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Diese Dissertation untersucht die Qualität, d.h. sowohl die Liquidität als auch die Preiseffizienz, von Warentermin- und Optionsmärkten. Kapitel 1 führt in das Thema ein und gibt einen Überblick. In Kapitel 2 werden die am besten geeigneten Niederfrequenz-Proxies für die Analyse der Qualität von Rohstoffmärkten identifiziert. Wir verwenden eine 11-jährige Stichprobe von Orderbuchdaten im Millisekundenbereich und untersuchen die Korrelation von hochfrequenten Liquiditäts- und Preiseffizienzmaßen mit niederfrequenten Schätzwerten, die mit täglichen oder 5-minütigen Time-and-Sales-Daten (TAS) gemessen werden. Wir stellen fest, dass für die Liquidität Volatilität-über-Volumen-Maße die besten Näherungswerte für die Geld-Brief-Spanne und den Preiseinfluss sind. Die Korrelation der Preiseffizienzmaße mit ihren Pendants in der Tagesfrequenz ist gering. Mäßig korrelierte Näherungswerte können durch die Verwendung von 5-Minuten-Daten erreicht werden. Kapitel 3 untersucht die Qualität der Warenterminmärkte unter Verwendung der zuvor ermittelten besten Schätzern. Wir untersuchen die Auswirkungen von zwei wichtigen Veränderungen: (1) Der Zustrom von Indexinvestoren nach 2004 (Finanzialisierung) und (2) die Einführung des Parallelhandels von Parkett- und elektronischen Limit-Orderbüchern um Mitte 2006 (Elektronifizierung). Unsere Stichprobe besteht aus täglichen Messungen der Liquidität und der Intraday-Informationseffizienz, die die Jahre 1996 bis 2018 umfassen. Wir stellen fest, dass sich die Marktqualität im Untersuchungszeitraum verbessert hat, auch und gerade in den Jahren der Finanzialisierung und Elektronifizierung. Diese Verbesserungen scheinen bei Rohstoffen, die Teil eines großen Index sind, stärker ausgeprägt zu sein. Darüber hinaus verwenden wir verschiedene Datensätze mit aggregierten Positionen, die von der Commodity Futures Trading Commission (CFTC) kuratiert werden, finden aber keine Hinweise auf eine schädliche Auswirkung von Indexhandelsaktivitäten auf die Qualität der Rohstoffmärkte. Trotz eines starken Anstiegs des offenen Interesses von Rohstoffindexhändlern (CITs) an Sojaschrot im Januar 2013, als dieses in den Bloomberg Commodity Index (BCOM) aufgenommen wurde, hat sich die Qualität des Sojaschrot-Futures-Marktes nicht verschlechtert. Schließlich ermöglicht es uns unser umfassender Datensatz, die Marktqualität an den Indexrolltagen vor und nach der Finanzialisierung zu vergleichen. In Übereinstimmung mit unseren früheren Ergebnissen hat sich die Marktqualität an den Indexrolltagen nicht verschlechtert, sondern leicht verbessert. Insgesamt zeigen die Ergebnisse, dass die Finanzialisierung der Rohstoffmärkte der Marktqualität nicht geschadet hat, sondern vielmehr mit Verbesserungen einherging. Die Umstellung auf elektronische Limit-Orderbücher hatte positive Auswirkungen. Motiviert durch den Nachweis aus Kapitel 2, dass die Markteffizienz verrauscht ist, und den ausbeleibender Hinweise auf schädlichen Indexhandel unter Verwendung wöchentlicher aggregierter Positionsdaten in Kapitel 3, kombinieren wir in Kapitel 4 5-Minuten-WTI-ETF-, Options- und Futures-Daten, um in der Lage zu sein, sehr kurzlebige Ineffizienzen auf eine weniger verrauschte, fast modellfreie Weise zu messen. Auf diese Weise können wir die Rolle des ETF-Handels auf den Rohöl-Futures- und Optionsmärkten der New York Mercantile Exchange (NYMEX) für West Texas Intermediate (WTI) untersuchen. Wir ermitteln und modellieren Put-Call-Paritätsabweichungen bei kurzfristigen at-the-money (ATM) und ihren zugrunde liegenden Futures im 5-Minuten-Takt zwischen Januar 2010 und Oktober 2021. Anschließend setzen wir diese mit dem ETF- und Futures-Handel in Beziehung. Unsere Ergebnisse deuten darauf hin, dass diese Trades wahrscheinlich informiert sind, aber nicht zur Ausnutzung von Arbitragemöglichkeiten getätigt werden. Dies bedeutet, dass durchschnittliche Finanzinvestoren einen vorübergehenden Einfluss auf den Preis haben, der jedoch eher auf das Risiko der negativen Auswahl der Market Maker zurückzuführen ist als auf das Bestandsrisiko, das durch große direktionale Trades entsteht. Unsere Ergebnisse unterstreichen die Verwendung von ETFs als Alternative für den informierten Handel selbst auf hochliquiden Märkten. Kapitel 5 schließt mit einem Ausblick auf offene Fragen und mögliche Wege für zukünftige Forschung.

In einer Zeit der Niedrigzinspolitik suchen InvestorInnen nach gewinnversprechenden Anlagemöglichkeiten. Und in diesem Fall führen Investmententscheidungen zu einem möglichen Gewinn oder Verlust von Vermögen. Daher ist es von Bedeutung sich bestens zu informieren und sich an den erfolgversprechendsten Analyseindikatoren zu orientieren. Aus diesem Grund beschäftigt sich diese Masterarbeit mit der Forschungsfrage: Momentum-Trading und Markteffizienz bei Kryptowährungen. Im Zuge der Beantwortung der Forschungsfrage wird auf die Haupthypothese: Momentum-Effekte sind bei Kryptowährungen erfolgreich, eingegangen. Die Datenerhebung erfolgt sekundärstatistisch, anhand der Heranziehung der Schlusskurse aus dem Finanztool Bloomberg der Kryptowährungsbörse Bitstamp. Die Überprüfung der Haupthypothese findet durch eine Datenanalyse nach der Inferentiellen Statistik mittels einer Regression statt. Anschließend werden die Auswertungen in Excel ausgeführt. Anhand der Berechnungen sowie der Auswertungen kann geschlussfolgert werden, dass ein Momentum-Effekt (jedoch abhängig vom Beobachtungszeitraum) auch bei Kryptowährungen erkennbar ist. Aus diesem Grund kann keine Markteffizienz nach dem CAPM bejaht werden. Dies vor dem Hintergrund, dass der Momentum-Effekt bei Aktien bereits erforscht ist, bei Kryptowährungen jedoch noch nicht umfänglich. Diese, in dieser Masterarbeit, erforschten Erkenntnisse sind für zukünftige Veranlagungen in Kryptowährungen für Finanzmarktakteure (Banken, Vermögensverwalter, aber auch für Privatanleger) für die Abschätzung von Trading-Strategien (Kauf, Verkauf oder Halten) von Bedeutung. Finanzmarktakteure sollen anhand dieser Arbeit die Erkenntnis gewinnen, ob es auch bei Kryptowährungen Sinn macht auf den Frühindikator Momentum im Zuge einer Veranlagung zu setzen. *****In a time of low interest rate policy, investors are looking for promising investment opportunities. In this case, investment decisions decide on a possible profit or loss of the created ca

Diese Arbeit beschäftigt sich überschlagsmäßig mit zwei Forschungsgebieten im Bereich des Machine Learnings. Als Teilbereich der künstlichen Intelligenz stellt Machine Learning mitunter eine der Spitzentechnologien heutiger Zeit da. Aufgrund des anhaltenden Interesses und der vermehrten Popularität nimmt die Verwendung der KI- Methodik stetig zu. Durch dessen Anwendung können selbst komplexeste Aufgabenstellungen gelöst und oftmals Ergebniserwartungen übertroffen werden. Einzelne empirische Publikationen propagieren maßgebliche Erfolge beim Einsatz von Machine Learning Modellen zur Vorhersage von künftigen Aktienpreisen. Diese weisen jedoch eine geringe fundamentale Basis und nicht die notwendige Generalisierung auf. In einem ersten Schritt behandelt diese Arbeit die Vorhersage des Aktienkurses anhand ausgewählter neuronaler Netzwerke. Die abgeleiteten Resultate werden als nächstes einem Benchmark gegenübergestellt, damit eine Aussage bezüglich der Vorhersagekraft getroffen werden kann. Die direkte Gegenüberstellung mit den Ergebnissen einer naiven Vorhersage zeigte keine Verbesserung des Modells. Als Begründung dieser Beobachtung wird unter anderem auf die Effizienzmarkthypothese und die Random Walk Theorie verwiesen. Aufbauend auf diesen Ergebnissen führt die Arbeit in die Entwicklung von Investmentstrategien mittels Reinforcement Learnings über. Mithilfe von iterativen Verbesserungsschritten konnte eine Strategie entwickelt werden, die über Beobachtungszeitraum Gewinne erzielte. Zusätzlich konnte die Überrendite gegenüber von traditionellen Investmentstrategien bewiesen werden. This thesis investigates on two research areas in the field of machine learning. As a sub-area of artificial intelligence, machine learning is one of today´s cutting-edge technologies. Due to the continued interest and increased popularity, the use of AI methodology is steadily increasing. With its application, even the most complex tasks can be solved and expected results can often be exceeded. Individual empirical publications propagate significant successes in the use of machine learning models to predict future stock prices. However, these have a poor fundamental basis and do not have the necessary generalization. In a first step, this thesis deals with the prediction of the share price using selected neural networks. The derived results are then compared to a benchmark so that a statement can be made regarding the predictive power. The direct comparison with the results of a naive prediction showed no improvement in the model. The reasons for this observation include the efficiency market hypothesis and the random walk theory. Building on these results, the work leads to the development of investment strategies using Reinforcement Learning. With the help of iterative improvement steps, it was possible to develop a strategy that generated profits over the observation period. In addition, the excess return compared to traditional investment strategies could be proven. vorgelegt von: Alexander Prinz Wien, FH Campus Wien, Masterarb., 2021

Author Pöschl Philipp Abweichender Titel laut Übersetzung der Verfasserin/des Verfassers Universität Linz, Masterarbeit, 2019 (VLID)4366257

In der Forschung gibt es verschiedene Ansätze, mittels derer die Dynamik von Aktienkursen beschrieben werden kann. Einige gehen von einer aufgrund der effizienten Informationsversorgung zufälligen Dynamik aus. Andere wiederum sehen die Dynamik als nicht ausschließlich zufällig und nehmen daher an, dass sie sinnvolle Informationen über Unternehmen und deren Kontextbedingungen liefern kann. Aufgrund der technologischen Fortschritte ist die Wissenschaft besser denn je in der Lage, diese Dynamik zu untersuchen. So werden beispielsweise die Zeitreihen immer aussagekräftiger und umfassen längere Zeitspannen. Außerdem ermöglichen computergestützte Technologien eine immer effektivere und effizientere Auswertung dieser Zeitreihen. In der vorliegenden Arbeit wird die Aktienkursdynamik mithilfe der Methodik der fraktalen Dimensionen analysiert. Die fraktale Dimensionalität kann als ein Indikator der Komplexität einer Dynamik verstanden werden. Eine Untersuchung des Zusammenhangs zwischen der Komplexität der Aktienkursdynamik und bestimmten Eigenschaften dieser Unternehmen ist für die Identifikation möglicher Komplexitätstreiber notwendig. Die vorliegende wissenschaftliche Arbeit hat zwei Hauptziele. Zuerst soll die Komplexität der Dynamik der Aktienkurse bestimmter IT-Unternehmen aus dem S&P 500 Index gemessen und untersucht werden. In einem nächsten Schritt sollen dann die Zusammenhänge zwischen der gemessenen Komplexität und bestimmten organisatorischen und finanziellen Variablen bestimmt werden. Einer der Forschungsbereiche, der in der Lage ist, die Aktienkursdynamik zu beschreiben, ist die Chaosforschung. In der vorliegenden Arbeit wird die aus diesem Bereich stammende Methode der fraktalen Dimensionalität der Zeitreihen verwendet. Hier werden die Konzepte der fraktalen Geometrie für die Analyse der Zeitreihen mit dem Ziel, den Phasenraum der Dynamik zu rekonstruieren und seine fraktale Dimension zu bestimmen, verwendet. Kann für eine Aktienkursdynamik eine fraktale Dimension nachgewiesen werden, so sollte der Attraktor dieser Dynamik das Chaos sein und sie kann als komplex bezeichnet werden. Die notwendige Voraussetzung für eine sinnvolle Messung der Komplexität der Aktienkursdynamik ist daher die Annahme, dass sich diese Dynamik nicht-zufällig verhalten kann. Eine Nicht-Zufälligkeit von Aktienkursdynamiken ist laut dem Random Walk-Konzept und der Hypothese effizienter Märkte ausgeschlossen, nicht aber laut einer Reihe neuerer Theorien wie zum Beispiel der verhaltensorientierten Finanzmarkttheorie (engl. Behavioral Finance) oder der Hypothese der adaptiven Märkte (engl. Adaptive Market Hypothesis). Die vorliegende Arbeit stellt eine hypothesenprüfende Studie dar. Zur Datenerhebung wird die Methode der Beobachtung angewendet. Es werden Messungen von fraktalen Dimensionen sowie eine Regressionsanalyse durchgeführt. Die Messung der Komplexität der Dynamik der Aktienkurse erfolgt mithilfe der fraktalen Dimensionen D2 und PD2. Nach der Messung der Komplexität wird untersucht, ob, und wenn ja, welche Zusammenhänge zwischen der Komplexität der Aktienkursdynamik und bestimmten Variablen der Fundamentalanalyse bestehen. Wenn Zusammenhänge bestehen, kann angenommen werden, dass bestimmte organisatorische oder finanzielle Variablen Komplexitätstreiber der Aktienkursdynamik darstellen. Beim Großteil der analysierten Unternehmen war es möglich, eine Komplexitätskennzahl ihrer Aktienkursdynamik zu bestimmen. Dies kann als Nachweis der Nicht-Zufälligkeit der Aktienkursdynamik interpretiert werden, was im Gegensatz zu der Hypothese effizienter Märkte und dem Random Walk-Konzept steht. Für die im nächsten Schritt untersuchten Korrelationen zwischen der Komplexitätskennzahl und bestimmten organisatorischen und finanziellen Variablen wurden großteils keine statistisch signifikanten Zusammenhänge gefunden, mit der Ausnahme des Gewinns vor Steuern und Zinsen (EBIT). Jedoch besteht auch in Bezug auf diesen Zusammenhang weiterer Forschungsbedarf. There are various approaches that can be used to describe the dynamics of stock prices. Some authors claim this dynamic is random because of the perfect distribution of information. On the other hand, there are others who claim that this dynamic is not entirely random and can therefore represents a source of meaningful information regarding the underlying companies or other entities of interest. Generally, it can be said that because of many advances in technology, science is nowadays more capable to investigate this dynamic than ever before. For example, the time series data are becoming more and more informative; encompassing longer and longer time spans and the methodology used to analyse these time series is becoming more effective and efficient. In the paper the dynamics of stock prices is analysed with the help of fractal dimensions. The fractal dimension can be understood as an indicator of the complexity of a given dynamics. Therefore, it would be relevant for the research to examine the relationship between the complexity of stock price dynamics and certain characteristics of companies in order to identify potential complexity drivers. This scientific paper has two main goals. The first goal is to measure and examine the complexity of the stock price dynamics of the particular IT companies that are included in the S&P 500 Index. In the next step, the relationships between the measured complexity and the specific organizational and financial variables of those companies are being examined. One of the research areas that is able to describe this dynamic is chaos research. The method of chaos research used in this paper is the fractal dimensionality of the time series data. Here, the concepts of fractal geometry are used in the analysis of the time series data, with the aim to reconstruct the phase space of the focal dynamics and to determine its fractal dimension. If the fractal dimension can be proved for the focal stock price dynamic, it can be assumed that the attractor of this dynamic is chaos; therefore this dynamic can be described as complex. The necessary prerequisite for the meaningful measurement of the complexity of the stock price dynamics is the non-random behaviour of the stock price dynamics, which should be excluded according to the random walk model and the efficient market hypothesis. However, the assumption of non-randomness of stock price dynamics is supported by a number of contemporary theories, such as: behavioral finance and the adaptive market hypothesis. The data collection method is the observation and the focus of the paper is put on testing the formulated hypotheses. The methodology includes the measurements of fractal dimensions, as well as the regression analysis. The concrete methodologies used in this paper to measure the complexity of the dynamics of stock prices are D2 and PD2. After the complexity has been measured, it will be examined whether there are relationships and what kind of relationships between the complexity of the stock price dynamics and the particular variables of the fundamental analysis exist. If it will be proven that such relationships exist, it can be assumed that the particular organizational or financial variable represents a certain complexity driver of the stock price dynamics. For most of the analyzed companies, it was possible to determine a complexity index of their stock price dynamics. This can be interpreted as proof of the non-randomness of stock price dynamics, which is contrary to the efficient market hypothesis and the random walk model. For the correlations between the complexity index and certain organizational and financial variables examined in the next step, mostly no statistically significant correlations were found, with the exception of earnings before interest and taxes (EBIT). However, on the basis of the conducted study a causal relationship between these two variables cannot be definitely confirmed. Further research therefore needs to be conducted. vorgelegt von: Antonio Pesa Wien, FH Campus Wien, Masterarb., 2018

Die Untersuchung widmet sich den Chancen auf Überrendite am deutschen Aktienmarkt seit 2002 unter Anwendung von klassischen Value- (KGV, KBV, KUV) und Growth-Strategien (Gewinnmarge, PEG, RS). Derartige Momentumstrategien widersprechen Effizienzkriterien, wenn sie erfolgreich sind. Märkte gelten als weitgehend effizient. Trotzdem werden Momentumstrategien durchgeführt und zeigen Erfolge. Für die vorliegende Untersuchung wählen wir Momentumstrategien, die einer besonders einfachen Handelsregel unterliegen. Es ist nur eine einzige Portfoliorevision im Jahr notwendig. Die Haltedauern variieren zwischen einem und fünf Jahren. Damit sind die Transaktionskosten im engen und weiten Sinne (d. h. Handelskosten einschließlich des Vorbereitungs- und Entscheidungsaufwandes) besonders niedrig. Untersucht werden deutsche Aktien der DAX-Familie mit Daten von 2001 bis 2016. Im Ergebnis zeigt sich, dass Portfolios, die nach KBV oder KUV optimiert wurden, deutliche Überrenditen von bis zu 10 % p. a. im Mittel über den gesamten Zeitraum gerechnet erzielen konnten. Damit können Untersuchungen wie die von ARTMANN ET AL. (2012) bestätigt werden. Die stärkste Überrendite erzielte die Relative Stärke bei einjähriger Haltedauer. Kombiniert man Momentumstrategien (hier das KBV) mit sicheren Assets (Staatsanleihen), was aktive Balanced-Mandate simuliert, erhält man hohe mittlere Überrenditen bei verringerter Standardabweichung der Renditen. Entgegen vieler Untersuchungen sind nicht alle Momentumstrategien erfolgreich. Es gibt auch Varianten, die mit negativen Überrenditen verbunden sind. Allerdings basierten alle wenig erfolgreichen Strategien dieser Untersuchung auf dem KGV, sodass in weiteren Studien zu prüfen wäre, ob das KGV, eventuell bedingt durch seine weite Verbreitung, prinzipiell als Kenngröße für Trading-Strategien ausscheidet. This study examines chances to achieve excess returns at the German stock market since 2002. We use well-known value investing (P/E, P/B, P/S) and growth investing strategies (profit margin, PEG, RSI). If such momentum strategies are successful they contradict market efficiency. Markets are considered to be close to efficient. However, momentum strategies are used and show positive results. In this study we used momentum strategies following simple rules. There is a single revision of the portfolio every year. The portfolio could be held between one to five years. Thereby, transaction costs are extremely low – in a narrower as well as in a broader sense (i. e. costs for trading and decision making costs). We examined German stocks between 2001 and 2016 which were listed in the four big German stock indices (DAX, MDAX, SDAX, TecDAX). P/B and P/S optimized portfolios show an obvious excess return of up to 10 % p. a. over the entire considered period, so we could confirm the results of ARTMANN ET AL. (2012). However, we received the most significant excess return with the one year portfolio of relative strength. As a second step, we combined the successful value strategy of P/B investing with sovereign bonds to simulate a balanced portfolio. The excess return is high while at the same time reducing the risk compared to the simple P/B strategy. In contrast to results of some other research, momentum strategies are not always successful. Some of them achieve negative excess returns. But all unsuccessful strategies in this survey are based on the P/E ratio. Therefore other research should figure out if the widely used R/E ratio is a successful trading strategy at all.

Der Stabilitäts- und Wachstumspakt soll dazu beitragen, dass die Mitgliedstaaten der Europäischen Währungsunion die Verschuldungskriterien einhalten. Welche Funktion können dabei die Kapitalmärkte ausüben? Gibt es Ineffizienzen auf dem Markt für Staatsschulden? Wie können die EU-Kommission als Wettbewerbsbehörde, die Europäische Zentralbank und die Bank für Internationalen Zahlungsausgleich hinsichtlich der Finanzmarktaufsicht zur Stärkung der Märkte beitragen?

Zahlreiche empirische Studien haben über einen Zeitraum von 65 Jahren hinweg niedrige Preis-Qualitäts-Korrelationen ergeben. Die Koeffizienten liegen in der Größenordnung von 0.2. Dass der Preis auf Konsumgütermärkten kein guter Qualitätsindikator ist, wurde häufig als informelles Marktversagen interpretiert. Die in dieser Dissertation zusammengefassten Arbeiten gelangen jedoch zu der Schlussfolgerung, dass niedrige Preis-Qualitäts-Korrelationen durchaus ökonomisch begründbar sind. Die Arbeiten gehen zudem davon aus, dass der Preis nach der ökonomischen Theorie der Preisbildung kein Qualitäts-Indikator, sondern ein Knappheits-Indikator ist. Daraus lässt sich ableiten, dass funktionsfähige Märkte auch unter normativen Gesichtspunkten im Interesse einer guten Versorgung mit Gütern hoher Qualität durch niedrige oder sogar negative Koeffizienten gekennzeichnet sein sollten. For more than 60 years, numerous studies have shown low price-quality correlations on consumer goods markets. The coefficients are mostly close to 0.2. That prices fail to function as valid indicators of product quality has often been interpreted as informational market failure. This dissertation, however, argues, that, according to the economic theory of price formation, prices are not an indicator of quality, but an indicator of scarcity. This allows the conclusion that workable consumer goods markets, at least as seen from the consumers point of view, should be characterized by low or even negative correlation coefficients rather than by strong positive coefficients.

Die Bildungsminister der EU-Mitgliedstaaten haben sich darauf geeinigt, einen europäischen Hochschulraum zu schaffen. Damit soll nicht nur die Wettbewerbsfähigkeit der Studierenden, sondern auch die der europäischen Hochschulausbildung erhöht werden. Wie kann diese Reform umgesetzt werden? Können Ranking-Verfahren von Hochschulen aus dem US-amerikanischen Bildungssystem herangezogen werden? Wie lassen sich diese Ansätze auf Europa übertragen?

This paper reports results from a series of laboratory experiments designed to evaluate the impact of exposure risk on market performance. Exposure risk arises when there are complementarities between trades, e.g. when the purchase of a new house requires selling the old one. The continuous double auction (CDA), which has proven to be remarkably effective in a wide variety of settings, performs poorly in a treatment with high exposure risk: overall market efficiency is only 20% and there are many instances of no trade. In a parallel treatment with lower exposure risk, efficiency under the CDA is higher (55%) but is dominated, for instance, by a top-trading-cycles procedure that uses no money. The CDA's poor performance does not depend on whether house values are private information or common knowledge, indicating that exposure risk is due to strategic uncertainty not objective uncertainty about others' preferences. We introduce a simple package market and show that it effectively resolves exposure risk: efficiency levels are 82% and 89% respectively for the low and high exposure treatments. The proposed package market is a simple extension of the CDA and could potentially be applied in a variety contexts.

Traders' values and information typically consist of both private and common-value elements. In such environments, full allocative efficiency is impossible when the private rate of information substitution differs from the social rate (Jehiel and Moldovanu, 2001). We link this impossibility result to a failure of the efficient market hypothesis, which states that prices adequately reflect all available information (Fama, 1970, 1991). The intuition is that if prices were able to reveal all information then the common value would simply shift traders' private values by a known constant and full allocative efficiency would result. In a series of laboratory experiments we study price formation in markets with private and common values. Rational expectations, which form the basis for the efficient market hypothesis, predict that the introduction of common values has no adverse consequences for allocative and informational efficiency. In contrast, a "private" expectations model in which traders' optimal behavior depends on both their private and common-value information predicts that neither full allocative nor full informational efficiency is possible. We test these competing hypotheses and find that the introduction of common values lowers allocative efficiency by 28% on average, as predicted by the private expectations model, and that market prices differ significantly and substantially from their rational expectation levels. Finally, a comparison of observed and predicted payoffs suggests that observed behavior is close to the equilibrium predicted by the private expectations model.

Matthias Pachler Zsfassung in dt. und engl. Sprache Graz, Univ., Masterarb., 2012

Regulations in the pre-Sarbanes–Oxley era allowed corporate insiders considerable flexibility in strategically timing their trades and SEC filings, for example, by executing several trades and reporting them jointly after the last trade. We document that even these lax reporting requirements were frequently violated and that the strategic timing of trades and reports was common. Event study abnormal re-turns are larger after reports of strategic insider trades than after reports of otherwise similar nonstrategic trades. Our results also imply that delayed reporting is detrimental to market efficiency and lend strong support to the more stringent trade reporting requirements established by the Sarbanes–Oxley Act. JEL Classification: G14, G30, G32 Keywords: Insider Trading , Directors' Dealings , Corporate Governance , Market Efficiency

To explore why bubbles frequently emerge in the experimental asset market model of Smith, Suchanek and Williams (1988), we vary the fundamental value process (constant or declining) and the cash-to-asset value-ratio (constant or increasing). We observe high mispricing in treatments with a declining fundamental value, while overvaluation emerges when coupled with an increasing C/A-ratio. A questionnaire reveals that the declining fundamental value process confuses subjects, as they expect the fundamental value to stay constant.Running the experiment with a different context (stocks of a depletable gold mine instead of stocks) significantly reduces mispricing and overvaluation as it reduces confusion.

When workers send applications to vacancies they create a network. Frictions arise because workers typically do not know where other workers apply to and firms do not know which candidates other firms consider. The first coordination friction affects network formation, while the second coordination friction affects network clearing. We show that those frictions and the wage mechanism are in general not independent. The wage mechanism determines both the distribution of networks that can arise and the number of matches on a given network. Equilibria that exhibit wage dispersion are inefficient in terms of network formation. Under complete recall (firms can go back and forth between all their candidates) only wage mechanisms that allow for ex post Bertrand competition generate the maximum matching on a realized network.

We introduce financial frictions in a two sector model of international trade with heterogeneous agents. The level of specialization in the economy (economic development) depends on the quality of financial institutions. Underdeveloped financial markets prohibit an economy to specialize in sectors where finance is important. Capital flows and international trade are complements when countries differ in the degree of development of their financial sectors. Capital flows to countries with more robust financial institutions which in turn allow their economies to develop sectors that are financially dependent.

The authors study a simple model of an asset market with informed and non-informed agents. In the absence of non-informed agents, the market becomes information efficient when the number of traders with different private information is large enough. Upon introducing non-informed agents, the authors find that the latter contribute significantly to the trading activity if and only if the market is (nearly) information efficient. This suggests that information efficiency might be a necessary condition for bubble phenomena—induced by the behavior of non-informed traders—or conversely that throwing some sands in the gears of financial markets may curb the occurrence of bubbles.

Extending the controversial findings from the relevant literature, the results from the quarterly transaction-based Nationwide indices from 1974 to 2009 provide further empirical evidence on the rejection of the weak-form version of efficiency in the U.K. housing market. In addition to conducting parametric and non-parametric tests, we apply technical trading strategies to test whether or not the inefficiencies can be exploited by investors earning excess returns. The empirical findings from the technical trading strategies support the results from the statistical tests and suggest that investors might be able to obtain excess returns from both autocorrelation- and moving average-based strategies compared to a buy-and-hold strategy for 10 out of 14 markets.

This paper tests the random walk hypothesis and market efficiency for twelve emerging as well as for four developed securitized real estate markets from 1992 to 2009. Random walk properties of equity prices influence return dynamics, and market efficiency is often considered an essential criterion in the assessment of the functionality of markets and the asset pricing process, which is of significant relevance for emerging markets in particular. The analysis is based on autocorrelation tests as well as both single variance and multiple variance ratio tests. Furthermore, non-parametric runs tests are conducted. Empirical evidence shows that the efficient market hypothesis in its weak form is not rejected by any statistical test for seven of the twelve analyzed emerging securitized real estate markets. This result is surprising since all four developed securitized real estate stock markets analyzed in this study do not follow a random walk. The results are confirmed by the analysis of excess returns following from technical trading rules.

We study the implementation of brokerage regulations as allocation mechanisms in wholesale markets in pre-modern Central Western Europe. We assemble a data set of 1609 sets of brokerage rules from 70 cities. We analyze the incentives created by the rules that were implemented, compare cities that implemented brokerage to cities that did not, and analyze the choice of how brokers should be compensated and the effect this has on market outcomes. Empirically, we find that larger cities, cities with trade-geographic advantages, cities with merchant interests, and cities with universities were more likely to implement brokerage. We also find that brokers were more likely to be compensated with price-based fees in markets with greater heterogeneity in products and preferences, and with unit fees in markets for more homogeneous products – exactly as our theoretical analysis suggests is optimal.

This paper argues that the consequences of the ‘fragmentation’ of the European patent system are more dramatic than the mere prohibitive costs of maintaining a patent in force in many jurisdictions. First, detailed analysis of judicial systems in several European countries and four case studies provide evidence suggesting that heterogeneous national litigation costs, practices and outcome induce a high level of uncertainty. Second, a high degree of managerial complexity results from systemic incongruities due to easier ‘parallel imports’, possible ‘time paradoxes’ and the de facto paradox of having EU-level competition policy and granting authority ultimately facing national jurisdictional primacy on patent issues. These high degrees of uncertainty and complexity contribute to reduce the effectiveness of the European patent system and provide additional arguments in favour of the Community patent and a centralized litigation in Europe., info:eu-repo/semantics/published

We study the interaction between competitive markets that produce large but unequally distributed welfare gains and elections through which the poor majority can redistribute income away from the rich minority. In our simple laboratory democracy, subjects first earn their income by trading in a double auction market and thereafter vote on redistributive policies in two-candidate elections. In addition, in one of the treatments subjects can attempt to influence the candidates' policy choices by transferring money to them. We observe very high levels of redistribution - even when transfers to candidates are possible - with little effect on market efficiency. Overall, the experimental results are explained by our equilibrium predictions.

In the homogenous good case, the relationship between market struc- ture and efficiency was studied extensively. Assuming a standard quadratic utility with quantity competition, this paper carries on the analysis in a differentiated good context. It can be shown that there is a positive re- lationship between market heterogeneity and efficiency, too. In contrast to the homogenous good case, consumer surplus as well as producer surplus increases with the dispersion of marginal costs.

Regulatory and media concern has focused heavily on the potentially manipulative distortion of market prices associated with naked short selling. However, naked shorting can also have beneficial effects for liquidity and pricing efficiency. We empirically investigate the impact of naked short-selling on market quality, and find that naked shorting leads to significant reduction in positive pricing errors, the volatility of stock price returns, bid-ask spreads, and pricing error volatility. We study naked shorting surrounding the demise of financial institutions hardest hit by the financial crisis in 2008 and find no evidence that stock price declines were caused by naked shorting. We also find that naked short-selling intensifies after rather than before credit downgrade announcements during the 2008 financial crisis. In general, we find that naked short sellers respond to public news and intensify their activity after price declines rather than triggering these price declines. We study the impact of the SEC ban on naked short selling of financial securities during July and August 2008, and find that the ban did not slow the price decline of those securities and had a negative impact on liquidity and pricing efficiency. Finally, after examining the speeds of mean reversion of pricing errors and order imbalances, we infer that Regulation SHO was successful in curbing the impact of manipulative naked short selling, and this reduction in the impact of manipulative naked shorting has continued through the 2008 financial crisis. Overall, our empirical results are in sharp contrast with the extremely negative preconceptions that appear to exist among media commentators and market regulators in relation to naked shortselling.

We analyse to what extent the accrual anomaly is related to the choice of the accounting system as well as firm-level heterogeneity in corporate governance mechanisms. Using a unique dataset of listed German firms over the period 1995 to 2005 we first corroborate former results indicating that the accrual anomaly is also present in Germany. However, this anomaly seems to be driven mainly by firms with managerial ownership. In a second step, we test how different corporate governance mechanisms affect the anomaly. For the German experiment on voluntary adoption of IFRS our results confirm previous findings that the anomaly is less likely to be present under a conservative accounting system. While creditor monitoring is able to reduce the accrual anomaly, shareholder monitoring is not. Apart from offering evidence related to the cross-sectional difference in the degree of accrual mispricing, our results give also some insights related to the cross-country variation of this phenomenon.

The subject of our study is the trading infrastructure of government securities markets, which has undergone fundamental changes driven by the appearance of non-exchange electronic platforms and the rapid rise of their share in the trading volume of developed markets. The summary of the relevant literature indicates that improved trading transparency clearly increases the efficiency of the market (its role in price discovery). Its effect on market liquidity, however, is less clear-cut. While the loss of anonymity most likely decreases liquidity, transparency on the quantity and price of concluded transactions enhances liquidity. The emergence of electronic trading on developed government securities markets has not changed the fundamental structure of trading, which continues to take place in two segments: between dealers (B2B) and between dealers and clients (B2C). There is, however, no interbank trading platform on the Hungarian government securities market, although data vendors and other platforms serving clients have sprung up. Nonetheless, more than 90 per cent of trading takes place through traditional OTC channels. Consequently, actors which are interested in market processes and prices, but do not actively trade on the Hungarian market have trouble accessing high-standard, quasi-real-time price information. The MiFID initiative - launched at the European level - may contribute to improving the Hungarian market's transparency by engendering the regulation of the bond market similar to that of the equity market. Introduction of the euro in Hungary will fundamentally change the country's market structure. The sovereign debt manager's leeway will increase, and the key direct actors on the government securities market are expected to be the major international actors, which are interested in the centralisation of government securities trading by currencies. Based on the broad electronisation of the euro-denominated government securities market, it is likely that electronic platforms will also gain ground on the Hungarian market, following the introduction of the single currency at the latest.

This paper provides a conceptual framework on fair collective choice rules that synthesizes the studies of Goldman and Sussangkarn (1978) and Suzumura (1981) on the one hand and Tadenuma (2002, 2005) on the other. We show that both frameworks have the following binary relation as a common origin: an allocation x is at least as good as an allocation z if (i) x Pareto dominates z, or (ii) x equity-dominates z. Its transitive-closure and the strict relation derive different ranking criteria, but remarkably, with respect to the maximal elements, they have a set-inclusive relationship.

This dissertation investigates empirically the degree of implementation of Behavioral Finance theory in the investment fund industry. In a first step the author identifies the most prominent Behavioral Finance based investment strategies according to academic literature. Then, based on regression analysis, the author examines the extent to which German and U.S. mutual fund managers apply Behavioral Finance based investment strategies, and how great the resulting success is. The findings show that, while their degree of implementation remains low particularly in Germany, Behavioral Finance based investment strategies do, on the whole, have a positive impact on fund performance. The established financial theory builds on efficient markets and rational behavior of market participants. It further postulates that stock prices immediately as well as comprehensively incorporate all available information, and that active asset management cannot sustainably generate positive excess returns. However, extensive empirical research shows that stock prices do not always fully adjust to new relevant information. The relatively recent Behavioral Finance theory addresses in particular the emergence of systematic distortions in asset prices, driven by emotions and cognitive biases. In contrast to the established view, Behavioral Finance theory builds on limited arbitrage and market participants that do not always act rationally. In particular over- and underreaction can cause that asset prices deviate from the fundamentally justified levels in a predictable manner. Hence, active investment strategies that use the insights of Behavioral Finance and exploit systematic market distortions should generate significant excess returns. Measured by the number of pertinent research projects the most important behavioral investment strategies are the momentum, contrarian, and earnings surprise strategies, whose justification is usually directly and almost exclusively associated with the bounded rationality of human decision behavior. On the other hand, the author also includes in the investigations the classic style strategies size and value, even though there is controversy in the pertinent literature as to whether the profitability of these strategies might not also be explicable as justified risk premium in an efficient market setting with rational market participants. The author calculates historical returns for each strategy over the test period 1/1990 to 12/2005. The results show that several strategies generate significant excess returns if applied to the US and German stock market. However, the volatility of strategy returns over time points out that the underlying market inefficiencies are by far not as systematic and predictable as the Behavioral Finance theory suggests. Applying multiple linear regression analysis the author measures the degree of implementation of different sets of behavioral and style strategies within the US and German fund industry. The sample of investigated funds comprises in total 2,778 US American and 111 German actively managed equity funds with a local investment focus. The empirical analysis shows the following results: A small group of US American funds, so called Behavioral Finance funds, explicitly refers to Behavioral Finance in the external communication. As a matter of fact some of these funds apply behavioral investment strategies and generate positive excess returns. Prominent examples are the Fuller & Thaler funds that are grounded in the academic field of Behavioral Finance. Although behavioral strategies represent only a fraction of the overall investment strategy of these funds, results support a positive correlation between degree of implementation of the strategies and fund performance. Thus, applying behavioral as well as style strategies pays out for the managers of (and investors in) selective Behavioral Finance funds. Whereas also the results for the other US funds indicate a certain degree of implementation of style strategies and selective use of behavioral strategies, the German funds analyzed here rarely apply these strategies. The latter rather focus on replicating the overall market index and do that with very limited success. Two possible explanations come to mind that could explain the yet limited degree of implementation of behavioral and style strategies: i) transaction costs that might erase the excess return of a strategy when it comes to practical implementation, and ii) the attempt of fund managers to avoid dissonance that would emerge from a possible negative deviation from market return. Complementary analysis shows that excess returns of selective investment strategies remain significant when accounting for transaction costs. The possibility of dissonance avoidance is not assessed in further detail, but could mark a starting point for future research in this field.

Insider trading studies related to the German market have emphasized that outside investors may earn excess returns by mimicking the transactions of corporate directors. Such a result, provided that it holds, would constitute a serious violation of the efficient market hypothesis. The results presented in this paper, though, show that this anomaly is mainly caused by a subset of stocks with high arbitrage risk as measured by their idiosyncratic volatility. This restrains arbitrageurs from engaging in otherwise profitable and price-correcting trades. As arbitrage risk is positively related to a stock's bid/ask-spread, we show that the information conveyed by insider trades cannot be exploited in terms of generating abnormal returns once these transaction costs are taken into account. We conclude that the market's under-reaction to reported insider trades can mainly be explained by the cost associated with risky arbitrage. Our findings provide evidence that the German stock market is efficient with respect to insider trades in the sense that prices reflect publicly available information to the point where the marginal benefit of acting on information exceeds marginal costs.

Motivated by the prominent role of electronic limit order book (LOB) markets in today’s stock market environment, this paper provides the basis for understanding, reconstructing and adopting Hollifield, Miller, Sandas, and Slive’s (2006) (henceforth HMSS) methodology for estimating the gains from trade to the Xetra LOB market at the Frankfurt Stock Exchange (FSE) in order to evaluate its performance in this respect. Therefore this paper looks deeply into HMSS’s base model and provides a structured recipe for the planned implementation with Xetra LOB data. The contribution of this paper lies in the modification of HMSS’s methodology with respect to the particularities of the Xetra trading system that are not yet considered in HMSS’s base model. The necessary modifications, as expressed in terms of empirical caveats, are substantial to derive unbiased market efficiency measures for Xetra in the end.

We show that average excess returns during the last two years of the presidential cycle are significantly higher than during the first two years: 9.8 percent over the period 1948 – 2008. This pattern in returns cannot be explained by business-cycle variables capturing time-varying risk premia, differences in risk levels, or by consumer and investor sentiment. In this paper, we formally test the presidential election cycle (PEC) hypothesis as the alternative explanation found in the literature for explaining the presidential cycle anomaly. PEC states that incumbent parties and presidents have an incentive to manipulate the economy (via budget expansions and taxes) to remain in power. We formulate eight empirically testable propositions relating to the fiscal, monetary, tax, unexpected inflation and political implications of the PEC hypothesis. We do not find statistically significant evidence confirming the PEC hypothesis as a plausible explanation for the presidential cycle effect. The existence of the presidential cycle effect in U.S. financial markets thus remains a puzzle that cannot be easily explained by politicians employing their economic influence to remain in power. JEL Classification: E32; G14; P16 Keywords: Political Economy, Market Efficiency, Anomalies, Calendar Effects

This paper examines the questions of whether and how feudal rulers were able to credibly commit to preserving monetary stability, and of which consequences their decisions had for the efficiency of financial markets. The study reveals that princes were usually only able to commit to issuing a stable coinage in gold, but not in silver. As for silver currencies, the hypothesis is that transferring the right of coinage to an autonomous city was the functional equivalent to establishing an independent central bank. An analysis of market performance indicates that financial markets between cities that were autonomous with regard to their monetary policies were significantly better integrated and more efficient than markets between cities whose currencies were supplied by a feudal ruler.

We discuss the prospects for Chinese money market development and transition to market-based monetary policy operations based on a comparative historical analysis of the present Chinese situation and the development in 11 European countries from 1979 up to the launch of European Economic and Monetary Union (EMU). Central banks in the latter group typically had an incentive to encourage the formation of efficient benchmark segments in the domestic money markets for the conduct of open market operations as traditional quantity-oriented instruments became increasingly ineffective. China is displaying many of the same symptoms as the European countries in the 1970s and 1980s, including poor monetary transmission due to excess liquidity and conflicts of interest due to unclear priority among multiple policy goals. We conclude that the current Chinese multiple-target monetary policy is counter-productive to efforts to develop an efficient money market that can serve as arena for an effective market-based monetary policy.