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Thaler, Richard H. (contributor) - 1993

Modern financial markets offer the real world's best approximation to the idealized price auction market envisioned in … economic theory. Nevertheless, as the increasingly exquisite and detailed financial data demonstrate, financial markets often … beyond the world of finance to suggest, very powerfully, the importance of pursuing behavioral approaches to other areas of …

Persistent link: https://www.econbiz.de/10002645246

Advances in behavioral finance ; Vol. 2

Thaler, Richard H. (contributor) - 2005

Persistent link: https://www.econbiz.de/10002933533

Advances in Behavioral Finance, Volume II

Thaler, Richard H. (contributor) - 2005 - Course Book

the first volume, it reaches beyond the world of finance to suggest, powerfully, the importance of pursuing behavioral …

Persistent link: https://www.econbiz.de/10014488529

Multivariate crash risk

Chabi-Yo, Fousseni; Huggenberger, Markus; Weigert, Florian - 2019 - This version: February 2019

This paper investigates whether multivariate crash risk is priced in the cross- section of expected stock returns. Motivated by a theoretical asset pricing model, we capture the multivariate crash risk of a stock by a combined measure based on its expected shortfall and its multivariate lower...

Persistent link: https://www.econbiz.de/10011993538

Multivariate crash risk

Chabi-Yo, Fousseni; Huggenberger, Markus; Weigert, Florian - 2021 - This version: May 21, 2021

This paper investigates whether multivariate crash risk (MCRASH), defined as exposure to extreme realizations of multiple systematic factors, is priced in the cross-section of expected stock returns. We derive an extended linear model with a positive premium for MCRASH and we empirically confirm...

Persistent link: https://www.econbiz.de/10012585546

Multivariate crash risk

Chabi-Yo, Fousseni; Huggenberger, Markus; Weigert, Florian - In: Journal of financial economics 145 (2022) 1, pp. 129-153

Persistent link: https://www.econbiz.de/10013473731

Asset price and wealth dynamics with heterogeneous expectations : a deterministic nonlinear structural model approach

Heitger, Florian - 2010

Based on a classical financial market model different model variants known from the literature are discussed and analyzed, each focussing on modeling financial markets as a nonlinear dynamic system by introducing the formation of (heterogeneous) beliefs about future asset prices into the model...

Persistent link: https://www.econbiz.de/10008664303

Gleichgerichtetes Verhalten am Aktienmarkt : eine Verbindung ökonomischer, psychologischer und soziologischer Ansätze

Hoffmann, Carsten - 2001

Persistent link: https://www.econbiz.de/10001553445

Erklärung von "Mean Reversion" auf internationalen Aktienmärkten

Tolksdorf, Norbert - 2002

Persistent link: https://www.econbiz.de/10001671445

Erklärung von "Mean Reversion" auf internationalen Aktienmärkten

Tolksdorf, Norbert - 2002

dem spezifizierten Inferenzraum extrahierten Signale am Beispiel des DJGI World (Total Return Index) zu überprüfen und das …

Persistent link: https://www.econbiz.de/10011402080