survey expectations of market participants in the stock market, the foreign exchange...

We establish an empirical link between the ex-ante uncertainty about macroeconomic fundamentals and the ex-post resolution of this uncertainty in financial markets. We measure macroeconomic uncertainty using prices of economic derivatives and relate this measure to changes in implied...

We show that the volatility of a price process, which is usuallyregarded as an impediment to financial growth, can serve as an en-dogenous factor in its acceleration.

We propose a new continuous time framework to study asset prices under learning and ambiguity aversion. In a partial information Lucas economy with time additive power utility, a discount for ambiguity arises if and only if the elasticity of intertemporal substitution (EIS) is above one. Then,...