A theoretical and experimental investigation of the influence of risk information on capital markets:
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
2012
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Zsfassung in dt. Sprache |
| Beschreibung: | XII, 220 S. graph. Darst. |
Internformat
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| 245 | 1 | 0 | |a A theoretical and experimental investigation of the influence of risk information on capital markets |c submitted by Andreas Christoph Pöschl |
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Datensatz im Suchindex
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| adam_text | Titel: A theoretical and experimental investigation of the influence of risk information on capital markets
Autor: Pöschl, Andreas Christoph
Jahr: 2012
Contents
The Question 1
1.1 Amplification of Financial Distress................ 1
1.1.1 Risk Regulation ...................... 1
1.1.2 Risk Reporting....................... 5
1.2 Risk Reporting........................... 9
1.2.1 Character of Risk Reporting ............... 9
1.2.2 Effects of Risk Reporting................. 11
1.3 Holistic Perspectives on Risk................... 12
1.3.1 Economic Perspective................... 12
1.3.2 Psychological Perspective................. 13
1.3.3 Sociological Perspective: Risk Society.......... 14
1.4 Experimental Asset Markets.................... 18
The Literature 20
2.1 Discretionary Disclosure Models.................. 20
2.1.1 Full Disclosure Principle.................. 20
2.1.2 Lack of Information Availability ............. 22
2.1.3 Disclosure in a Multi Firm Setting............ 24
2.1.4 Lack of Information Quality, Interpretation and Cost of
Disclosure.......................... 25
2.1.5 Disclosure of Variance................... 27
2.1.6 Experiments on Firms Disclosure of Information .... 28
2.2 Cheap Talk Models......................... 33
2.2.1 Single-Period Cheap Talk................. 33
2.2.2 Multi-Period Cheap Talk................. 36
2.2.3 Experiments on Cheap Talk Models........... 38
2.3 Global Games............................ 39
2.3.1 Characteristics of Coordination.............. 39
2.3.2 Applications of Coordination............... 42
2.3.3 Experiments on Coordination............... 48
2.4 Herding Behaviour......................... 49
2.4.1 Rational Herding in Financial Markets.......... 49
2.4.2 Experiments on Rational Herding............. 52
The Game 54
3.1 Intention............................... 54
3.2 Basic Model............................. 58
3.2.1 Setup............................ 58
3.2.2 Assumptions........................ 59
3.2.3 Information Structure................... 60
3.2.4 Report Possibility Space.................. 63
3.2.5 Signal Possibility Space.................. 66
3.2.6 Belief Function of Investors................ 67
3.2.7 Results ........................... 68
3.3 Uniform Probability Distribution................. 68
3.3.1 Valuation of a Report................... 68
3.3.2 Manipulation of a Report................. 70
3.3.3 Results ........................... 71
3.4 General Probability Distribution................. 72
3.4.1 Introduction ........................ 72
3.4.2 Valuation of a Report................... 74
3.4.3 Manipulation of a Report................. 75
3.4.4 Results ........................... 79
3.5 One-Period Setting......................... 79
3.5.1 Credibility as an Evaluation of Alternatives....... 79
3.5.2 Disclosure and Prices ................... 81
3.5.3 Results ........................... 84
3.6 Reputation-Dependent Belief Function.............. 84
3.6.1 Measures for Foregone Opportunities........... 84
3.6.2 Credibility of Reports................... 90
3.6.3 Credibility of Signals and Price Determination..... 92
3.6.4 Conditions for Credibility of Reports........... 94
3.6.5 Results ........................... 99
3.7 Multi-Period Setting........................ 100
3.7.1 Uniform Probability Distribution............. 100
3.7.1.1 Partially Credible Reports........... 100
3.7.1.2 Fully Credible Reports ............. 103
3.7.1.3 Manager s Disclosure Space........... 107
3.7.1.4 Price of a Share................. 109
3.7.1.5 Results...................... Ill
3.7.2 General Probability Distribution............. 113
3.7.2.1 Disclosure and Profit .............. 113
3.7.2.2 Results...................... 115
4 The Experiment 120
4.1 Market Environment........................ 120
4.2 Belief Functions on Reputation.................. 122
4.3 User Interface and Sequence of the Screens ........... 124
4.4 Hypotheses............................. 127
4.4.1 One-Period Setting..................... 127
4.4.2 Multi-Period Setting.................... 129
4.5 Treatments............................. 132
4.6 Sessions............................... 133
5 The Results 135
5.1 Efficiency of Reports........................ 135
5.1.1 One-Period Setting..................... 135
5.1.2 Multi-Period Setting.................... 139
5.1.3 Difference between One-Period and Multi-Period Settings 142
5.1.4 No-Guess Treatment.................... 144
5.1.5 Difference between No-Guess Treatment and One-Period
and Multi-Period Settings................. 145
5.2 Location of Reports ........................ 146
5.3 Belief Functions and Success ................... 155
6 The Conclusion 164
6.1 Reporting Behaviour in One-Period Settings........... 164
6.2 Amplification of Market Price Dynamics............. 166
6.3 Reporting Behaviour in Multi-Period Settings.......... 168
6.4 Feedback Effects.......................... 169
A Proofs 172
A.l Theorem 3.5............................. 172
A.2 Lemma 3.9 ............................. 173
A.3 Theorem 3.10............................ 174
A.4 Lemma 3.11............................. 175
A.5 Corollary 3.13 and 3.14 ...................... 176
A.6 Theorem 3.22............................ 177
A.7 Theorem 3.23............................ 181
A.8 Lemma 3.25............................. 185
A.9 Theorem 3.26............................ 186
A.10 Corollary 3.27............................ 189
A.ll Theorem 3.28 and 3.29....................... 190
B Data 193
C Instructions 203
D Screenshots 205
|
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| discipline | Wirtschaftswissenschaften |
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| indexdate | 2024-07-10T00:24:32Z |
| institution | BVB |
| language | English |
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| spelling | Pöschl, Andreas Christoph Verfasser (DE-588)1026634873 aut A theoretical and experimental investigation of the influence of risk information on capital markets submitted by Andreas Christoph Pöschl 2012 XII, 220 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Zsfassung in dt. Sprache St. Gallen, Univ., Diss., 2012 4037 Risiko (DE-588)4050129-2 gnd rswk-swf Information (DE-588)4026899-8 gnd rswk-swf Kapitalmarkt (DE-588)4029578-3 gnd rswk-swf Einfluss (DE-588)4151276-5 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Risiko (DE-588)4050129-2 s Information (DE-588)4026899-8 s Einfluss (DE-588)4151276-5 s Kapitalmarkt (DE-588)4029578-3 s DE-188 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025315807&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Pöschl, Andreas Christoph A theoretical and experimental investigation of the influence of risk information on capital markets Risiko (DE-588)4050129-2 gnd Information (DE-588)4026899-8 gnd Kapitalmarkt (DE-588)4029578-3 gnd Einfluss (DE-588)4151276-5 gnd |
| subject_GND | (DE-588)4050129-2 (DE-588)4026899-8 (DE-588)4029578-3 (DE-588)4151276-5 (DE-588)4113937-9 |
| title | A theoretical and experimental investigation of the influence of risk information on capital markets |
| title_auth | A theoretical and experimental investigation of the influence of risk information on capital markets |
| title_exact_search | A theoretical and experimental investigation of the influence of risk information on capital markets |
| title_full | A theoretical and experimental investigation of the influence of risk information on capital markets submitted by Andreas Christoph Pöschl |
| title_fullStr | A theoretical and experimental investigation of the influence of risk information on capital markets submitted by Andreas Christoph Pöschl |
| title_full_unstemmed | A theoretical and experimental investigation of the influence of risk information on capital markets submitted by Andreas Christoph Pöschl |
| title_short | A theoretical and experimental investigation of the influence of risk information on capital markets |
| title_sort | a theoretical and experimental investigation of the influence of risk information on capital markets |
| topic | Risiko (DE-588)4050129-2 gnd Information (DE-588)4026899-8 gnd Kapitalmarkt (DE-588)4029578-3 gnd Einfluss (DE-588)4151276-5 gnd |
| topic_facet | Risiko Information Kapitalmarkt Einfluss Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025315807&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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