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Die in diesem Buch beschriebene empirische Untersuchung geht einen wesentlichen theoretischen Schritt ber den Stand der bisherigen empirischen Kapitalmarktforschung in Deutschland hinaus. Sie beschftigt sich mit der Frage, ob beobachtete Differenzen zwischen Markt und Modellpreisen von Aktienoptionen konomisch erklrbar sind. Die konomische Erklrung solcher Differenzen wird dabei in der Vermutung gesucht, da Insider insbesondere aufgrund des hheren LeverageEffektes eines Optionsengagements ihren Informationsvorsprung bevorzugt bzw. zumindest zuerst am Options und nicht am Aktienmarkt ausbeuten. Anhand von Zeitreihen fr Kaufoptions und Aktienkurse der Frankfurter Wertpapierbrse wird deshalb untersucht, ob Optionspreise einen Informationsgehalt fr die zuknftige Aktienkursentwicklung aufweisen, der auf Handelsaktivitten von Insidern beruhen knnte. Die Ergebnisse des implementierten statistischen Signifikanztests knnen als ein Indiz dafr gedeutet werden, da 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 hufig aufgestellte Hypothese dar, da die Existenz eines Optionsmarktes die "fundamental richtige" Bewertung am Aktienmarkt beeintrchtigt. Die Arbeit wurde im Februar 1993 mit dem Wissenschaftspreis der Bayerischen Landesbank fr das Jahr 1992 ausgezeichnet.
⚠️ WARNING (California Proposition 65):
This product may contain chemicals known to the State of California to cause cancer,
birth defects, or other reproductive harm.
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