The development of stock prices is determined by a variety of different factors. In addition to the behavioral patterns of investors, different information sources and the ownership structure play a central role. At the same time, increasing computing power, better data availability, and new empirical methods open up expanded analysis possibilities. This dissertation builds on this and combines classical financial models with modern empirical approaches to examine effects on capital markets. One contribution is the extension of the Capital Asset Pricing Model to include key elements of prospect theory and then empirically validating the adjusted model. In addition, the decision-making-process of retail investors under the influence of social media and traditional news is examined. This dissertation shows that social media has a stronger influence on investment decisions, with the respective sentiment in the information channels having different effects. Finally, the impact of investment decisions on the synchronicity of stock returns is analyzed. The results illustrate that the ownership structure has a significant influence on the synchronicity of stock returns, with the effects varying between different types of investors. In addition, the dissertation demonstrates that the ownership structure can be used to predict the systematic risk factor of a stock. Consequently, this dissertation contributes to empirical capital market research by applying modern methods to identify key determinants and relationships in capital markets. As a result, it advances theoretical models and provides practice-relevant insights into capital markets.
Markus Münster (Thu,) studied this question.