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133 search hits
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Bafin has the opportunity to recruit internationally
(2021)
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Volker Brühl
Jan Pieter Krahnen
- After Wirecard and Brexit, the realignment of Germany’s Federal Financial Supervisory Authority can succeed if the authority is set up with the right leadership personality.
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International rekrutieren – die Chance für die Bafin
(2021)
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Volker Brühl
Jan Pieter Krahnen
- Nach Wirecard und Brexit kann die Neuausrichtung der deutschen Finanzmarktaufsicht gelingen, wenn die Behörde mit der richtigen Führungskraft aufgestellt wird.
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Mishandling of the first loss piece and misalignment of bank manager compensation are causes of the international financial crisis
(2008)
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Günter Franke
Jan Pieter Krahnen
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Corona and banking - A financial crisis in slow motion? An evaluation of the policy options
(2021)
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Arnoud Boot
Elena Carletti
Hans-Helmut Kotz
Jan Pieter Krahnen
Loriana Pelizzon
Marti Subrahmanyam
- With the second wave of the Covid-19 pandemic in full swing, banks face a challenging environment. They will need to address disappointing results and adverse balance sheet restatements, the intensity of which depends on the evolution of the euro area economies. At the same time, vulnerable banks reinforce real economy deficiencies. The contribution of this paper is to provide a comparative assessment of the various policy responses to address a looming banking crisis. Such a crisis will fully materialize when non-performing assets drag down banks simultaneously, raising the specter of a full-blown systemic crisis. The policy responses available range from forbearance, recapitalization (with public or private resources), asset separation (bad banks, at national or EU level), to debt conversion schemes. We evaluate these responses according to a set of five criteria that define the efficacy of each. These responses are not mutually exclusive, in practice, as they have never been. They may also go hand in hand with other restructuring initiatives, including potential consolidation in the banking sector. Although we do not make a specific recommendation, we provide a framework for policymakers to guide them in their decision making.
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What are the wider supervisory implications of the Wirecard case?
(2020)
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Katja Langenbucher
Christian Leuz
Jan Pieter Krahnen
Loriana Pelizzon
- The paper discusses the policy implications of the Wirecard scandal. The study finds that all lines of defense against corporate fraud, including internal control systems, external audits, the oversight bodies for financial reporting and auditing and the market supervisor, contributed to the scandal and are in need of reform. To ensure market integrity and investor protection in the future, the authors make eight suggestions for the market and institutional oversight architecture in Germany and in Europe.
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Let market forces work in the financial sector
(2020)
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Jan Pieter Krahnen
- The ban on dividend payouts by the Eurozone’s supervisory authority is a discretionary action that clouds market expectations with regard to the equity of credit institutions.
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Die Marktkräfte im Finanzsektor wirken lassen
(2020)
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Jan Pieter Krahnen
- Das Dividendenverbot der Euro-Bankenaufsicht ist eine diskretionäre Maßnahme, die die Markterwartungen an das Eigenkapital von Kreditinstituten trübt.
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Insider trading and portfolio structure in experimental asset markets with a long lived asset
(1997)
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Jan Pieter Krahnen
Christian Rieck
Erik Theissen
- We report results of a series of nine market experiments with asymmetric information and a fundamental value process that is more "realistic" than those in previous experiments. Both a call market institution and a continuous double auction mechanism are employed. We find considerable pricing inefficiencies that are only partially exploited by insiders. The magnitude of insider gains is analyzed separately for each experiment. We find support for the hypothesis that the continuous double auction leads to more efficient outcomes. Finally, we present evidence of an endowment effect: the initial portfolio structure influences the final asset holdings of experimental subjects.
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Was leisten die Kursmakler? : eine empirische Untersuchung am Beispiel der Frankfurter Wertpapierbörse
(1998)
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Thorsten Freihube
Carl-Heinrich Kehr
Jan Pieter Krahnen
Erik Theissen
- Der vorliegende Beitrag führt eine detaillierte empirische Untersuchung über die Rolle der amtlichen Kursmakler an der Frankfurter Wertpapierbörse durch. Der verwendete Datensatz erlaubt eine Analyse des Einflusses der Maklertätigkeit auf Liquidität und Volatilität sowie eine Beurteilung der Profitabilität der Eigengeschäfte.
Die Beteiligung der Makler am Präsenzhandel ist erheblich. Ihre Eigengeschäfte machen über 20% des Handelsvolumens zu gerechneten Kursen und über 40% des Handelsvolumens im variablen Handel aus. Für letzteren wird zudem dokumentiert, daß die Tätigkeit der Makler zu einer deutlichen Reduktion der Geld-Brief-Spannen beiträgt. Die letztendlich gezahlte effektive Spanne beträgt im Durchschnitt weniger als ein Drittel der Spanne, die sich aus dem Orderbuch ergibt.
Für den Handel zu gerechneten Kursen wird gezeigt, daß die Preisfeststellung durch die Makler zu einer Verringerung der Volatilität führt. Eine Beurteilung des Einflusses der Makler auf die Volatilität im fortlaufenden Handel scheitert daran, daß das hierfür teilweise verwendete Maß, die Stabilisierungsrate, nach unserer Einschätzung keine aussagekräftigen Resultate liefert.
Die Makler erzielten während unseres Untersuchungszeitraums im Durchschnitt keinen Gewinn aus ihren Eigengeschäften. Eine Zerlegung der Gewinne in zwei Komponenten zeigt, daß positive Spannengewinne im Aggregat nicht für entstehende Positionierungsverluste kompensieren können.
Insgesamt zeigt unsere Untersuchung, daß die Kursmakler an den deutschen Wertpapierbörsen einen Beitrag zur Sicherung der Marktqualität leisten. Die Konsequenzen dieser Resultate für die Organisation des Aktienhandels in Deutschland werden diskutiert.
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The anatomy of a call market : evidence from Germany
(1998)
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Carl-Heinrich Kehr
Jan Pieter Krahnen
Erik Theissen
- This paper provides a detailed empirical analysis of the call auction procedure on the German stock exchanges. The auction is conducted by the Makler whose position resembles that of a NYSE specialist. We use a dataset which contains information about all individual orders for a sample of stocks traded on the Frankfurt Stock Exchange (FSE). This sample allows us to calculate the cost of transacting in a call market and compare them to the costs of transacting in a continuous market. We find that transaction costs for small transactions in the call market are lower than the quoted spread in the order book of the continuous market whereas transaction costs for large transactions are higher than the spread in the continuous market.
We further address the question whether active participation of the Makler is advantageous. On the one hand he may accomodate order imbalances, increase the liquidity of the market and stabilize prices. On the other hand, the discretion in price setting gives him an incentive to manipulate prices. This may increase return volatility. Our dataset identifies the trades the Maklers make for their own accounts. We eliminate these trades and determine the price that would have obtained without their participation. Comparing this hypothetical price series to the actual transaction prices, we find that Makler participation tends to reduce return volatility. A further analysis shows that the actual prices are much closer to the surrounding prices of the continuous trading session than the hypothetical prices that would have obtained without Makler participation. These results indicate that the Maklers provide a valuable service to the market. We further calculate the profits associated with the positions taken by the Maklers and find that, on average, they do not earn profits on the positions they take. Their compensation is thus restricted to the commissions they receive.
