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Informationsgehalt Von Optionspreisen: Eine Empirische Untersuchung Der Preisbildung Am Markt Für Kaufoptionen Im Vorfeld Abnormaler Kursbewegungen Am Aktienmarkt

Informationsgehalt Von Optionspreisen: Eine Empirische Untersuchung Der Preisbildung Am Markt Für Kaufoptionen Im Vorfeld Abnormaler Kursbewegungen Am Aktienmarkt

          
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About the Book

Die in diesem Buch beschriebene empirische Untersuchung geht einen wesentlichen theoretischen Schritt über den Stand der bisherigen empirischen Kapitalmarktforschung in Deutschland hinaus. Sie beschäftigt sich mit der Frage, ob beobachtete Differenzen zwischen Markt- und Modellpreisen von Aktienoptionen ökonomisch erklärbar sind. Die ökonomische Erklärung solcher Differenzen wird dabei in der Vermutung gesucht, daß Insider insbesondere aufgrund des höheren Leverage-Effektes eines Optionsengagements ihren Informationsvorsprung bevorzugt bzw. zumindest zuerst am Options- und nicht am Aktienmarkt ausbeuten. Anhand von Zeitreihen für Kaufoptions- und Aktienkurse der Frankfurter Wertpapierbörse wird deshalb untersucht, ob Optionspreise einen Informationsgehalt für die zukünftige Aktienkursentwicklung aufweisen, der auf Handelsaktivitäten von Insidern beruhen könnte. Die Ergebnisse des implementierten statistischen Signifikanztests können als ein Indiz dafür gedeutet werden, daß Insider im allgemeinen dazu tendieren, positives Insiderwissen bevorzugt bzw. zumindest zuerst am Kaufoptions- und nicht am Aktienmarkt auszubeuten. Das Ergebnis stellt somit auch ein Indiz gegen die häufig aufgestellte Hypothese dar, daß die Existenz eines Optionsmarktes die "fundamental richtige" Bewertung am Aktienmarkt beeinträchtigt. Die Arbeit wurde im Februar 1993 mit dem Wissenschaftspreis der Bayerischen Landesbank für das Jahr 1992 ausgezeichnet.


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Product Details
  • ISBN-13: 9783790806878
  • Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
  • Binding: Paperback
  • Language: German
  • Returnable: Y
  • Spine Width: 21 mm
  • Weight: 553 gr
  • ISBN-10: 3790806870
  • Publisher Date: 27 May 1993
  • Height: 234 mm
  • No of Pages: 373
  • Series Title: Physica-Schriften Zur Betriebswirtschaft
  • Sub Title: Eine Empirische Untersuchung Der Preisbildung Am Markt Für Kaufoptionen Im Vorfeld Abnormaler Kursbewegungen Am Aktienmarkt
  • Width: 156 mm


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Informationsgehalt Von Optionspreisen: Eine Empirische Untersuchung Der Preisbildung Am Markt Für Kaufoptionen Im Vorfeld Abnormaler Kursbewegungen Am Aktienmarkt
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Informationsgehalt Von Optionspreisen: Eine Empirische Untersuchung Der Preisbildung Am Markt Für Kaufoptionen Im Vorfeld Abnormaler Kursbewegungen Am Aktienmarkt
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Informationsgehalt Von Optionspreisen: Eine Empirische Untersuchung Der Preisbildung Am Markt Für Kaufoptionen Im Vorfeld Abnormaler Kursbewegungen Am Aktienmarkt

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