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What Determines the Shape of the Probability Weighting Function under Uncertainty?

Kilka, Michael; Weber, Martin - Sonderforschungsbereich 504 "Rationalitätskonzepte, …; … - 1998

Decision weights are an important component in recent theories for decision making under uncertainty. To better explain these decision weights, a two stage approach has been proposed: first, the probability of an event is judged and then this probability is transformed by the probability...

Persistent link: https://www.econbiz.de/10005585788

What Determines the Shape of the Probability Weighting Function Under Uncertainty?

Kilka, Michael; Weber, Martin - In: Management science : journal of the Institute for … 47 (2001) 12, pp. 1712-1726

Persistent link: https://www.econbiz.de/10006089031

What Determines the Shape of the Probability Weighting Function Under Uncertainty?

Kilka, Michael; Weber, Martin - In: Management Science 47 (2001) 12, pp. 1712-1726

Decision weights are an important component in recent theories of decision making under uncertainty. To better explain these decision weights, a two-stage approach has been proposed: First, the probability of an event is judged and then this probability is transformed by the probability...

Persistent link: https://www.econbiz.de/10009218404

Risikomessung im Kreditgeschäft: Eine empirische Analyse bankinterner Ratingverfahren

Weber, Martin; Krahnen, Jan Pieter; Voßmann, Frank - Sonderforschungsbereich 504 "Rationalitätskonzepte, …; … - 1998

-Modelle deutliche Unterschiede zwischen quantitativen und qualitativen Kriterien existieren. Desweiteren kann nachgewiesen werden, daß … sowohl im Vergleich zwischen Kredit- und Anleiheratings als auch im Interbankenvergleich der Kreditratings Unterschiede in …

Persistent link: https://www.econbiz.de/10005463612

Prospect-Theory, Mental Accounting and Differences in Aggregated and Segregated Evaluation of Lottery Portfolios

Langer, Thomas; Weber, Martin - Sonderforschungsbereich 504 "Rationalitätskonzepte, …; … - 1999

If individuals have to evaluate a portfolio (or sequence) of lotteries their judgment is influenced by the portfolio presentation mode. Experimental studies (Redelmeier and Tversky, 1992, Benartzi and Thaler, 1998) found significantly higher acceptance rates for a sequence of lotteries, if the...

Persistent link: https://www.econbiz.de/10005463636

Risk-Value Efficient Portfolios and Asset Pricing

Franke, Guenther; Weber, Martin - Sonderforschungsbereich 504 "Rationalitätskonzepte, …; … - 1997

Portfolio choice is usually modelled by von Neumann-Morgenstern utility. Risk-value models are more general and permit the derivation of risk-value efficient frontiers. A behaviourally based risk measure with an endogenous or exogenous benchmark is used to derive effcient portfolios and to...

Persistent link: https://www.econbiz.de/10005463642

Der "Overconfidence Bias" und seine Konsequenzen in Finanzmärkten

Laschke, Andreas; Weber, Martin - Sonderforschungsbereich 504 "Rationalitätskonzepte, …; … - 1999

Individuen überschätzen häufig ihre Kenntnisse und Fähigkeiten oder die Qualität ihrer Information. Bei Entscheidungen … unter Unsicher-heit kann dies zu einer verzerrten Wahrnehmung der Erfolgswahrscheinlichkeit einer Entscheidung und im … Entstehungsursachen des "Overconfidence Bias" und unter-sucht dessen Konsequenzen in Finanzmärkten. …

Persistent link: https://www.econbiz.de/10005463687

Framing Effects in Stock Market Forecasts: The Difference Between Asking for Prices and Asking for Returns

Glaser, Markus; Langer, Thomas; Reynders, Jens; Weber, … - Sonderforschungsbereich 504 "Rationalitätskonzepte, …; … - 2005

In this study, we analyze whether individual expectations of stock returns are influenced by the specific elicitation mode (i.e. whether forecasters have to state future price levels or directly future returns). We thus examine whether there are framing effects in stock market forecasts. We...

Persistent link: https://www.econbiz.de/10005463700

Scale Dependence of Overconfidence in Stock Market Volatility Forecasts

Glaser, Markus; Langer, Thomas; Reynders, Jens; Weber, … - Sonderforschungsbereich 504 "Rationalitätskonzepte, …; … - 2008

In this study, we analyze whether volatility forecasts (judgmental confidence intervals) are influenced by the specific elicitation mode (i.e. whether forecasters have to state future price levels or directly future returns as upper and lower bounds). We present questionnaire responses of about...

Persistent link: https://www.econbiz.de/10005000290

Momentum and Turnover: Evidence from the German Stock Market

Glaser, Markus; Weber, Martin - Sonderforschungsbereich 504 "Rationalitätskonzepte, …; … - 2002

This paper analyzes the relation between momentum strategies (strategies that buy stocks with high returns over the previous three to 12 months and sell stocks with low returns over the same period) and turnover (number of shares traded divided by the number of shares outstanding) for the German...

Persistent link: https://www.econbiz.de/10005585757