Working paper series / Johann-Wolfgang-Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften : Finance & Accounting
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150
„Bedeutende Finanzplätze“ oder Finanzzentren sind eng abgegrenzte Orte mit einer beträchtlichen Konzentration wichtiger professioneller Aktivitäten aus dem Finanzdienstleistungsbereich und der entsprechenden Institutionen. Allerdings: „Finance is a footloose industry“: Die Finanzbranche kann abwandern, ein Finanzzentrum kann sich verlagern, möglicherweise auch einfach auflösen. Die Möglichkeit der Auflösung und der Abwanderung stellt eine Bedrohung dar, die in der Zeit der Globalisierung und der rasanten Fortschritte der Transport- und der Informations- und Kommunikationstechnik ausgeprägter sein dürfte, als sie je war. Frankfurt ist zweifellos ein „bedeutender Finanzplatz“, und manchen gilt er auch als bedroht. Allein deshalb ist unser Thema wichtig; und auch wenn die Einschätzungen von Bedeutung und Bedrohtheit keineswegs neu sind, ist es doch aktuell. Der Aspekt der Bedrohtheit prägt, wie wir die Frage im Titel verstehen und diskutieren möchten. Was ist ein „bedeutender Finanzplatz“? Selbst wenn man das Attribut „bedeutend“ erst einmal beiseite lässt, ist die Frage keineswegs trivial. Sie zielt ja nicht nur auf eine Begriffsklärung, eine Sprachregelung ab. Hinter dem Begriff steht oft auch eine Vorstellung vom „Wesen“ dessen, was ein Begriff bezeichnet. Also: Was macht einen Finanzplatz aus? Und weiter: Warum gibt es überhaupt Finanzplätze als beträchtliche Konzentrationen von bestimmten wichtigen Aktivitäten und Institutionen? Welche Kräfte führen - oder zumindest führten - zu der räumlichen Konzentration der Aktivitäten und Institutionen, wie wirken diese Kräfte, und wie ändern sie sich gegebenenfalls? Diesen Fragen ist dieser Beitrag im Wesentlichen gewidmet, und sie prägen seinen Aufbau. Im Abschnitt II wird diskutiert, was ein „bedeutender Finanzplatz“ ist oder woran man ihn erkennt und „was er braucht“. Im Abschnitt III gehen wir zuerst auf die Frage nach der in letzter Zeit unter dem Stichwort „the end of geography“ heftig diskutierten Vorstellung einer Auflösung oder Virtualisierung der Finanzplätze ein – nicht weil dies die wichtigere Bedrohung wäre, sondern weil es die grundlegendere Frage darstellt. Dann diskutieren wir den Wettbewerb von Finanzplätzen in Europa. Den Abschluss bilden Überlegungen zu den Perspektiven des Finanzplatzes Frankfurt und der möglichen Förderung seiner Entwicklung.
155
We provide insights into determinants of the rating level of 371 issuers which defaulted in the years 1999 to 2003, and into the leader-follower relationship between Moody’s and S&P. The evidence for the rating level suggests that Moody’s assigns lower ratings than S&P for all observed periods before the default event. Furthermore, we observe two-way Granger causal-ity, which signifies information flow between the two rating agencies. Since lagged rating changes influence the magnitude of the agencies’ own rating changes it would appear that the two rating agencies apply a policy of taking a severe downgrade through several mild down-grades. Further, our analysis of rating changes shows that issuers with headquarters in the US are less sharply downgraded than non-US issuers. For rating changes by Moody’s we also find that larger issuers seem to be downgraded less severely than smaller issuers.
147
This paper starts out by pointing out the challenges and weaknesses which the German banking systems faces according to the prevailing views among national and international observers. These challenges include a generalproblem of profitability and, possibly as its main reason, the strong role of public banks. These concerns raise the questions whether the facts support this assessment of a general profitability problem and whether there are reasons to expect a fundamental or structural transformation of the German banking system. The paper contains four sections. The first one presents the evidence concerning the profitability problem in a comparative, international perspective. The second section presents information about the so-called three-pillar system of German banking. What might be surprising in this context is that the group of pub lic banks is not only the largest segment of the German banking system, but that the primary savings banks also are its financially most successful part. The German banking system is highly fragmented. This fact suggests to discuss past, present and possible future consolidations in the banking system in the third section. The authors provide evidence to the effect that within- group consolidation has been going on at a rapid pace in the public and the cooperative banking groups in recent years and that this development has not yet come to an end, while within-group consolidation among the large private banks, consolidation across group boundaries at a national level and cross-border or international consolidation has so far only happened at a limited scale, and do not appear to gain momentum in the near future. In the last section, the authors develop their explanation for the fact that large-scale and cross border consolidation has so far not materialized to any great extent. Drawing on the concept of complementarity, they argue that it would be difficult to expect these kinds of mergers and acquisitions happening within a financial system which is itself surprisingly stable, or, as one cal also call it, resistant to change.
151
Despite a lot of re-structuring and many innovations in recent years, the securities transaction industry in the European Union is still a highly inefficient and inconsistently configured system for cross-border transactions. This paper analyzes the functions performed, the institutions involved and the parameters concerned that shape market and ownership structure in the industry. Of particular interest are microeconomic incentives of the main players that can be in contradiction to social welfare. We develop a framework and analyze three consistent systems for the securities transaction industry in the EU that offer superior efficiency than the current, inefficient arrangement. Some policy advice is given to select the 'best' system for the Single European Financial Market.
126
The paper is a follow-up to an article published in Technique Financière et Developpement in 2000 (see the appendix to the hardcopy version), which portrayed the first results of a new strategy in the field of development finance implemented in South-East Europe. This strategy consists in creating microfinance banks as greenfield investments, that is, of building up new banks which specialise in providing credit and other financial services to micro and small enterprises, instead of transforming existing credit-granting NGOs into formal banks, which had been the dominant approach in the 1990s. The present paper shows that this strategy has, in the course of the last five years, led to the emergence of a network of microfinance banks operating in several parts of the world. After discussing why financial sector development is a crucial determinant of general social and economic development and contrasting the new strategy to former approaches in the area of development finance, the paper provides information about the shareholder composition and the investment portfolio of what is at present the world's largest and most successful network of microfinance banks. This network is a good example of a well-functioning "private public partnership". The paper then provides performance figures and discusses why the creation of such a network seems to be a particularly promising approach to the creation of financially self-sustaining financial institutions with a clear developmental objective.
160
In this paper, we propose a model of credit rating agencies using the global games framework to incorporate information and coordination problems. We introduce a refined utility function of a credit rating agency that, additional to reputation maximization, also embeds aspects of competition and feedback effects of the rating on the rated firms. Apart from hinting at explanations for several hypotheses with regard to agencies' optimal rating assessments, our model suggests that the existence of rating agencies may decrease the incidence of multiple equilibria. If investors have discretionary power over the precision of their private information, we can prove that public rating announcements and private information collection are complements rather than substitutes in order to secure uniqueness of equilibrium. In this respect, rating agencies may spark off a virtuous circle that increases the efficiency of the market outcome.
159
Kapitalmarktorientierte Risikosteuerung in Banken : Marktwertsteuerung statt Marktzinsmethode
(2005)
In diesem Beitrag wird das Konzept der Marktzinsmethode als Grundlage der dualen Risikosteuerung von Kredit- und Marktpreisrisiken in Frage gestellt. Die Kreditrisiken einer Bank implizieren bonitätsinduzierte Marktpreisrisiken und bankspezifische Refinanzierungskosten. Während die bonitätsinduzierten Marktpreisrisiken in der dualen Risikosteuerung keine Berücksichtigung finden, werden die bankspezifischen Refinanzierungskosten zwar erkannt, aber bankintern nicht verursachungsgerecht zugeordnet. Das Grundmodell der Marktzinsmethode bietet keine Lösungsansätze zur Behebung dieser Probleme. Demgegenüber lassen sich die Fehlsteuerungsimpulse von vornherein durch eine konsequente Marktbewertung (Mark to Market) aller Finanzinstrumente vermeiden. Als Ausblick werden erste Überlegungen zur Implementierung einer umfassenden Marktwertsteuerung in Banken entwickelt und exemplarisch ein hierfür geeignetes Bewertungsmodell vorgestellt.
145
This paper examines intraday stock price effects and trading activity caused by ad hoc disclosures in Germany. The evidence suggests that the observed stock prices react within 90 minutes after the ad hoc disclosures. Trading volumes take even longer to adjust. We find no evidence for abnormal price reactions or abnormal trading volume before announcements. The bigger the company that announces an ad hoc disclosure, the less severe is the abnormal price effect following the announcement. The number of analysts is negatively correlated to the trading volume effect before the ad hoc disclosure. The higher the trading volume on the last trading day before the announcement, the greater is the price effect after the ad hoc disclosures and the greater the trading volume effect. Keywords: ad hoc disclosure rules, intraday stock price adjustments, market efficiency.
148
Small and medium-sized firms typically obtain capital via bank financing. They often rely on a mixture of relationship and arm’s-length banking. This paper explores the reasons for the dominance of heterogeneous multiple banking systems. We show that the incidence of inefficient credit termination and subsequent firm liquidation is contingent on the borrower’s quality and on the relationship bank’s information precision. Generally, heterogeneous multiple banking leads to fewer inefficient credit decisions than monopoly relationship lending or homogeneous multiple banking, provided that the relationship bank’s fraction of total firm debt is not too large.
149
Small and medium-sized firms typically obtain capital via bank financing. They often rely on a mixture of relationship and arm’s-length banking. This paper explores the reasons for the dominance of heterogeneous multiple banking systems. We show that the incidence of inefficient credit termination and subsequent firm liquidation is contingent on the borrower’s quality and on the relationship bank’s information precision. Generally, heterogeneous multiple banking leads to fewer inefficient credit decisions than monopoly relationship lending or homogeneous multiple banking, provided that the relationship bank’s fraction of total firm debt is not too large.