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Traditional tests of the CAPM following the Fama / MacBeth (1973) procedure are tests of the joint hypotheses that there is a relationship between beta and realized return and that the market risk premium is positive. The conditional test procedure developed by Pettengill / Sundaram / Mathur (1995) allows to independently test the hypothesis of a relation between beta and realized returns. Monte Carlo simulations show that the conditional test reliably identifies this relation. In an empirical examination for the German stock market we find a significant relation between beta and return. Previous studies failed to identify this relationship probably because the average market risk premium in the sample period was close to zero. Our results provide a justification for the use of betas estimated from historical return data by portfolio managers.
Central wage bargaining and local wage flexibility : evidence from the entire wage distribution
(1998)
We argue that in labor markets with central wage bargaining wage flexibility varies systematically across the wage distribution: local wage flexibility is more relevant for the upper part of the wage distribution, and flexibility of wages negotiated under central wage bargaining affects the lower part of the wage distribution. Using a random sample of German social-security accounts, we estimate wage flexibility across the wage distribution by means of quantile regressions. The results support our hypothesis, as employees with low wages have significantly lower local wage flexibility than high wage employees. This effect is particularly relevant for the lower educational groups. On the other hand, employees with low wages tend to have a higher wage flexibility with respect to national unemployment.
Untersuchungsgegenstand ist der empirische Gehalt der ökonomischen Theorie eines Hedgings auf Unternehmensebene. In den USA wurde die Hedging-Theorie in einer Reihe von empirischen Studien aufgegriffen. Die Befunde sind zumeist konsistent mit dem Erklärungsansatz von Froot/Scharfstein/Stein (1993), wonach eine Verringerung der Cashflow-Volatilität – unter der Annahme steigender Außenfinanzierungskosten – zu einer Reduzierung von Unterinvestitionskosten führt. Bei deutschen Unternehmen besitzt dieser Ansatz bemerkenswerterweise jedoch nur einen geringen Erklärungsgehalt. Die Ergebnisunterschiede können auf unterschiedliche Kapitalmarktverhältnisse zurückgeführt werden: Die unterstellten steigenden Kosten der Außenfinanzierung besitzen für deutsche Unternehmen aufgrund der Dominanz des Bezugsrechtsverfahrens sowie der Rolle der Hausbank als Mechanismus zur Überwindung von Informationsproblemen eine vergleichsweise geringere Bedeutung. Die Managerinteressen erweisen sich bei deutschen Unternehmen als eine wesentliche Hedging-Determinante. Zwischen der Höhe des gebundenen Managervermögens und der Hedging-Wahrscheinlichkeit besteht entsprechend der Hedging-Theorie ein signifikanter positiver Zusammenhang. Entgegen den amerikanischen Befunden kann jedoch eine disziplinierende Wirkung von Großaktionären auf die Hedging-Entscheidung nicht beobachtet werden. Zur Berücksichtigung der spezifischen deutschen Kapitalmarktverhältnisse wird der Einfluss von Bankenbeteiligungen und Familienunternehmen auf die Hedging-Entscheidung untersucht. Ein Bankeneinfluss auf die Derivateeinsatz-Entscheidung kann jedoch nicht festgestellt werden. Entgegen Diversifikations- und Kapitalmarktüberlegungen besteht bei Familienunternehmen interessanterweise eine signifikant geringere Hedging-Wahrscheinlichkeit.
In this study, we develop a technique for estimating a firm’s expected cost of equity capital derived from analyst consensus forecasts and stock prices. Building on the work of Gebhardt/Lee/-Swaminathan (2001) and Easton/Taylor/Shroff/Sougiannis (2002), our approach allows daily estimation, using only publicly available information at that date. We then estimate the expected cost of equity capital at the market, industry and individual firm level using historical German data from 1989-2002 and examine firm characteristics which are systematically related to these estimates. Finally, we demonstrate the applicability of the concept in a contemporary case study for DaimlerChrysler and the European automobile industry.
Past research suggests that international real estate markets show return characteristics and interrelationships with other asset classes, which probably qualify them as an interesting component of national and international asset allocation decisions. However, the special characteristics of real estate assets are quite distinct from that of financial assets, such as stocks and bonds. This is also the case for real estate return distributions. Therefore, the proper integration of real estate markets into asset allocation decisions requires profound understanding of real estate returns' distributional characteristics .
Because of the particular characteristics of real estate, representing real estate markets through reliable a time-series is a complex task. Consequently, reliable real estate indices with a sufficiently long history in major international real estate markets are only scarcely available. Most of the research that has been done on real estate returns was done for the U.K. and U.S., where eligible indices exist. On the other hand, in other important real estate markets, such as Germany, either little or no research has been perfoimed.
In this analysis, the methodology of Maurer, Sebastian and Stephan (2000) for indirectly deriving an appraisal-based index for the German commercial real estate market will be applied. This approach is solely based on publicly available data from German open-ended real estate investment trusts. It could also provide a solution to deriving a reliable real estate time-series for other markets.
We will extend previous analyses for the U.K. and U.S. to provide additional fundamental insights into the return characteristics of the German commercial real estate market. Despite univariate considerations, the main focus is the interrelationships between various international real estate markets, as well as between those respective markets and the international stock and bond markets.
A widely recognized paper by Colin Mayer (1988) has led to a profound revision of academic thinking about financing patterns of corporations in different countries. Using flow-of-funds data instead of balance sheet data, Mayer and others who followed his lead found that internal financing is the dominant mode of financing in all countries, that financing patterns do not differ very much between countries and that those differences which still seem to exist are not at all consistent with the common conviction that financial systems can be classified as being either bank-based or capital market-based. This leads to a puzzle insofar as it calls into question the empirical foundation of the widely held belief that there is a correspondence between the financing patterns of corporations on the one side, and the structure of the financial sector and the prevailing corporate governance system in a given country on the other side. The present paper addresses this puzzle on a methodological and an empirical basis. It starts by comparing and analyzing various ways of measuring financial structure and financing patterns and by demonstrating that the surprising empirical results found by studies that relied on net flows are due to a hidden assumption. It then derives an alternative method of measuring financing patterns, which also uses flow-of-funds data, but avoids the questionable assumption. This measurement concept is then applied to patterns of corporate financing in Germany, Japan and the United States. The empirical results, which use an estimation technique for determining gross flows of funds in those cases in which empirical data are not available, are very much in line with the commonly held belief prior to Mayer’s influential contribution and indicate that the financial systems of the three countries do indeed differ from one another in a substantial way, and moreover in a way which is largely in line with the general view of the differences between the financial systems of the countries covered in the present paper.
A widely recognized paper by Colin Mayer (1988) has led to a profound revision of academic thinking about financing patterns of corporations in different countries. Using flow-of-funds data instead of balance sheet data, Mayer and others who followed his lead found that internal financing is the dominant mode of financing in all countries, that therefore financial patterns do not differ very much between countries and that those differences which still seem to exist are not at all consistent with the common conviction that financial systems can be classified as being either bank-based or capital market-based. This leads to a puzzle insofar as it calls into question the empirical foundation of the widely held belief that there is a correspondence between the financing patterns of corporations on the one side, and the structure of the financial sector and the prevailing corporate governance system in a given country on the other side. The present paper addresses this puzzle on a methodological and an empirical basis. It starts by demonstrating that the surprising empirical results found by Mayer et al. are due to a hidden assumption underlying their methodology. It then derives an alternative method of measuring financing patterns, which also uses flow-of-funds data, but avoids the questionable assumption. This measurement concept is then applied to patterns of corporate financing in Germany, Japan and the United States. The empirical results are very much in line with the commonly held belief prior to Mayer’s influential contribution and indicate that the financial systems of the three countries do indeed differ from one another in a substantial way.
Real estate is an important asset, but as a direct investment subject to several difficulties. Shares of public open end funds or of real estate stock corporations represent a possible way for an investor to avoid these problems. The focus of this paper is the analysis of inflation risk of European real estate securities. An overview of the institutional frameworks regarding these companies is given. The returns of real estate securities in France, Germany, Switzerland and the United Kingdom are examined for the period 1980:1-1998:12. Besides the classical Fama/Schwert-approach, shortfall risk measurements have been used. In this context, transaction costs in particular have been taken into account.