References of "Neugebauer, Tibor 50002750"
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See detailHeterogeneity of Beliefs and Trade in Experimental Asset Markets
Neugebauer, Tibor UL; Carlé, Tim A.; Lahav, Yaron et al

in Journal of Financial and Quantitative Analysis (2019), 54

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See detailRANK-ORDER COMPETITION IN THE VOLUNTARY PROVISION OF IMPURE PUBLIC GOODS
Neugebauer, Tibor UL; ANDREJ, ANGELOVSKI; MAROŠ, SERVÁTKA

in Economic Inquiry (2019), 57(4), 2163-2183

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See detailA Test of the Modigliani-Miller Invariance Theorem and Arbitrage in Experimental Asset Markets
Neugebauer, Tibor UL; GARY, CHARNESS

in Journal of Finance (2019), 74(1)

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See detailHeterogeneity of beliefs in experimental asset markets revisited
Neugebauer, Tibor UL

Scientific Conference (2018, November 28)

We study the question if we can recover original traders’ price expectations in experimental asset markets if subjects receive the same pre-recorded information. Our results show reliable recovery of ... [more ▼]

We study the question if we can recover original traders’ price expectations in experimental asset markets if subjects receive the same pre-recorded information. Our results show reliable recovery of original traders’ median expectations across treatments. Treatment comparison suggests no effect on beliefs of subjects’ action space, whether subjects trade, act as price takers or only observe the market. Our results also suggest that we are unable to recover the individual expectations beyond the median expectation. Hence, we confirm the advanced observation of the experimental literature that expectations are heterogeneous and markets do not homogenize beliefs. [less ▲]

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See detailAlgorithmic Trading: An Introduction and Preliminary Experimental Results
Neugebauer, Tibor UL

Scientific Conference (2018, March 14)

Algorithmic robot trading involves computer programmes for placing orders in financial markets. More than half of all transactions in financial markets involve algorithm traders. Algorithm traders have ... [more ▼]

Algorithmic robot trading involves computer programmes for placing orders in financial markets. More than half of all transactions in financial markets involve algorithm traders. Algorithm traders have been thought of being responsible for recently observed flash crashes, i.e. instances when the market crashes and instantly recovers. A common function of algorthmic trading is to profit from arbitrage, but little is known about the impacts of such trading algorithms in the market. By exploiting riskless arbitrage or statistical arbitrage in financial markets, arbitrage trading algorithms in theory instate efficiency and eventually establish no-arbitrage conditions in a market. A natural starting point for experimental finance research is the study of the impact of arbitrage bots in the market. The presentation introduces to algorithm trading, advanced results from the financial literature and recent results from experiments. [less ▲]

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See detailA test of the Modigliani Miller Invariance Theorem and Arbitrage in Experimental Asset Markets
Neugebauer, Tibor UL; Charness, Gary

E-print/Working paper (2018)

Modigliani and Miller (1958) show that a repackaging of asset return streams to equity and debt has no impact on the total market value of the firm if pricing is arbitrage-free. We test the empirical ... [more ▼]

Modigliani and Miller (1958) show that a repackaging of asset return streams to equity and debt has no impact on the total market value of the firm if pricing is arbitrage-free. We test the empirical validity of this invariance theorem in experimental asset markets with simultaneous trading in two shares of perfectly-correlated returns. Our data support value invariance for assets of identical risks when returns are perfectly correlated. However, exploiting price discrepancies has risk when returns have the same expected value but are uncorrelated, and we find that the law of one price is violated in this case. Discrepancies shrink in consecutive markets, but seem to persist even with experienced traders. In markets where overall trader acuity is high, assets trade closer to parity. [less ▲]

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See detailImpulse response dynamics in weakest link games
Neugebauer, Tibor UL; GEORG, S; SADRIEH, A

in German Economic Review (2016), 17(3),

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See detailGfeW
Neugebauer, Tibor UL

Presentation (2015)

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See detailWEHIA
Neugebauer, Tibor UL

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See detailIMEBESS
Neugebauer, Tibor UL

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See detailJahrestagung des Sozialwissenschftlichen Ausschusses
Neugebauer, Tibor UL

Presentation (2015)

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See detailEconomic Design
Neugebauer, Tibor UL

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See detailASSET
Neugebauer, Tibor UL

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See detailLUISS
Neugebauer, Tibor UL

Scientific Conference (2015)

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See detailConference on Behavioral Aspects of Macroeconomics and Finance
Neugebauer, Tibor UL

Scientific Conference (2015)

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See detailExperimental Finance
Neugebauer, Tibor UL

Presentation (2015)

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See detailQuantitative Finance Symposium, Quattro Pole++
Neugebauer, Tibor UL

Scientific Conference (2015)

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See detailBarcelona GSE Summer Forum Theoretical and experimental macroeconomics
Neugebauer, Tibor UL

Scientific Conference (2015)

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