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Over-allotment arrangements are nowadays part of almost any initial public offering. The underwriting banks borrow stocks from the previous shareholders to issue more than the initially announced number of shares. This is combined with the option to cover this short position at the issue price. We present empirical evidence on the value of these arrangements to the underwriters of initial public offerings on the Neuer Markt. The over-allotment arrangement is regarded as a portfolio of a long call option and a short position in a forward contract on the stock, which is different from other approaches presented in the literature.
Given the economically substantial values for these option- like claims we try to identify benefits to previous shareholders or new investors when the company is using this instrument in the process of going public. Although we carefully control for potential endogeneity problems, we find virtually no evidence for a reduction in underpricing for firms using over-allotment arrangements. Furthermore, we do not find evidence for more pronounced price stabilization activities or better aftermarket performance for firms granting an over-allotment arrangement to the underwriting banks.
EFM Classification: 230, 410
This paper uses the co-incidence of extreme shocks to banks’ risk to examine within country and across country contagion among large EU banks. Banks’ risk is measured by the first difference of weekly distances to default and abnormal returns. Using Monte Carlo simulations, the paper examines whether the observed frequency of large shocks experienced by two or more banks simultaneously is consistent with the assumption of a multivariate normal or a student t distribution. Further, the paper proposes a simple metric, which is used to identify contagion from one bank to another and identify “systemically important” banks in the EU.
Recent empirical studies on the inflation-growth-relationship underline that inflation has negative growth effects already under relatively modest rates. Most contributions to monetary growth theory, however, have difficulties in explaining such a pattern. It is shown in this paper that this problem can be overcome by establishing a link between monetary instability and the aggregate elasticity of factor substitution. Several microeconomic justifications can be found for a negative influence of inflation on factor substitution. It turns out that already in a simple neoclassical monetary growth model this effect is usually strong enough to question the superneutrality benchmark result in the steady state and to dominate all potential positive effects of inflation along the convergence path. In a more general perspective the paper contributes to a better integration of institutional change in aggregate models of economic growth.
Der "Generationenvertrag" der gesetzlichen Rentenversicherung hat die Grenzen seiner Leistungsfähigkeit erreicht. Damit ist die "erste Säule" der Alterssicherung, die auf diesem Umlageverfahren basiert, ins Wanken geraten. Schuld daran ist die zunehmende Überalterung der Gesellschaft, aber auch die anhaltend hohe Arbeitslosigkeit, die zu enormen Beitragsausfällen führt. Schon heute sind die Rentenzahlungen nur noch zu rund 75 Prozent durch die Sozialversicherungsbeiträge der arbeitenden Bevölkerung gedeckt, der Rest muss – ähnlich wie bei den Beamtenpensionen – aus dem allgemeinen Steueraufkommen finanziert werden. Das birgt vor allem für die jungen Beitragszahler substanzielle Risiken. Angesichts dieser Perspektiven sind immer weniger junge Menschen bereit, steigende Rentenbeiträge bei stetig sinkenden Leistungen zu akzeptieren. Kann die kapitalgedeckte Alterssicherung diese Defizite auffangen? Wie lassen sich die vielfältigen Konzepte der privaten Alterssicherung bewerten?
This paper investigates various theories explaining banks´ overbidding in the fixed rate tenders of the European Central Bank (ECB). Using auction data from both the Bundesbank and the ECB, we show that none of the theories can on its own explain the observed overbidding. This implies that the proposed new rules by the ECB, aimed at neutralizing interest rate expectations, would not eliminate overbidding if the rationing rule in the fixed rate tenders remains unchanged. JEL - Klassifikation: D44 , E32
A distinguishing feature of the ECB’s monetary policy setup is the preannouncement of a minimum bid rate in its weekly repo auctions. However, whenever interest rates are expected to decline, the minimum bid rate is viewed as too high and banks refrain from bidding, severely impeding the ECB’s money market management. To shed more light on banks’ underbidding, we perform a panel analysis of the bidder behavior in the repo auctions of the Bundesbank where no minimum bid rate was set. Our results indicate that neither bank’s participation nor the submitted bid amount is significantly affected by an expected rate cut. This suggests that abandoning the minimum bid rate might increase the efficiency of the ECB’s money market management.
This paper evaluates the effects of job creation schemes on the participating individuals in Germany. Since previous empirical studies of these measures have been based on relatively small datasets and focussed on East Germany, this is the first study which allows to draw policy-relevant conclusions. The very informative and exhaustive dataset at hand not only justifies the application of a matching estimator but also allows to take account of threefold heterogeneity. The recently developed multiple treatment framework is used to evaluate the effects with respect to regional, individual and programme heterogeneity. The results show considerable differences with respect to these sources of heterogeneity, but the overall finding is very clear. At the end of our observation period, that is two years after the start of the programmes, participants in job creation schemes have a significantly lower success probability on the labour market in comparison to matched non-participants. JEL Classification: H43, J64, J68, C13, C40