Similar Search Results

How do Markets React to Fundamental Shocks? An Experimental Analysis on Underreaction and Momentum

Weber, Martin; Welfens, Frank - Sonderforschungsbereich 504 "Rationalitätskonzepte, …; … - 2007

We perform a market experiment to investigate how average transaction prices react to the arrival of new information. Following a positive shock in fundamental value, prices underreact strongly; following negative shocks we find evidence of a much less pronounced underreaction. After the shock,...

Persistent link: https://www.econbiz.de/10005585794

Reference Point Formation Over Time: A Weighting Function Approach

Baucells, Manel; Weber, Martin; Welfens, Frank - Sonderforschungsbereich 504 "Rationalitätskonzepte, …; … - 2007

Although the concept of reference point dependent preferences has been adopted to almost all fields of behavioral economics, especially marketing and behavioral finance, we still know very little about how decision makers form their reference points given a sequence of prices. Our paper provides...

Persistent link: https://www.econbiz.de/10005628199

An Individual Level Analysis of the Disposition Effect: Empirical and Experimental Evidence

Weber, Martin; Welfens, Frank - Sonderforschungsbereich 504 "Rationalitätskonzepte, …; … - 2007

The disposition effect describes investors’ common tendency of quitting a winning investment too soon and holding on to losing investments too long (Shefrin and Statman 1985). Our paper analyses individual level disposition effects using both account level field data as well as a controlled...

Persistent link: https://www.econbiz.de/10005761136

Reference-Point Formation and Updating

Baucells, Manel; Weber, Martin; Welfens, Frank - In: Management Science 57 (2011) 3, pp. 506-519

Reference-dependent preferences have been well accepted in decision sciences, experimental economics, behavioral finance, and marketing. However, we still know very little about how decision makers form and update their reference points given a sequence of information. Our paper provides some...

Persistent link: https://www.econbiz.de/10009214095

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

Corporate Governance and the Design of Stock Option Programs

Sautner, Zacharias; Weber, Martin - Sonderforschungsbereich 504 "Rationalitätskonzepte, …; … - 2005

Investors and academics increasingly criticize that features of employee stock option (ESO) programs reflect rent-extraction by managers (managerial power view). We use a unique European data set to investigate the relationship between the design of ESO programs and corporate governance...

Persistent link: https://www.econbiz.de/10005463617

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

Home Bias in International Stock Return Expectation

Kilka, Michael; Weber, Martin - Sonderforschungsbereich 504 "Rationalitätskonzepte, …; … - 1997

Persistent link: https://www.econbiz.de/10005463655

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