Experimental Design: Testing the Zero Yield Bias

D 2019

Experimental Design: Testing the Zero Yield Bias

SCHAAB, Ilja, Eric FRÉRE a Alexander ZURECK

Základní údaje

Originální název

Experimental Design: Testing the Zero Yield Bias

Autoři

SCHAAB, Ilja (276 Německo, garant, domácí), Eric FRÉRE (276 Německo) a Alexander ZURECK (276 Německo, domácí)

Vydání

Brno, Czech Republic, European Financial Systems 2019 - Proceedings of the 16th International Scientific Conference, od s. 480-487, 8 s. 2019

Nakladatel

Masaryk University Press

Další údaje

Jazyk

angličtina

Typ výsledku

Stať ve sborníku

Obor

50206 Finance

Stát vydavatele

Česká republika

Utajení

není předmětem státního či obchodního tajemství

Forma vydání

elektronická verze "online"

Odkazy

URL

Kód RIV

RIV/00216224:14560/19:00110871

Organizační jednotka

Ekonomicko-správní fakulta

ISBN

978-80-210-9338-6

UT WoS

000503222600056

Klíčová slova anglicky

Behavioral Finance; Portfolio Theory; Reaching for Yield; Unstable Risk Preferences; Zero Interest Rate Environment

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 11. 5. 2020 14:03, Mgr. Pavel Sedláček

Anotace

V originále

The various impacts of the European Central Bank’s monetary policy induce a necessity for new research approaches as the established theories provide only limited explanations to the new cause and effect relationships. First empirical studies on the topic of an investor’s risk stability in a low interest rate environment provided valuable insights for the portfolio theory and behavioral finance. According to the results, investors tend to allocate more funds into riskier assets when the interest rates are low. This paper proposes an experimental design which extends the differentiation between only a risk-free and a risky asset to a close-to-reality set-up. By presenting unlabeled asset classes with their key characteristics in different interest rate environments, the test subject gets the opportunity for a multidimensional assessment of the situation. The development of the six investment opportunities as well as their characteristics is explained in detail to provide transparency about the realistic set-up. The research based on this experimental design should provide deeper insights about the interrelation of the three dimensions of the triangle of finance and investing.

Citovat

SCHAAB, Ilja, Eric FRÉRE a Alexander ZURECK. Experimental Design: Testing the Zero Yield Bias. Online. In Josef Nešleha, Lukáš Marek, Miroslav Svoboda, Zuzana Rakovská (eds.). European Financial Systems 2019 - Proceedings of the 16th International Scientific Conference. Brno, Czech Republic: Masaryk University Press, 2019, s. 480-487. ISBN 978-80-210-9338-6.

@inproceedings{1565837,
   author = {Schaab, Ilja and Frére, Eric and Zureck, Alexander},
   address = {Brno, Czech Republic},
   booktitle = {European Financial Systems 2019 - Proceedings of the 16th International Scientific Conference},
   editor = {Josef Nešleha, Lukáš Marek, Miroslav Svoboda, Zuzana Rakovská (eds.)},
   keywords = {Behavioral Finance; Portfolio Theory; Reaching for Yield; Unstable Risk Preferences; Zero Interest Rate Environment},
   howpublished = {elektronická verze "online"},
   language = {eng},
   location = {Brno, Czech Republic},
   isbn = {978-80-210-9338-6},
   pages = {480-487},
   publisher = {Masaryk University Press},
   title = {Experimental Design: Testing the Zero Yield Bias},
   url = {https://is.muni.cz/do/econ/sborniky/2019/Proceedings_final.pdf},
   year = {2019}
}

TY  - JOUR
ID  - 1565837
AU  - Schaab, Ilja - Frére, Eric - Zureck, Alexander
PY  - 2019
TI  - Experimental Design: Testing the Zero Yield Bias
PB  - Masaryk University Press
CY  - Brno, Czech Republic
SN  - 9788021093386
KW  - Behavioral Finance
KW  - Portfolio Theory
KW  - Reaching for Yield
KW  - Unstable Risk Preferences
KW  - Zero Interest Rate Environment
UR  - https://is.muni.cz/do/econ/sborniky/2019/Proceedings_final.pdf
L2  - https://is.muni.cz/do/econ/sborniky/2019/Proceedings_final.pdf
N2  - The various impacts of the European Central Bank’s monetary policy induce a necessity for new research approaches as the established theories provide only limited explanations to the new cause and effect relationships. First empirical studies on the topic of an investor’s risk stability in a low interest rate environment provided valuable insights for the portfolio theory and behavioral finance. According to the results, investors tend to allocate more funds into riskier assets when the interest rates are low. This paper proposes an experimental design which extends the differentiation between only a risk-free and a risky asset to a close-to-reality set-up. By presenting unlabeled asset classes with their key characteristics in different interest rate environments, the test subject gets the opportunity for a multidimensional assessment of the situation. The development of the six investment opportunities as well as their characteristics is explained in detail to provide transparency about the realistic set-up. The research based on this experimental design should provide deeper insights about the interrelation of the three dimensions of the triangle of finance and investing.
ER  -

SCHAAB, Ilja, Eric FRÉRE a Alexander ZURECK. Experimental Design: Testing the Zero Yield Bias. Online. In Josef Nešleha, Lukáš Marek, Miroslav Svoboda, Zuzana Rakovská (eds.). \textit{European Financial Systems 2019 - Proceedings of the 16th International Scientific Conference}. Brno, Czech Republic: Masaryk University Press, 2019, s.~480-487. ISBN~978-80-210-9338-6.

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