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Institute
- Center for Financial Studies (CFS) (63) (remove)
We analyze the implications of the governance structure in academic faculties for their recruitment decisions when competing for new researchers. The value to individual members through social interaction within the faculty depends on the average status of their fellow members. In recruitment decisions, incumbent members trade off the effect of entry on average faculty status against alternative uses of the recruitment budget if no entry takes place. We show that the best candidates join the best faculties but that they receive lower wages than some lesser ranking candidates. We also study the allocation of surplus created by the entry of a new faculty member and show that faculties with symmetric status distributions maximize their joint surplus under majority voting.
Die Studie untersucht die Frage, ob der Gesetzgeber des ARUG die Ziele erreicht hat, die mit der Reform des Rechts der Anfechtung von HVBeschlüssen verfolgt wurden. Darüber hinaus gehend soll die Entwicklung der Beschlußmängelklagen seit der letzten Studie der Verfasser hierzu nachgezeichnet werden. Unsere Studie zeigt, daß seit Inkrafttreten des ARUG ein deutlicher Rückgang der Beschlußmängelklagen und Freigabeverfahren zu verzeichnen ist. Dagegen ist der Anteil der von „Berufsklägern“ erhobenen Klagen und Nebeninterventionen gleich geblieben, wobei sich die Anzahl der Personen in der Gruppe der „Berufskläger“ nochmals vergrößert hat. Das ARUG hat insoweit keine erkennbare Wirkung gehabt...
Capturing the zero: a new class of zero-augmented distributions and multiplicative error processes
(2011)
We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed at high frequencies, such as cumulated trading volumes. We introduce a flexible point-mass mixture distribution and develop a semiparametric specification test explicitly tailored for such distributions. Moreover, we propose a new type of multiplicative error model (MEM) based on a zero-augmented distribution, which incorporates an autoregressive binary choice component and thus captures the (potentially different) dynamics of both zero occurrences and of strictly positive realizations. Applying the proposed model to high-frequency cumulated trading volumes of both liquid and illiquid NYSE stocks, we show that the model captures the dynamic and distributional properties of the data well and is able to correctly predict future distributions.
The European Commission's Green Paper "The EU corporate governance framework" raises 25 questions in order to assess the effectiveness of the current corporate governance framework for European companies. The authors contribute to the EU's consultation, respond to the 25 questions and comment on the suggestions set out in the Green Paper.
Am 27. März 2011 wird im Rahmen der hessischen Kommunalwahlen auch über eine Schuldenbremse abgestimmt. Diese sieht vor, dass vom Jahr 2020 an der Landeshaushalt grundsätzlich auszugleichen ist. Alfons Weichenrieder argumentiert, dass eine in der Verfassung verankerte Schuldenregel dazu geeignet ist die im politischen Prozess angelegten Anreize zur Verschuldung zu zügeln. Auf die disziplinierende Wirkung der Finanzmärkte alleine zu vertrauen reicht nicht.
This paper analyzes the emergence of systemic risk in a network model of interconnected bank balance sheets. Given a shock to asset values of one or several banks, systemic risk in the form of multiple bank defaults depends on the strength of balance sheets and asset market liquidity. The price of bank assets on the secondary market is endogenous in the model, thereby relating funding liquidity to expected solvency - an important stylized fact of banking crises. Based on the concept of a system value at risk, Shapley values are used to define the systemic risk charge levied upon individual banks. Using a parallelized simulated annealing algorithm the properties of an optimal charge are derived. Among other things we find that there is not necessarily a correspondence between a bank's contribution to systemic risk - which determines its risk charge - and the capital that is optimally injected into it to make the financial system more resilient to systemic risk. The analysis has policy implications for the design of optimal bank levies. JEL Classification: G01, G18, G33 Keywords: Systemic Risk, Systemic Risk Charge, Systemic Risk Fund, Macroprudential Supervision, Shapley Value, Financial Network
Der Weg in die Knechtschaft
(2011)
Die Marktwirtschaft beruht auf dem Prinzip, dass sich die Akteure im Rahmen des gesetzlichen Regelwerkes frei entfalten können. Hier liegt die entscheidende Stärke eines marktwirtschaftlichen, freiheitlichen Systems. Millionen von Individuen erwägen, welche Aktivitäten welche Chance eröffnen. Kein anderes System ist in der Lage, das Potential auszuschöpfen, das in unzähligen Individuen steckt. Der Markt ist nun einmal das beste "Entdeckungsverfahren", wie Hayek erkannte. Wer im Rahmen der Spielregeln Erfolg hat, darf nach diesen Prinzipien den Gewinn behalten, muss aber auch für den Misserfolg haften.
Das neue Kreditinstitute-Reorganisationsgesetz, das als Artikel 1 des Restrukturierungsgesetzes vom 9. Dezember 2010 erlassen worden ist, führt für deutsche Kreditinsitute eine Bankenabgabe ein. Die Abgabe soll als Mittel der Prävention und Intervention dienen, um Finanzkrisen vorzubeugen und zu bekämpfen. Der vorliegende Beitrag bewertet die deutsche Bankenabgabe nach verfassungsrechtlicher Zulässigkeit und nach ihrer Zweckerfüllung.
The aim of this paper is to examine what has been the role of information provision to the market throughout the crisis. We consider two main sources of information to the market, financial statements and information provided by credit rating agencies. We examine how these sources of information work and the effectiveness of their disclosure process during the crisis. Contrary to the commonly held view, fair value accounting did not have a major impact on the crisis development and severity. However, the structure and lack of accountability of credit rating agencies had a profound impact on their incentives, which may have jeopardized the accuracy of the whole rating process. We claim that the crisis experience has changed the way we think about information as well as market discipline and discuss policy implications and proposals for regulation. JEL Classification: G01, G24, G28, M41, M48