• Competitive nash equilibria and two period fund separation 

      Hens, Thorsten; Reimann, Stefan; Vogt, Bodo (Discussion paper, Working paper, 2003-11)
      We suggest a simple asset market model in which we analyze competitive and strategic behavior simultaneously. If for competitive behavior two-fund separation holds across periods then it also holds for strategic behavior. ...
    • Does prospect theory explain the disposition effect? 

      Hens, Thorsten; Vlcek, Martin (Discussion paper, Working paper, 2005-09)
      The disposition effect is the observation that investors hold winning stocks too long and sell losing stocks too early. A standard explanation of the disposition effect refers to prospect theory and in particular to the ...
    • Dynamic general equilibrium and t-period fund separation 

      Gerber, Anke; Hens, Thorsten; Wöhrmann, Peter (Discussion paper, Working paper, 2005-07)
      We consider a dynamic general equilibrium model with incomplete markets in which we derive conditions for separating the savings decision from the asset allocation decision. It is shown that with logarithmic utility functions ...
    • Evolutionary stable investment in stock markets 

      Evstigneev, Igor V.; Hens, Thorsten; Schenk-Hoppé, Klaus Reiner (Discussion paper, Working paper, 2003-10)
      This paper studies the performance of portfolio rules in incomplete markets for long-lived assets with endogenous prices. The dynamics of wealth shares in the process of repeated reinvestment of wealth is modelled as a ...
    • Existence of sunspot equilibria and uniqueness of spot market equilibria : the case of intrinsically complete markets 

      Hens, Thorsten; Mayer, Janós; Pilgrim, Beate (Discussion paper, Working paper, 2004)
      We consider economies with additively separable utility functions and give conditions for the two-agents case under which the existence of sunspot equilibria is equivalent to the occurrence of the transfer paradox. This ...
    • Exploiting the index effect to extra alpha 

      Melingen, Karoline; Brennmoen, Martin (Master thesis, 2018)
      This thesis aims to provide a better understanding of the index effect on the Oslo Stock Exchange Benchmark Index (OSEBX) and generate potential trading strategies for Borea Asset Management. The exploitation of the index ...
    • Globally evolutionarily stable portfolio rules 

      Evstigneev, Igor V.; Hens, Thorsten; Schenk-Hoppé, Klaus Reiner (Discussion paper, Working paper, 2005-09)
      The paper examines a dynamic model of a financial market with endogenous asset prices determined by short run equilibrium of supply and demand. Assets pay dividends, that are partially consumed and partially reinvested. ...
    • How time preferences differ : evidence from 45 countries 

      Wang, Mei; Rieger, Marc Oliver; Hens, Thorsten (Discussion paper;2011:18, Working paper, 2011-10)
      We present results from the first large-scale international survey on time discounting, conducted in 45 countries. Cross-country variation cannot simply be explained by economic variables such as interest rates or ...
    • Is there a consensus trap in earnings forecasts? : an empirical study 

      Øritsland, Eirik Thune (Master thesis, 2018)
      This paper revisits Grüner (2009) and seeks to establish whether there is a consensus trap in earnings forecasts. There is a consensus trap if analysts’ forecasts are more likely to be wrong when forecasts are homogeneous, ...
    • Limits to arbitrage when market participation is restricted 

      Hens, Thorsten; Herings, P. Jean -Jacques; Predtetchinskii, Arkadi (Discussion paper, Working paper, 2003-11)
      There is an extensive literature claiming that it is often difficult to make use of arbitrage opportunities in financial markets. This paper provides a new reason why existing arbitrage opportunities might not be seized. ...
    • Making prospect theory fit for finance 

      De Giorgi, Enrico; Hens, Thorsten (Discussion paper, Working paper, 2005-09)
      This paper gives a survey over a common aspect of prospect theory that occurred to be of importance in a series of recent papers developed by Enrico De Giorgi, Thorsten Hens, Janos Mayer, Haim Levy, Thierry Post, Marc ...
    • Markets do not select for a liquidity preference as behavior towards risk 

      Hens, Thorsten; Schenk-Hoppé, Klaus Reiner (Discussion paper, Working paper, 2003-10)
      Tobin (1958) has argued that in the face of potential capital losses on bonds it is reasonable to hold cash as a means to transfer wealth over time. It is shown that this assertion cannot be sustained taking into account ...
    • On the micro-foundations of money : the Capitol Hill baby-sitting co-op 

      Hens, Thorsten; Schenk-Hoppé, Klaus Reiner; Vogt, Bodo (Discussion paper, Working paper, 2003-10)
      This paper contributes to the micro-foundation of money in centralized markets with idiosyncratic uncertainty. It shows existence of stationary monetary equilibria and ensures that there is an optimum quantity of money. ...
    • Prospect theory and the CAPM : a contradiction or coexistence? 

      Levy, Haim; De Giorgi, Enrico; Hens, Thorsten (Discussion paper, Working paper, 2003-10)
      Under the assumption of normally distributed returns, we analyze whether the Cumulative Prospect Theory of Tversky and Kahneman (1992) is consistent with the Capital Asset Pricing Model. We find that in every financial ...
    • Prospect theory and the size and value premium puzzles 

      De Giorgi, Enrico; Hens, Thorsten; Post, Thierry (Discussion paper, Working paper, 2005-11)
      Using canonical data for the US stock and bond markets, we show that the kinked piecewiseexponential value function can rationalize the cross-section of stock returns in addition to the level of the equity premium, while ...
    • Prospect theory around the world 

      Rieger, Marc Oliver; Wang, Mei; Hens, Thorsten (Discussion paper;2011:19, Working paper, 2011-10)
      We present results from the first large-scale international survey on risk preferences, conducted in 45 countries. We show substantial cross-country differences in risk aversion, loss aversion and probability weighting. ...
    • Rational investor sentiment 

      Gerber, Anke; Hens, Thorsten; Vogt, Bodo (Discussion paper, Working paper, 2002-11)
      We explain excess volatility, short-term momentum and long-term reversal of asset prices by a repeated game version of Keynes' beauty contest. In every period the players can either place a buy or sell order on the asset ...
    • Risk aversion in the large and in the small 

      Haug, Jørgen; Hens, Thorsten; Wöhrmann, Peter (Discussion paper;2011:12, Working paper, 2011-06)
      Estimates of agents' risk aversion differ between market studies and experimental studies. We demonstrate that the estimates can be reconciled through consistent treatment of agents' tendency for narrow framing, regarding ...
    • Soft landing of a stock market bubble : an experimental study 

      Becker, Ralf; Fischbacher, Urs; Hens, Thorsten (Discussion paper, Working paper, 2003-10)
      The paper investigates the effect of interest policy on price bubbles, trading behavior and portfolio choice in experimental stock markets. A series of experiments has 8 participants trade an asset over 15 periods. ...
    • Sunspot equilibria and the transfer paradox 

      Hens, Thorsten; Pilgrim, Beate (Discussion paper, Working paper, 2004-04)
      We show that for international economies with two countries, in which agents have additively separable utility functions, the existence of sunspot equilibria is equivalent to the occurrence of the transfer paradox. This ...