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Aus Anlass des Fernseh-Sendebeginns in West- und Ostdeutschland vor 50 Jahren fand im Hans-Bredow-Institut in Hamburg am 5. und 6. Dezember 2002 ein Symposion unter dem Titel "Fernsehgeschichte als Zeitgeschichte - Zeitgeschichte als Fernsehgeschichte" statt. In einem kritischen Beitrag untersuchte Peter Zimmermann vor allem die "Feindbildkonstruktionen" des westlichen Fernsehens, die sich nach Aufffassung des Referenten auch bis nach dem Fall der Mauer nachweisen lassen. Zimmermann: "Im freudetrunkenen Monat November des Jahres 1989 schien das deutsche Wintermärchen mit dem Fall der Mauer endlich ein glückliches Ende zu finden. Ganz ungetrübt verlief die Wiedervereinigung der 'deutschen Brüder und Schwestern' allerdings auch in medialer Hinsicht nicht. Mit der sogenannten Abwicklung des DDR-Fernsehens und der DEFA übernahm das Fernsehen der Bundesrepublik auch die ostdeutsche 'Bilderhoheit'. Die in Film und Fernsehen der DDR bislang dominanten positiven Selbstbilder wurden fortan durch die im Westen dominierenden negativen Fremdbilder ersetzt. Es ist daher wenig verwunderlich, dass seit der Wiedervereinigung in den Fernsehdokumentationen zur deutschen Geschichte fast ausnahmslos der westdeutsche Blick dominiert und die Geschichte der DDR marginalisiert, abgewertet oder karikiert wird."
Inflation-targeting central banks have only imperfect knowledge about the effect of policy decisions on inflation. An important source of uncertainty is the relationship between inflation and unemployment. This paper studies the optimal monetary policy in the presence of uncertainty about the natural unemployment rate, the short-run inflation-unemployment tradeoff and the degree of inflation persistence in a simple macroeconomic model, which incorporates rational learning by the central bank as well as private sector agents. Two conflicting motives drive the optimal policy. In the static version of the model, uncertainty provides a motive for the policymaker to move more cautiously than she would if she knew the true parameters. In the dynamic version, uncertainty also motivates an element of experimentation in policy. I find that the optimal policy that balances the cautionary and activist motives typically exhibits gradualism, that is, it still remains less aggressive than a policy that disregards parameter uncertainty. Exceptions occur when uncertainty is very high and in inflation close to target.
With the Council regulation (EC) No. 1346/2000 of 29 May 2000 on insolvency proceedings, that came into effect May 31, 2002 the European Union has introduced a legal framework for dealing with cross-border insolvency proceedings. In order to achieve the aim of improving the efficiency and effectiveness of insolvency proceedings having cross-border effects within the European Community, the provisions on jurisdiction, recognition and applicable law in this area are contained in a Regulation, a Community law measure which is binding and directly applicable in Member States. The goals of the Regulation, with 47 articles, are to enable cross-border insolvency proceedings to operate efficiently and effectively, to provide for co-ordination of the measures to be taken with regard to the debtor’s assets and to avoid forum shopping. The Insolvency Regulation, therefore, provides rules for the international jurisdiction of a court in a Member State for the opening of insolvency proceedings, the (automatic) recognition of these proceedings in other Member States and the powers of the ‘liquidator’ in the other Member States. The Regulation also deals with important choice of law (or: private international law) provisions. The Regulation is directly applicable in the Member States3 for all insolvency proceedings opened after 31 May 2002.
We use consumer price data for 205 cities/regions in 21 countries to study PPP deviations before, during and after the major currency crises of the 1990s. We combine data from industrialized nations in North America (Unites States, Canada and Mexico), Europe (Germany, Italy, Spain and Portugal), Asia (Japan and South Korea), and Oceania (Australia and New Zealand) with corresponding data from emerging market economies in South America (Argentina, Bolivia, Brazil, Columbia) and Asia (India, Indonesia, Malaysia, Philippines, Taiwan, Thailand). By doing so, we confirm previous results that both distance and border explain a significant amount of relative price variation across different locations. We also find that currency attacks had major disintegration effects by considerably increasing these border effects and by raising within-country relative price dispersion in emerging market economies. These effects are found to be quite persistent since relative price volatility across emerging markets today is still significantly larger than a decade ago.
We use consumer price data for 81 European cities (in Germany, Austria, Finland, Italy, Spain, Portugal and Switzerland) to study the impact of the introduction of the euro on goods market integration. Employing both aggregated and disaggregated consumer price index (CPI) data we confirm previous results which showed that the distance between European cities explains a significant amount of the variation in the prices of similar goods in different locations. We also find that the variation of relative prices is much higher for two cities located in different countries than for two equidistant cities in the same country. Under the EMU, the elimination of nominal exchange rate volatility has largely reduced these border effects, but distance and border still matter for intra-European relative price volatility.
Using a unique, hand-collected database of all venture-backed firms listed on Germany´s Neuer Markt, we analyze the history of venture capital financing of these firms before the IPO and the behavior of venture capitalists at the IPO. We can detect significant differences in the behavior and characteristics of German vs. foreign venture capital firms. The discrepancy in the investment and divestment strategies may be explained by the grandstanding phenomenon, the value-added hypothesis and certification issues. German venture capitalists are typically younger and smaller than their counterparts from abroad. They syndicate less. The sectoral structure of their portfolios differs from that of foreign venture capital firms. We also find that German venture capitalists typically take companies with lower offering volumes on the market. They usually finance firms in a later stage, carry through fewer investment rounds and take their portfolio firms public earlier. In companies where a German firm is the lead venture capitalist, the fraction of equity held by the group of venture capitalists is lower, their selling intensity at the IPO is higher and the committed lock-up period is longer.
We analyze the venture capitalist´s decision on the timing of the IPO, the offer price and the fraction of shares he sells in the course of the IPO. A venture capitalist may decide to take a company public or to liquidate it after one or two financing periods. A longer venture capitalist´s participation in a firm (later IPO) may increase its value while also increasing costs for the venture capitalist. Due to his active involvement, the venture capitalist knows the type of firm and the kind of project he finances before potential new investors do. This information asymmetry is resolved at the end of the second period. Under certain assumptions about the parameters and the structure of the model, we obtain a single equilibrium in which high-quality firms separate from low-quality firms. The latter are liquidated after the first period, while the former go public either after having been financed by the venture capitalist for two periods or after one financing period using a lock-up. Whether a strategy of one or two financing periods is chosen depends on the consulting intensity of the project and / or on the experience of the venture capitalist. In the separating equilibrium, the offer price corresponds to the true value of the firm. An earlier version of this paper appeared as: The Decision of Venture Capitalists on Timing and Extent of IPOs (ZEW Discussion Paper No. 03-12). This version July 2003.
This paper analyses the long-term effects of improved small-scale lending, often provided by microfinance institutions set up with the support of development aid. The analysis shows that some common assumptions about microfinance are not true at all: First, it shows that the impact on income will accrue not to the microenterprises themselves, but rather to the consumers of their products. Second, microfinance will have a significant positive effect on the wage levels of employees in the informal sector. Third, microfinance will cause high growth rates in the informal production sector, whereas the trade sector will either contract or at best grow very little.
The theoretical derivation of credit market segmentation as the result of a free market process
(2003)
Information asymmetries make it difficult for banks to assess accurately whether specific entrepreneurs are able and/or willing to repay their loans. This leads to implicit interest rate ceilings, i.e. banks "refuse" to increase their interest rates beyond this ceiling as this would lower their net returns. Although the maximum interest rate increases as the size of enterprises decreases, such ceilings nonetheless constrain the banks’ ability to set interest rates at a level that would enable them to cover costs. If transaction costs are high, the total costs associated with granting small and medium-sized loans will exceed the maximum average return which the banks can earn by issuing such loans. For this reason, banks do not lend to small and medium-sized enterprises, and, as a consequence, these businesses have no access to formal sector loans. Because micro and small enterprises have a very high RoI, it is worthwhile for them to rely on expensive informal loans to finance their operations, at least until they reach a certain size. Once they have reached this size, however, it does not make economic sense for them to continue taking out informal credits, and thus they face a growth constraint imposed by the credit market. Medium-sized enterprises earn a lower RoI than small ones, which is why borrowing in the informal credit market is not a worthwhile option for them. Moreover, they do not have access to credit from formal financial institutions, and are thus excluded from obtaining any kind of financing in either of the two credit markets. As the result of free, unregulated market forces we get a stable equilibrium in which the credit market is segmented into an informal (small loan) segment, a formal (large loan) segment and, in between, a "non-market" (medium loan) segment.
The German financial system is the archetype of a bank-dominated system. This implies that organized equity markets are, in some sense, underdeveloped. The purpose of this paper is, first, to describe the German equity markets and, second, to analyze whether it is underdeveloped in any meaningful sense. In the descriptive part we provide a detailed account of the microstructure of the German equity markets, putting special emphasis on recent developments. When comparing the German market with its peers, we find that it is indeed underdeveloped with respect to market capitalization. In terms of liquidity, on the other hand, the German equity market is not generally underdeveloped. It does, however, lack a liquid market for block trading. Klassifikation: G 51 . Revised version forthcoming in "The German Financial System", edited by Jan P. Krahnen and Reinhard H. Schmidt, Oxford University Press.
1. Die Vorschrift des § 18 Abs. 2 WpÜG ist gegen den zu weit geratenen Wortlaut unter Berücksichtigung des Regelungszwecks einschränkend dahin auszulegen, dass ein Angebot mit einem Widerrufs- oder Rücktrittsvorbehalt versehen werden kann, sofern der Bieter oder ihm nach § 18 Abs. 1 WpÜG zuzurechnende Personen oder Unternehmen den Eintritt des Widerrufs- oder Rücktrittsgrunds nicht ausschließlich selbst herbeiführen können. 2. Eine Entscheidung zur Abgabe eines Angebots i.S. des § 10 Abs. 1 Satz 1 WpÜG ist gegeben, wenn die Entscheidung nur noch von Umständen abhängt, deren Eintritt der Bieter oder ihm nach § 18 Abs. 1 WpÜG zuzurechnende Personen oder Unternehmen nicht ausschließlich selbst herbeiführen können, die also nicht aus dem Herrschaftsbereich des Bieters stammen. 3. Der Bieter kann die Entscheidung zur Abgabe eines Angebots analog § 18 Abs. 2 WpÜG ebenso wie ein Angebot unter einen Widerrufs- oder Rücktrittsvorbehalt stellen, sofern der Bieter oder ihm nach § 18 Abs. 1 WpÜG zuzurechnende Personen oder Unternehmen den Eintritt des Widerrufs- oder Rücktrittsgrunds nicht ausschließlich selbst herbeiführen können. Zulässig ist analog §§ 18 Abs. 1, 25 WpÜG zudem ein auf die Zustimmung der Gesellschafterversammlung des Bieters bezogener Vorbehalt. Darüber hinaus darf der Bieter eine Angebotsankündigung mit einem Finanzierungsvorbehalt für den Fall versehen, dass die Gesellschafterversammlung nicht vor Veröffentlichung der Angebotsunterlage einer für die Finanzierung des Angebots erforderlichen Kapitalmaßnahme zustimmt. 4. Der Widerruf der Entscheidung zur Abgabe eines Angebots ist als actus contrarius zu der Angebotsankündigung erst mit Veröffentlichung analog § 10 Abs. 3 Satz 1 WpÜG beachtlich. 5. Mit ordnungsgemäß veröffentlichtem Widerruf der Entscheidung wird der Bieter von der Pflicht zur Übermittlung einer Angebotsunterlage an die BaFin (§ 14 Abs. 1 Satz 1 WpÜG) sowie zur Veröffentlichung einer Angebotsunterlage (§ 14 Abs. 2 Satz 1 WpÜG) frei. Eine Untersagung des Angebots gemäß § 15 Abs. 1 Nr. 3 oder 4 WpÜG kommt damit nicht mehr in Betracht. Darüber hinaus stellt die Nichtübermittlung oder Nichtveröffentlichung der Angebotsunterlage in diesem 15 Fall keine Ordnungswidrigkeit gemäß § 60 Abs. 1 Nr. 1 a) oder Nr. 2 a) WpÜG dar.
Mord-Geschichten
(2003)
Increasingly, alternative investments via hedge funds are gaining importance in Germany. Just recently, this subject was taken up in the legal literature, too; this resulted in a higher product transparency. However, German investment law and, particularly, the special division "hedge funds" is still a field dominated by practitioners. First, the present situation shall be outlined. In addition, a description of the current development is given, in which the practical knowledge of the author is included. Finally, the hedge fund regulation intended by the legislator at the beginning of the year 2004 is legally evaluated against this background.
Efficient systems for the securities transaction industry : a framework for the European Union
(2003)
This paper provides a framework for the securities transaction industry in the EU to understand the functions performed, the institutions involved and the parameters concerned that shape market and ownership structure. Of particular interest are microeconomic incentives of the industry players that can be in contradiction to social welfare. We evaluate the three functions and the strategic parameters - the boundary decision, the communication standard employed and the governance implemented - along the lines of three efficiency concepts. By structuring the main factors that influence these concepts and by describing the underlying trade-offs among them, we provide insight into a highly complex industry. Applying our framework, the paper describes and analyzes three consistent systems for the securities transaction industry. We point out that one of the systems, denoted as 'contestable monopolies', demonstrates a superior overall efficiency while it might be the most sensitive in terms of configuration accuracy and thus difficult to achieve and sustain.
Die Begrenzung der Beteiligungen von Einlagenkreditinstituten an Unternehmen außerhalb des Finanzsektors nach § 12 Abs. 1 KWG ist mit der Einführung des Begriffs der qualifizierten Beteiligung (§ 1 Abs. 15 KWG) durch das Vierte Finanzmarktförderungsgesetz1 neu geregelt worden, nachdem § 12 KWG bereits zuvor im Rahmen der 6. KWG-Novelle2 gänzlich umgestaltet wurde3. Bislang knüpfte die bankaufsichtsrechtliche Reglementierung von Unternehmensbeteiligungen an den Begriff der bedeutenden Beteiligung im Sinne von § 1 Abs. 9 KWG an. Da dieser Begriff zugleich Anknüpfungspunkt für die Regeln über die Anteilseignerkontrolle gemäß § 2b KWG ist und beiden Regelungsbereichen ein unterschiedlicher Normzweck zugrunde liegt, hat es der Gesetzgeber aus Gründen der Rechtsklarheit für erforderlich gehalten, den Begriff der qualifizierten Beteiligung einzuführen, um nicht völlig unterschiedliche Sachverhalte mit dem gleichen juristischen Term zu besetzen 4. § 2b KWG dient dazu, die an Instituten tatsächlich bestehenden Machtverhältnisse offenzulegen, um es der Bundesanstalt für Finanzdienstleistungsaufsicht (BaFin) zu ermöglichen, etwaige Gefahren für die Funktionsfähigkeit von Instituten rechtzeitig abzuwehren5. Demgegenüber sollen durch die Begrenzung von Beteiligungen nach § 12 Abs. 1 und 2 KWG in erster Linie Ansteckungsrisiken reduziert werden6. Beteiligungen können die Solidität des beteiligten Unternehmens in Gefahr bringen, wenn das Beteiligungsunternehmen in finanzielle Schwierigkeiten gerät oder sogar insolvent wird. Für Einlagenkreditinstitute ist die Gefahr einer beteiligungsbedingten Ansteckung besonders hoch, da sie ihre Aktiva durch die Hereinnahme von Einlagen überwiegend fremd finanzieren7. Die bankaufsichtsrechtliche Beteiligungsreglementierung verdient vor dem Hintergrund ihrer neuen Fassung eine nähere Überprüfung. Bei der Untersuchung wird insbesondere der für die Begrenzung von Beteiligungen zentrale Begriff der qualifizierten Beteiligung nach 1 Abs. 15 KWG analysiert (dazu III.). Darüber hinaus werden die sonstigen Tatbestandsmerkmale des § 12 Abs. 1 KWG (dazu II. und IV.) sowie die Folgen der Überschreitung vorgegebener Beteiligungsbegrenzungen erörtert (dazu V.). Eine Beurteilung der Regulierung von Unternehmensbeteiligungen nach § 12 Abs. 1 KWG rundet den Beitrag ab.
Methoden der Filmauswertung
(2003)
This paper proposes a non-standard way to combine lazy functional languages with I/O. In order to demonstrate the usefulness of the approach, a tiny lazy functional core language FUNDIO , which is also a call-by-need lambda calculus, is investigated. The syntax of FUNDIO has case, letrec, constructors and an IO-interface: its operational semantics is described by small-step reductions. A contextual approximation and equivalence depending on the input-output behavior of normal order reduction sequences is defined and a context lemma is proved. This enables to study a semantics of FUNDIO and its semantic properties. The paper demonstrates that the technique of complete reduction diagrams enables to show a considerable set of program transformations to be correct. Several optimizations of evaluation are given, including strictness optimizations and an abstract machine, and shown to be correct w.r.t. contextual equivalence. Correctness of strictness optimizations also justifies correctness of parallel evaluation. Thus this calculus has a potential to integrate non-strict functional programming with a non-deterministic approach to input-output and also to provide a useful semantics for this combination. It is argued that monadic IO and unsafePerformIO can be combined in Haskell, and that the result is reliable, if all reductions and transformations are correct w.r.t. to the FUNDIO-semantics. Of course, we do not address the typing problems the are involved in the usage of Haskell s unsafePerformIO. The semantics can also be used as a novel semantics for strict functional languages with IO, where the sequence of IOs is not fixed.
Der folgende Beitrag geht der Frage nach, wie die Verteilung von Entscheidungs- und Handlungsrechten in Unternehmen im Rahmen der Corporate Governance ausgestaltet werden kann. Im Zentrum der Überlegungen steht die Frage, welcher der am Unternehmen beteiligten Interessengruppen diese Rechte sinnvollerweise zukommen sollten. Insbesondere die beiden polaren Systeme - das auf dem Shareholder-Value-Primat aufbauende System einer ausschließlich im Interesse der Aktionäre geführten Unternehmung auf der eine Seite - und einem Corporate Governance-System, das die Interessen aller am Unternehmen beteiligten Stakeholder berücksichtigt, auf der anderen Seite - werden geschildert und mit den Mitteln der ökonomischen Theorie bewertet. Spezifische Investitionen möglicher Stakeholder und die Institutionen und Mechanismen, die eine Absicherung der daraus entstehenden ökonomischen Renten für die jeweiligen Stakeholder erlauben, sind damit wichtige Bestimmungsparameter für die Unternehmensverfassung. Insbesondere die Existenz und Güte von Märkten innerhalb des Finanzsystems, in dem ein Unternehmen tätig ist, lassen das ein oder das andere Corporate Governance-System vorteilhafter erscheinen. Überlegungen zu anderen möglichen Mechanismen, die auf der internen Organisation von Unternehmungen basieren und dadurch eine Feinsteuerung von Entscheidungs- und Handlungsrechten - und der damit verbundenen Machtverteilung zwischen den Interessengruppen im Unternehmen - erlaubt, schließen die Arbeit ab.
What constitutes a financial system in general and the German financial system in particular?
(2003)
This paper is one of the two introductory chapters of the book "The German Financial System". It first discusses two issues that have a general bearing on the entire book, and then provides a broad overview of the German financial system. The first general issue is that of clarifying what we mean by the key term "financial system" and, based on this definition, of showing why the financial system of a country is important and what it might be important for. Obviously, a definition of its subject matter and an explanation of its importance are required at the outset of any book. As we will explain in Section II, we use the term "financial system" in a broad sense which sets it clearly apart from the narrower concept of the "financial sector". The second general issue is that of how financial systems are described and analysed. Obviously, the definition of the object of analysis and the method by which the object is to be analysed are closely related to one another. The remainder of the paper provides a general overview of the German financial system. In addition, it is intended to provide a first indication of how the elements of the German financial system are related to each other, and thus to support our claim from Section II that there is indeed some merit in emphasising the systemic features of financial systems in general and of the German financial system in particular. The chapter concludes by briefly comparing the general characteristics of the German financial system with those of the financial systems of other advanced industrial countries, and taking a brief look at recent developments which might undermine the "systemic" character of the German financial system.
Die durch jahrzehntelange Planwirtschaft geprägten Strukturen sind in Russland noch fest verwurzelt. Dementsprechend ist das Bankensystem auch zwölf Jahre nach dem Ende des kommunistischen Regimes unterentwickelt. Die markantesten Merkmale der Finanzwirtschaft sind die ungewöhnliche Größenstruktur der Banken; deren Schwierigkeiten, die rapide zunehmende Zahl kleinster, kleiner und mittlerer Unternehmen mit Finanzdienstleistungen zu versorgen sowie die geringe Rolle ausländischer Banken. Überdies sind die weiterhin bestehenden Systemrisiken nicht zu unterschätzen.
A financial system can only perform its function of channelling funds from savers to investors if it offers sufficient assurance to the providers of the funds that they will reap the rewards which have been promised to them. To the extent that this assurance is not provided by contracts alone, potential financiers will want to monitor and influence managerial decisions. This is why corporate governance is an essential part of any financial system. It is almost obvious that providers of equity have a genuine interest in the functioning of corporate governance. However, corporate governance encompasses more than investor protection. Similar considerations also apply to other stakeholders who invest their resources in a firm and whose expectations of later receiving an appropriate return on their investment also depend on decisions at the level of the individual firm which would be extremely difficult to anticipate and prescribe in a set of complete contingent contracts. Lenders, especially long-term lenders, are one such group of stakeholders who may also want to play a role in corporate governance; employees, especially those with high skill levels and firm-specific knowledge, are another. The German corporate governance system is different from that of the Anglo-Saxon countries because it foresees the possibility, and even the necessity, to integrate lenders and employees in the governance of large corporations. The German corporate governance system is generally regarded as the standard example of an insider-controlled and stakeholder-oriented system. Moreover, only a few years ago it was a consistent system in the sense of being composed of complementary elements which fit together well. The first objective of this paper is to show why and in which respect these characterisations were once appropriate. However, the past decade has seen a wave of developments in the German corporate governance system, which make it worthwhile and indeed necessary to investigate whether German corporate governance has recently changed in a fundamental way. More specifically one can ask which elements and features of German corporate governance have in fact changed, why they have changed and whether those changes which did occur constitute a structural change which would have converted the old insider-controlled system into an outsider-controlled and shareholder-oriented system and/or would have deprived it of its former consistency. It is the second purpose of this paper to answer these questions. Revised version forthcoming in "The German Financial System", edited by Jan P. Krahnen and Reinhard H. Schmidt, Oxford University Press.
A financial system can only perform its function of channelling funds from savers to investors if it offers sufficient assurance to the providers of the funds that they will reap the rewards which have been promised to them. To the extent that this assurance is not provided by contracts alone, potential financiers will want to monitor and influence managerial decisions. This is why corporate governance is an essential part of any financial system. It is almost obvious that providers of equity have a genuine interest in the functioning of corporate governance. However, corporate governance encompasses more than investor protection. Similar considerations also apply to other stakeholders who invest their resources in a firm and whose expectations of later receiving an appropriate return on their investment also depend on decisions at the level of the individual firm which would be extremely difficult to anticipate and prescribe in a set of complete contingent contracts. Lenders, especially long-term lenders, are one such group of stakeholders who may also want to play a role in corporate governance; employees, especially those with high skill levels and firm-specific knowledge, are another. The German corporate governance system is different from that of the Anglo-Saxon countries because it foresees the possibility, and even the necessity, to integrate lenders and employees in the governance of large corporations. The German corporate governance system is generally regarded as the standard example of an insider-controlled and stakeholder-oriented system. Moreover, only a few years ago it was a consistent system in the sense of being composed of complementary elements which fit together well. The first objective of this paper is to show why and in which respect these characterisations were once appropriate. However, the past decade has seen a wave of developments in the German corporate governance system, which make it worthwhile and indeed necessary to investigate whether German corporate governance has recently changed in a fundamental way. More specifically one can ask which elements and features of German corporate governance have in fact changed, why they have changed and whether those changes which did occur constitute a structural change which would have converted the old insider-controlled system into an outsider-controlled and shareholder-oriented system and/or would have deprived it of its former consistency. It is the second purpose of this paper to answer these questions.
The paper explores factors that influence the design of financing contracts between venture capital investors and European venture capital funds. 122 Private Placement Memoranda and 46 Partnership Agreements are investigated in respect to the use of covenant restrictions and compensation schemes. The analysis focuses on the impact of two key factors: the reputation of VC-funds and changes in the overall demand for venture capital services. We find that established funds are more severely restricted by contractual covenants. This contradicts the conventional wisdom which assumes that established market participants care more about their reputation, have less incentive to behave opportunistically and therefore need less covenant restrictions. We also find that managers of established funds are more often obliged to invest own capital alongside with investors money. We interpret this as evidence that established funds have actually less reason to care about their reputation as compared to young funds. One reason for this surprising result could be that managers of established VC funds are older and closer to retirement and therefore put less weight on the effects of their actions on future business opportunities. We also explore the effects of venture capital supply on contract design. Gompers and Lerner (1996) show that VC-funds in the US are able to reduce the number of restrictive covenants in years with high supply of venture capital and interpret this as a result of increased bargaining power by VC-funds. We do not find similar evidence for Europe. Instead, we find that VC-funds receive less base compensation and higher performance related compensation in years with strong capital inflows into the VC industry. This may be interpreted as a signal of overconfidence: Strong investor demand seems to coincide with overoptimistic expectations by fund managers which make them willing to accept higher powered incentive schemes.
The paper describes the legal and economic environment of mergers and acquisitions in Germany and explores barriers to obtaining and executing corporate control. Various cases are used to demonstrate that resistance by different stakeholders including minority shareholders, organized labour and the government may present powerful obstacles to takeovers in Germany. In spite of the overall convergence of European takeover and securities trading laws, Germany still shows many peculiarities that make its market for corporate control distinct from other countries. Concentrated share ownership, cross shareholdings and pyramidal ownership structures are frequent barriers to acquiring majority stakes. Codetermination laws, the supervisory board structure and supermajority requirements for important corporate decisions limit the execution of control by majority shareholders. Bidders that disregard the German preference for consensual solutions and the specific balance of powers will risk their takeover attempt be frustrated by opposing influence groups. Revised version forthcoming in "The German Financial System", edited by Jan P. Krahnen and Reinhard H. Schmidt, Oxford University Press.
Wissen ist in jüngster Zeit zu einem zentralen Begriff in der Debatte um regionale Entwicklung geworden. Wissen gilt schlechthin als Motor des innovationsgetriebenen ökonomischen Wachstums. Es nimmt gegenwärtig neben den bekannten klassischen Produktionsfaktoren die Rolle desjenigen Produktionsfaktors ein, der als grundlegend für regionale Entwicklung verstanden wird. In diesem Kontext übernehmen wissensintensive Dienstleister die zentrale Rolle als Mittler von Wissen: Sie dienen als Transmissionsriemen in Wissensprozessen. Sie sind heute von erheblicher Bedeutung, da man annimmt, dass Unternehmen nicht mehr in der Lage sind, allein durch eigene Anstrengungen in ausreichendem Maße neues Wissen zu schaffen; neues Wissen, das nur durch Transfer für Unternehmen nutzbar gemacht werden müsste, schlicht nicht in akademischen Einrichtungen wie Universitäten vorhanden ist; die Bedingungen volatiler Märkte und eines zunehmenden Innovationswettbewerbs die Anforderungen an die Wissensgenerierung durch Unternehmen radikal erhöht haben. Neue Wege der Wissensgenerierung müssen daher beschritten werden. Die alte Vorstellung eines linearen Prozesses der Wissensgenerierung vom akademischen Grundlagenwissen über die Angewandte Forschung bis zur Entwicklung und Anwendung, den man auch mit dem Konzept des mode 1 Modells bezeichnet, wird durch das Konzept des interaktiven Modells beziehungsweise des mode 2 Modells der Wissensgenerierung ergänzt, wenn nicht ersetzt (Gibbons et al. 1994). Dieses Konzept sieht die Wissensgenerierung als einen vielfältig vernetzten, rekursiven und reflexiven Prozess (zusammenfassend Malecki 2000). Fragen, wie Prozesse der Wissensgenerierung und des Lernens organisiert werden, rücken damit in den Vordergrund. Daher wird das gegenwärtige Stadium der wirtschaftlichen Entwicklung gerne als Lernende Ökonomie bezeichnet (Lundvall/Johnson 1994, OECD 2001, Archibugi/Lundvall 2002). Eine der Konsequenzen dieser Debatte ist, dass uns heute wissensintensive Prozesse als solche sowie in ihrer Geographie komplexer erscheinen als früher. Auf der einen Seite wird den wissensintensiven Dienstleistern ein wesentlicher und zunehmender Anteil an der Generierung von Innovationen und Lösungen für neue Geschäftsvorgänge zugemessen (Bryson u.a. 2000). Die Organisation von Wissensprozessen wird für diese Unternehmen zu einem wichtigen Faktor ihrer Wettbewerbsfähigkeit. Auf der anderen Seite wird vermutet, dass Wissen eine 3 räumliche Komponente hat und daher Wege der räumlichen Organisation von Wissensprozessen zu den bedeutenden Instrumenten gehören, im Wettbewerb zu bestehen. Der kognitive Prozess der Generierung und Aneignung von Wissen macht die Organisation von Kommunikation und sozialer Interaktion notwendig. Dies ist eine wesentliche Aufgabe des Wissensmanagements, das sich dazu verschiedener Dimensionen von Nähe bedient. Dieser Beitrag will die Rolle, die ökonomische Akteure den verschiedenen Dimensionen von Nähe im Management von Wissensprozessen zumessen, an zwei Fallstudien beleuchten. Er wird mit dem M&AGeschäft einen Fall wissens-basierter Dienstleistungen für den Dienstleistungssektor, genauer den Finanzsektor, mit einem Fall wissens-basierter Dienstleistungen für den produzierenden Sektor hier die Modellentwicklung in der Automobilindustrie vergleichen. Wir hoffen, mit dem Vergleich einerseits aufzuzeigen, dass die konkrete Form der Organisation von Nähen in Wissensprozessen kontext-spezifisch ist, und andererseits die Bedingungen aufzudecken, die die jeweilige Form der Organisation bestimmen.
In this paper we demonstrate how to relate the semantics given by the nondeterministic call-by-need calculus FUNDIO [SS03] to Haskell. After introducing new correct program transformations for FUNDIO, we translate the core language used in the Glasgow Haskell Compiler into the FUNDIO language, where the IO construct of FUNDIO corresponds to direct-call IO-actions in Haskell. We sketch the investigations of [Sab03b] where a lot of program transformations performed by the compiler have been shown to be correct w.r.t. the FUNDIO semantics. This enabled us to achieve a FUNDIO-compatible Haskell-compiler, by turning o not yet investigated transformations and the small set of incompatible transformations. With this compiler, Haskell programs which use the extension unsafePerformIO in arbitrary contexts, can be compiled in a "safe" manner.
The imagination has become a major site for studying transnational cultural flows. Yet it is mainly the mass media that are explored as channels directing the imagination from "the West" towards "the rest". And there is still little empirical "testing" of this field. How do such ‐ and other ‐ imaginary sources work into social practice? And what does such "practised imagination" imply for the practice of transnational anthropology? This article attempts to address these questions from the perspective of fieldwork in progress. In and between Crete and Germany I traced transnational networks based on the reciprocal mobilities of migration, remigration, and tourism. Here, multiple domains of imagination are drawn upon by various audiences, thus effectively contributing to the creation of these relations and the places in which they localise. Anthropological research on tourism and migration has tended to separate the imagination ‐ as being an external impact ‐ from local practice. Yet, transnational ethnography needs to challenge this opposition and is in itself a strategy to do so, in that it perceives the imagination as a practice of transcending physical and cultural distance.
We develop a behavioral exchange rate model with chartists and fundamentalists to study cyclical behavior in foreign exchange markets. Within our model, the market impact of fundamentalists depends on the strength of their belief in fundamental analysis. Estimation of a STAR GARCH model shows that the more the exchange rate deviates from its fundamental value, the more fundamentalists leave the market. In contrast to previous findings, our paper indicates that due to the nonlinear presence of fundamentalists, market stability decreases with increasing misalignments. A stabilization policy such as central bank interventions may help to deflate bubbles.
This paper determines the cost of employee stock options (ESOs) to shareholders. I present a pricing method that seeks to replicate the empirics of exercise and cancellation as good as possible. In a first step, an intensity-based pricing model of El Karoui and Martellini is adapted to the needs of ESOs. In a second step, I calibrate the model with a regression analysis of exercise rates from the empirical work of Heath, Huddart and Lang. The pricing model thus takes account for all effects captured in the regression. Separate regressions enableme to compare options for top executives with those for subordinates. I find no price differences. The model is also applied to test the precision of the fair value accounting method for ESOs, SFAS 123. Using my model as a reference, the SFAS method results in surprisingly accurate prices.
This study contributes to the valuation of employee stock options (ESO) in two ways: First, a new pricing model is presented, admitting a major part of calculations to be solved in closed form. Designed with a focus on good replication of empirics, the model fits with publicly observable exercise characteristics better than earlier models. In particular, it is able to account for the correlation of the time of exercise and the stock price at exercise, suspected of being crucial for the option value. The impact of correlation is weak, however, whereas cancellations play a central role. The second contribution of this paper is an examination to what extent the ESO pricing method of SFAS 123 is subject to discretion of the accountant. Given my model were true, the SFAS price would be a good proxy. Yet, outside shareholders usually cannot observe one of the SFAS input parameters. On behalf of an example I show that there is wide latitude left to the accountant.
This study contributes to the valuation of employee stock options (ESO) in two ways: First, a new pricing model is presented, admitting a major part of calculations to be solved in closed form. Designed with a focus on good replication of empirics, the model fits with publicly observable exercise characteristics better than earlier models. In particular, it is able to account for the correlation of the time of exercise and the stock price at exercise, suspected of being crucial for the option value. The impact of correlation is weak, however, whereas cancellations play a central role. The second contribution of this paper is an examination to what extent the ESO pricing method of SFAS 123 is subject to discretion of the accountant. Given my model were true, the SFAS price would be a good proxy. Yet, outside shareholders usually cannot observe one of the SFAS input parameters. On behalf of an example I show that there is wide latitude left to the accountant.
This paper determines the cost of employee stock options (ESOs) to shareholders. I present a pricing method that seeks to replicate the empirics of exercise and cancellation as good as possible. In a first step, an intensity-based pricing model of El Karoui and Martellini is adapted to the needs of ESOs. In a second step, I calibrate the model with a regression analysis of exercise rates from the empirical work of Heath, Huddart and Lang. The pricing model thus takes account for all effects captured in the regression. Separate regressions enable me to compare options for top executives with those for subordinates. I find no price differences. The model is also applied to test the precision of the fair value accounting method for ESOs, SFAS 123. Using my model as a reference, the SFAS method results in surprisingly accurate prices.
JEL classification: G13; J33; M41; M52
Liturgische Filmnächte
(2003)
This paper investigates the role that imperfect knowledge about the structure of the economy plays in the formation of expectations, macroeconomic dynamics, and the efficient formulation of monetary policy. Economic agents rely on an adaptive learning technology to form expectations and to update continuously their beliefs regarding the dynamic structure of the economy based on incoming data. The process of perpetual learning introduces an additional layer of dynamic interaction between monetary policy and economic outcomes. We find that policies that would be efficient under rational expectations can perform poorly when knowledge is imperfect. In particular, policies that fail to maintain tight control over inflation are prone to episodes in which the public's expectations of inflation become uncoupled from the policy objective and stagflation results, in a pattern similar to that experienced in the United States during the 1970s. Our results highlight the value of effective communication of a central bank's inflation objective and of continued vigilance against inflation in anchoring inflation expectations and fostering macroeconomic stability. July 2003.
Der Titel des Vortrags benennt eine der wichtigsten Abgrenzungsfragen, die man sich zu stellen hat, sobald man es mit Kurs- und Marktpreismanipulation zu tun hat. Was ist zulässiges Marktverhalten, was muss jeder Marktteilnehmer tun dürfen, ohne mit einem Bein im Gefängnis zu stehen und wo fängt die verbotene Kursmanipulation an? Eine bedeutsame Unterscheidung für die aktiven Akteure am Kapitalmarkt, um Klarheit darüber zu haben, was erlaubt ist und was nicht. Der Markt braucht das Vertrauen der Anleger, und Anleger vertrauen nur in ordnungsgemäß funktionierende Märkte, in Märkte, an denen Preisbildungsmechanismen funktionieren und kontrolliert werden. Daher ist es notwendig,Vorkehrungen zu treffen, die gewährleisten, dass Märkte funktionieren und Preise sich an Märkten manipulationsfrei bilden können und auch bilden. Auf der präventiven Seite tragen hierzu die Handelsregeln der verschiedenen Börsen bei, die insbesondere dezidierte Regelungen zur Preisbildung beinhalten. Sie sollen gewährleisten, dass Preise ordnungsgemäß zustande kommen und einen fairen Ausgleich von Angebot und Nachfrage darstellen. Ergänzt wird dieser präventive Aspekt durch die repressive Seite, nämlich die Ahndung von Fehlverhalten. Hierzu gab es bisher die Regelung des Kursbetrugs in § 88 Börsengesetz. Diese Vorschrift existierte inhaltlich bereits über 100 Jahre, in denen sie aber, wenn nicht tot, so doch zumindest annähernd scheintot war. Denn es sind kaum Verurteilungen oder sonstige Maßnahmen auf der Grundlage dieser Norm bekannt. Wollte man aus diesem Schattendasein allerdings folgern, dass aufgrund des integren Verhaltens der Marktteilnehmer eine solche Regelung obsolet sei, so wäre das ein Fehlschluss. Mit dem Vierten Finanzmarktförderungsgesetz, das zum 01. Juli 2002 in Kraft tat, wurde dann auch eine Reform durchgeführt. Die alte Vorschrift wurde gestrichen und durch die neue Regelung des Verbots der Kurs- und Marktpreismanipulation im Wertpapierhandelsgesetz ersetzt. Dort wurden §§ 20a und 20b neu eingefügt. Die Aufgabe der Überwachung dieses Manipulationsverbots und die Verfolgung von Verstößen wurde der BaFin übertragen.
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
The use of GARCH models with stable Paretian innovations in financial modeling has been recently suggested in the literature. This class of processes is attractive because it allows for conditional skewness and leptokurtosis of financial returns without ruling out normality. This contribution illustrates their usefulness in predicting the downside risk of financial assets in the context of modeling foreign exchange-rates and demonstrates their superiority over use of normal or Student´s t GARCH models.
Using the Johansen test for cointegration, we examine to which extent inflation rates in the Euro area have converged after the introduction of a single currency. Since the assumption of non-stationary variables represents the pivotal point in cointegration analyses we pay special attention to the appropriate identification of non-stationary inflation rates by the application of six different unit root tests. We compare two periods, the first ranging from 1993 to 1998 and the second from 1993 to 2002 with monthly observations. The Johansen test only finds partial convergence for the former period and no convergence for the latter.
As past research suggest, currency exposure risk is a main source of overall risk of international diversified portfolios. Thus, controlling the currency risk is an important instrument for controlling and improving investment performance of international investments. This study examines the effectiveness of controlling the currency risk for international diversified mixed asset portfolios via different hedge tools. Several hedging strategies, using currency forwards and currency options, were evaluated and compared with each other. Therefore, the stock and bond markets of the, United Kingdom, Germany, Japan, Switzerland, and the U.S, in the time period of January 1985 till December 2002, are considered. This is done form the point of view of a German investor. Due to highly skewed return distributions of options, the application of the traditional mean-variance framework for portfolio optimization is doubtful when options are considered. To account for this problem, a mean-LPM model is employed. Currency trends are also taken into account to check for the general dependence of time trends of currency movements and the relative potential gains of risk controlling strategies.
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.
Open-end real estate funds (so called “Offene Immobilienfonds”) play a major role in the German market for securitised real estate investments. Such funds are pools of money from many investors, which are invested in real estate by special investment management companies. This study seeks to identify the risk and return profile of this investment vehicle (before and after income taxes), to compare them with those of other major asset classes, and to provide implications for their appropriate role in a mixed-asset portfolio. Addition-ally, an overview of the institutional architecture and role of German open-end real estate funds is given. Empirical evidence suggests that the financial characteristics of open-end real estate funds are in many respects similar to those reported for direct real estate invest-ments. Accordingly, German open-end real estate funds qualify for medium and long-term investment horizons, rather than for shorter holding periods.
This chapter focuses on institutional investors in the German financial markets. Institutional investors are specialized financial intermediaries who collect and manage funds on behalf of small investors toward specific objectives in terms of risk, return and maturity. The major types of institutional investors in Germany are insurance companies and investment funds. We will examine the nature of their businesses, their size and role in the financial sector, the size and the composition of the assets under their management, aspects of financ ial regulation, and features of their asset-liability-management.
We investigate a restricted one-way cellular automaton (OCA) model where the number of cells is bounded by a constant number k, so-called kC-OCAs. In contrast to the general model, the generative capacity of the restricted model is reduced to the set of regular languages. A kC-OCA can be algorithmically converted to a deterministic finite automaton (DFA). The blow-up in the number of states is bounded by a polynomial of degree k. We can exhibit a family of unary languages which shows that this upper bound is tight in order of magnitude. We then study upper and lower bounds for the trade-off when converting DFAs to kC-OCAs. We show that there are regular languages where the use of kC-OCAs cannot reduce the number of states when compared to DFAs. We then investigate trade-offs between kC-OCAs with different numbers of cells and finally treat the problem of minimizing a given kC-OCA.
The effect of adding two-way communication to k cells one-way cellular automata (kC-OCAs) on their size of description is studied. kC-OCAs are a parallel model for the regular languages that consists of an array of k identical deterministic finite automata (DFAs), called cells, operating in parallel. Each cell gets information from its right neighbor only. In this paper, two models with different amounts of two-way communication are investigated. Both models always achieve quadratic savings when compared to DFAs. When compared to a one-way cellular model, the result is that minimum two-way communication can achieve at most quadratic savings whereas maximum two-way communication may provide savings bounded by a polynomial of degree k.
The descriptional complexity of iterative arrays (lAs) is studied. Iterative arrays are a parallel computational model with a sequential processing of the input. It is shown that lAs when compared to deterministic finite automata or pushdown automata may provide savings in size which are not bounded by any recursive function, so-called non-recursive trade-offs. Additional non-recursive trade-offs are proven to exist between lAs working in linear time and lAs working in real time. Furthermore, the descriptional complexity of lAs is compared with cellular automata (CAs) and non-recursive trade-offs are proven between two restricted classes. Finally, it is shown that many decidability questions for lAs are undecidable and not semidecidable.
In response to recent developments in the financial markets and the stunning growth of the hedge fund industry in the United States, policy makers, most notably the Securities and Exchange Commission (“SEC”), are turning their attention to the regulation, or lack thereof, of hedge funds. U.S. regulators have scrutinized the hedge fund industry on several occasions in the recent past without imposing substantial regulatory constraints. Will this time be any different? The focus of the regulators’ interest has shifted. Traditionally, they approached the hedge fund industry by focusing on systemic risk to and integrity of the financial markets. The current inquiry is almost exclusively driven by investor protection concerns. What has changed? First, since 2000, new kinds of investors have poured capital into hedge funds in the United States, facilitated by the “retailization” of hedge funds through the development of funds of hedge funds and the dismal performance of the stock market. Second, in a post-Enron era, regulators and policy makers are increasingly sensitive to investor protection concerns. On May 14 and 15, 2003, the SEC held for the first time a public roundtable discussion on the single topic of hedge funds. Among the investor protection concerns highlighted were: an increase in incidents of fraud, inadequate suitability determinations by brokers who market hedge fund interests to individual investors, conflicts of interest of managers who manage mutual funds and hedge funds side-by-side, a lack of transparency that hinders investors from making informed investment decisions, layering of fees, and unbounded discretion by managers in pricing private hedge fund securities. Although there has been discussion about imposing wide-ranging restrictions onhedge funds, such as reining in short selling, requiring disclosure of long/short positions and limiting leverage, such a response would be heavy-handed and probably unnecessary. The existing regulatory regime is largely adequate to address the most flagrant abuses. Moreover, as the hedge fund market further matures, it is likely that institutional investors will continue to weed out weak performers and mediocre or dishonest hedge fund managers. What is likely to emerge from the newest regulatory focus on investor protection is a measured response that would enhance the SEC’s enforcement and inspection authority, while leaving hedge funds’ inherent investment flexibility largely unfettered. A likely scenario, for example, might be a requirement that some, or possibly all, hedge fund sponsors register with the SEC as investment advisers. Today, most are exempt from registration, although more and more are registering to provide advice to public hedge funds and attract institutions. Registration would make it easier for the SEC to ferret out potential fraudsters in advance by reviewing the professional history of hedge fund operators, allow the SEC to bring administrative proceedings against hedge fund advisers for statutory violations and give the agency access to books and records that it does not have today. Other possible initiatives, including additional disclosure requirements for publicly offered hedge funds, are discussed below. This article addresses the question whether U.S. regulation of hedge funds is really taking a new direction. It (i) provides a brief overview of the current U.S. regulatory scheme, from which hedge funds are generally exempt, (ii) describes recent events in the United States that have contributed to regulators’ anxiety, (iii) examines the investor protection rationale for hedge fund regulation and considers whether these concerns do, in fact, merit increased regulation of hedge funds at this time, and (iv) considers the likelihood and possible scope of a potential regulatory response, principally by the SEC.
Unsere geschützte Natur
(2003)
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.
Kurz nach dem Inkrafttreten des Vierten Finanzmarktförderungsgesetzes im Juni letzten Jahres sind schon die nächsten Reformüberlegungen in Gang gekommen. Der 64. Deutsche Juristentag im September beschäftigte sich u.a. mit der Frage, ob im Interesse des Anlegerschutzes und zur Förderung des Finanzplatzes Deutschland Kurz nach dem Inkrafttreten des Vierten Finanzmarktförderungsgesetzes im Juni letzten Jahres sind schon die nächsten Reformüberlegungen in Gang gekommen. Der 64. Deutsche Juristentag im September beschäftigte sich u.a. mit der Frage, ob im Interesse des Anlegerschutzes und zur Förderung des Finanzplatzes Deutschland das Kapitalmarkt- und Börsenrecht neu zu regeln sei. Nun liegt zudem seit November 2002 ein Entwurf der Europäischen Kommission für eine neue Wertpapierdienstleistungsrichtlinie auf dem Tisch. Die verschiedenen Reformüberlegungen bzw. -entwürfe sind in jedem Fall zu begrüßen. Der jüngste Akt unseres nationalen Gesetzgebers wird wohl zu Recht lediglich als Schritt in die richtige Richtung, nicht aber als hinreichende Lösung der aktuellen Probleme in diesem Bereich gesehen. Der folgende Aufsatz untersucht, welche Nachteile sich aus dem zunehmenden außerbörslichen Wertpapierhandel für den Finanzplatz ergeben und welche regulatorischen Antworten sich zu deren Vermeidung anbieten.
We investigate the performance of forecast-based monetary policy rules using five macroeconomic models that reflect a wide range of views on aggregate dynamics. We identify the key characteristics of rules that are robust to model uncertainty: such rules respond to the one-year-ahead inflation forecast and to the current output gap and incorporate a substantial degree of policy inertia. In contrast, rules with longer forecast horizons are less robust and are prone to generating indeterminacy. Finally, we identify a robust benchmark rule that performs very well in all five models over a wide range of policy preferences.
This chapter analyzes the role of financial accounting in the German financial system. It starts from the common perception that German accounting is rather "uninformative". This characterization is appropriate from the perspective of an arm´s length or outside investor and when confined to the financial statements per se. But it is no longer accurate when a broader perspective is adopted. The German accounting system exhibits several arrangements that privately communicate information to insiders, notably the supervisory board. Due to these features, the key financing and contracting parties seem reasonably well informed. The same cannot be said about outside investors relying primarily on public disclosure. A descriptive analysis of the main elements of the Germany system and a survey of extant empirical accounting research generally support these arguments.
This paper focuses on Eastern European migrants who, since the beginning of the 1990s, are entering the Republic Cyprus as “artistes”. This is a visa permit status as well as an euphemism for short-term work permits in the local sex industry. In addition to exploring the migrational experiences of these women and their living and working conditions in the Republic of Cyprus, the paper reconstructs, empirically and analyt ically, the connection between immigration and the local sex industry. Here, several categories of social actors and institutions in Cyprus are actively involved. The rhetoric of government representatives, entrepreneurs and clients in the sex business on the one hand is contrasted with the discourse of local NGO representatives concerned with immigrants’ rights on the other hand. The paper comes to the conclusion that all of these discursive positions ultimately do not do justice to the complex process of decisionmaking that women undergo who migrate into the sex industry. Either, freedom of choice is emphasized – such as by entrepreneurs and the government – or the domination of women – as in the public statements of the NGO. In order to analyze the ambivalent tension between freedom of choice and submission to force by which the women’s decision is characterized, the author employs Michel Foucault’s concept of governmentality, which describes forms of political regulation that use the individual’s freedom of action as an instrument to exercise power.
Open source projects produce goods or standards that do not allow for the appropriation of private returns by those who contribute to their production. In this paper we analyze why programmers will nevertheless invest their time and effort to code open source software. We argue that the particular way in which open source projects are managed and especially how contributions are attributed to individual agents, allows the best programmers to create a signal that more mediocre programmers cannot achieve. Through setting themselves apart they can turn this signal into monetary rewards that correspond to their superior capabilities. With this incentive they will forgo the immediate rewards they could earn in software companies producing proprietary software by restricting the access to the source code of their product. Whenever institutional arrangements are in place that enable the acquisition of such a signal and the subsequent substitution into monetary rewards, the contribution to open source projects and the resulting public good is a feasible outcome that can be explained by standard economic theory.
This paper studies a setting in which a risk averse agent must be motivated to work on two tasks: he (1) evaluates a new project and, if adopted, (2) manages it. While a performance measure which is informative of an agent´s action is typically valuable because it can be used to improve the risk sharing of the contract, this is not necessarily the case in this two-task setting. I provide a sufficient condition under which a performance measure that is informative of the second task is worthless for contracting despite the agent being risk averse. This shows that information content is a necessary but not a sufficient condition for a performance measure to be valuable.
We show diverse beliefs is an important propagation mechanism of fluctuations, money non neutrality and efficacy of monetary policy. Since expectations affect demand, our theory shows economic fluctuations are mostly driven by varying demand not supply shocks. Using a competitive model with flexible prices in which agents hold Rational Belief (see Kurz (1994)) we show that (i) our economy replicates well the empirical record of fluctuations in the U.S. (ii) Under monetary rules without discretion, monetary policy has a strong stabilization effect and an aggressive anti-inflationary policy can reduce inflation volatility to zero. (iii) The statistical Phillips Curve changes substantially with policy instruments and activist policy rules render it vertical. (iv) Although prices are flexible, money shocks result in less than proportional changes in inflation hence the aggregate price level appears "sticky" with respect to money shocks. (v) Discretion in monetary policy adds a random element to policy and increases volatility. The impact of discretion on the efficacy of policy depends upon the structure of market beliefs about future discretionary decisions. We study two rationalizable beliefs. In one case, market beliefs weaken the effect of policy and in the second, beliefs bolster policy outcomes and discretion could be a desirable attribute of the policy rule. Since the central bank does not know any more than the private sector, real social gain from discretion arise only in extraordinary cases. Hence, the weight of the argument leads us to conclude that bank´s policy should be transparent and abandon discretion except for rare and unusual circumstances. (vi) An implication of our model suggests the current effective policy is only mildly activist and aims mostly to target inflation.
The experience in the period during and after the Asian crisis of 1997-98 has provoked an extensive debate about the credit rating agencies' evaluation of sovereign risk in emerging markets lending. This study analyzes the role of credit rating agencies in international finan-cial markets, particularly whether sovereign credit ratings have an impact on the financial stability in emerging market economies. The event study and panel regression results indicate that credit rating agencies have substantial influence on the size and volatility of emerging markets lending. The empirical results are significantly stronger in the case of government's downgrades and negative imminent sovereign credit rating actions such as credit watches and rating outlooks than positive adjustments by the credit rating agencies while by the market participants' anticipated sovereign credit rating changes have a smaller impact on financial markets in emerging economies.
Do changes in sovereign credit ratings contribute to financial contagion in emerging market crises?
(2003)
Credit rating changes for long-term foreign currency debt may act as a wake-up call with upgrades and downgrades in one country affecting other financial markets within and across national borders. Such a potential (contagious) rating effect is likely to be stronger in emerging market economies, where institutional investors' problems of asymmetric information are more present. This empirical study complements earlier research by explicitly examining cross-security and cross-country contagious rating effects of credit rating agencies' sovereign risk assessments. In particular, the specific impact of sovereign rating changes during the financial turmoil in emerging markets in the latter half of the 1990s has been examined. The results indicate that sovereign rating changes in a ground-zero country have a (statistically) significant impact on the financial markets of other emerging market economies although the spillover effects tend to be regional.
This paper deals with the proposed use of sovereign credit ratings in the "Basel Accord on Capital Adequacy" (Basel II) and considers its potential effect on emerging markets financing. It investigates in a first attempt the consequences of the planned revisions on the two central aspects of international bank credit flows: the impact on capital costs and the volatility of credit supply across the risk spectrum of borrowers. The empirical findings cast doubt on the usefulness of credit ratings in determining commercial banks' capital adequacy ratios since the standardized approach to credit risk would lead to more divergence rather than convergence between investment-grade and speculative-grade borrowers. This conclusion is based on the lateness and cyclical determination of credit rating agencies' sovereign risk assessments and the continuing incentives for short-term rather than long-term interbank lending ingrained in the proposed Basel II framework.
Permanent and transitory policy shocks in an empirical macro model with asymmetric information
(2003)
Despite a large literature documenting that the efficacy of monetary policy depends on how inflation expectations are anchored, many monetary policy models assume: (1) the inflation target of monetary policy is constant; and, (2) the inflation target is known by all economic agents. This paper proposes an empirical specification with two policy shocks: permanent changes to the inflation target and transitory perturbations of the short-term real rate. The public sector cannot correctly distinguish between these two shocks and, under incomplete learning, private perceptions of the inflation target will not equal the true target. The paper shows how imperfect policy credibility can affect economic responses to structural shocks, including transition to a new inflation target - a question that cannot be addressed by many commonly used empirical and theoretical models. In contrast to models where all monetary policy actions are transient, the proposed specification implies that sizable movements in historical bond yields and inflation are attributable to perceptions of permanent shocks in target inflation.
In an ideal world all investment products, including hedge funds, would be marketable to all investors. In this ideal world, all investors would fully understand the nature of the products and would be able to make an informed choice whether to invest. Of course the ideal world does not exist – the retail investment market is characterised by asymmetries of information. Product providers know most about the products on offer (or at least they should do). Investment advisers often know rather less than the provider but much more than their retail customers. Providers and intermediary advisers are understandably motivated by the desire to sell their products. There is therefore a risk that investment products will be mis-sold by investment advisers or mis-bought by ill-informed investors. This asymmetry of information is dealt with in most countries through regulation. However, the regulatory response in different countries is not necessarily the same. There are various ways in which protections can be applied and it is important to understand that the cultural background and regulatory histories of countries flavours the way regulation has developed. This means (as will be explained in greater detail later) that some countries are better able than others to admit hedge funds to the retail sector. Following this Introduction, Section II looks at some key background issues. Section III then looks at some important questions raised by the retail hedge fund issue. Many of these are questions of balance. Balance lies at the heart of regulation of course – regulation must always balance the needs of investors and with market efficiency. Understanding the “retail hedge fund” question requires particular attention to balance. Section IV then looks at the UK regime and how the FSA has answered the balance question. Section V offers some international perspectives. Section VI concludes. It will be seen that there is no obviously right answer to the question whether hedge fund products should be marketed to retail investors. Each regulator in each jurisdiction needs to make up its own mind on how to deal with the various issues and balances. It is evident, however, that internationally there is a move towards a greater variety of retail funds. There is nothing wrong with that, provided the regulators and the retail customers they protect, understand sufficiently what sort of protection is, or is not, being offered in the regulatory regime.
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.
Asset-backed securitisation (ABS) is an asset funding technique that involves the issuance of structured claims on the cash flow performance of a designated pool of underlying receivables. Efficient risk management and asset allocation in this growing segment of fixed income markets requires both investors and issuers to thoroughly understand the longitudinal properties of spread prices. We present a multi-factor GARCH process in order to model the heteroskedasticity of secondary market spreads for valuation and forecasting purposes. In particular, accounting for the variance of errors is instrumental in deriving more accurate estimators of time-varying forecast confidence intervals. On the basis of CDO, MBS and Pfandbrief transactions as the most important asset classes of off-balance sheet and on-balance sheet securitisation in Europe we find that expected spread changes for these asset classes tends to be level stationary with model estimates indicating asymmetric mean reversion. Furthermore, spread volatility (conditional variance) is found to follow an asymmetric stochastic process contingent on the value of past residuals. This ABS spread behaviour implies negative investor sentiment during cyclical downturns, which is likely to escape stationary approximation the longer this market situation lasts.
Ziel dieser Präsentation (anlässlich des Seminars „Die Auswirkungen von Asset Securitisation auf die Stabilität des Finanzmarktes“ Österreichische Nationalbank (ÖNB), Wien 1. Oktober 2003) ist es, eine Verbindung zwischen Verbriefung und Finanzmarkstabilität unter Berücksichtigung veränderter Finanzintermediation herzustellen. In der folgenden Abhandlung soll nun zunächst auf die Natur der Verbriefung per se eingegangen werden, um sodann anhand theoretischer Überlegungen und empirischer Beobachtungen mögliche Quelle systemischen Risikos in der Kreditverbriefung aufzuzeigen. In diesem Fall handelt es sich um die Informationsasymmetrien und die durch Handelbarkeit von Kreditrisiko bestimmte Transaktionsstruktur („security design“), die bei regulatorischer Nichtberücksichtigung eine destabilisierende Wirkung nicht nur im Bereich der Verbriefung, sondern auch hinsichtlich der gegenseitigen Zahlungsverpflichtungen von Finanzintermediären begründen könnte.
We present an analysis of VaR forecasts and P&L-series of all 13 German banks that used internal models for regulatory purposes in the year 2001. To this end, we introduce the notion of well-behaved forecast systems. Furthermore, we provide a series of statistical tools to perform our analyses. The results shed light on the forecast quality of VaR models of the individual banks, the regulator's portfolio as a whole, and the main ingredients of the computation of the regulatory capital required by the Basel rules.
Spacially dispersed transnational professional communities can be perceived of as cultural formations living in a global frame of reference, transgressing existing political and cultural boundaries. In their capacity as members of local technical and knowledgebased elites, they take part in circulating and connecting cultural meanings that are both locally produced, and continuously re-working non- local flows. I argue that those elites can be described as actors at cultural interfaces, taking part in shaping and mediating social change. The aim is twofold: one, to point to mutually opposed tendencies, and ambivalences in the framework of a „culture of change“, and two, to look into the question how such situations and groups can be methodologically approached.
This paper investigates the macroeconomic effects of job creation schemes and vocational training on the matching processes in West Germany. The empirical analysis is based on regional data for local employment office districts for the period from 1999 to 2003. The empirical model relies on a dynamic version of a matching function augmented by ALMP. In order to obtain consistent estimates in the presence of a dynamic panel data model, a first-differences GMM estimator and a transformed maximum likelihood estimator are applied. Furthermore the paper considers the endogeneity problem of the policy measures. The results obtained from our estimates indicate that vocational training does not significantly affect the matching process and that job creation schemes have a negative effect. JEL Classification: C23, E24, H43, J64, J68
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
Monetary policy is sometimes formulated in terms of a target level of inflation, a fixed time horizon and a constant interest rate that is anticipated to achieve the target at the specified horizon. These requirements lead to constant interest rate (CIR)instrument rules. Using the standard New Keynesian model, it is shown that some forms of CIR policy lead to both indeterminacy of equilibria and instability under adaptive learning. However, some other forms of CIR policy perform better. We also examine the properties of the different policy rules in the presence of inertial demand and price behaviour.
The classical approaches to asset allocation give very different conclusions about how much foreign stocks a US investor should hold. US investors should either allocate a large portion of about 40% to foreign stocks (which is the result of mean/variance optimization and the international CAPM) or they should hold no foreign stocks at all (which is the conclusion of the domestic CAPM and mean/variance spanning tests). There is no way in between.
The idea of the Bayesian approach discussed in this article is to shrink the mean/variance efficient portfolio towards the market portfolio. The shrinkage effect is determined by the investor's prior belief in the efficiency of the market portfolio and by the degree of violation of the CAPM in the sample. Interestingly, this Bayesian approach leads to the same implications for asset allocation as the mean-variance/tracking error criterion. In both cases, the optimal portfolio is a combination of the market portfolio and the mean/variance efficient portfolio with the highest Sharpe ratio.
Applying both approaches to the subject of international diversification, we find that a substantial home bias is only justified when a US investor has a strong belief in the global mean/variance efficiency of the US market portfolio and when he has a high regret aversion of falling behind the US market portfolio. We also find that the current level of home bias can be justified whenever-regret aversion is significantly higher than risk aversion.
Finally, we compare the Bayesian approach of shrinking the mean/variance efficient portfolio towards the market portfolio to another Bayesian approach which shrinks the mean/variance efficient portfolio towards the minimum-variance portfolio. An empirical out-of-sample study shows that both Bayesian approaches lead to a clearly superior performance compared to the classical mean/variance efficient portfolio.
Wer die unmittelbare oder mittelbare Kontrolle über eine börsennotierte Aktiengesellschaft erlangt hat, muss nach § 35 Abs. 2 WpÜG allen anderen Aktionären ein Pflichtangebot unterbreiten. § 37 Abs. 1 WpÜG gibt der Bundesanstalt für Finanzdienstleistungsaufsicht (BAFin) die Möglichkeit, den Erwerber der Kontrolle von der Angebotspflicht zu befreien. Bislang lehnt es die BAFin ab, die Aktionäre der Zielgesellschaft an dem Befreiungsverfahren zu beteiligen. Das Oberlandesgericht Frankfurt hat die Behörde in einem kürzlich im Eilverfahren dazu ergangenen Beschluss, der die ProSiebenSat.1 Media AG betraf, darin bestätigt. Der Verf. legt im folgenden dar, warum seiner Ansicht nach die Aktionäre die Zielgesellschaft jedenfalls einen Anspruch auf ermessensfehlerfreie Entscheidung über die Hinzuziehung zum Befreiungsverfahren nach § 13 Abs. 2 Satz 1 VwVfG haben. Darüber hinaus werden einige Aspekte des konkreten Falls, es ging um eine Befreiung im Zusammenhang mit der Sanierung der Zielgesellschaft nach § 37 WpÜG i. V. m. § 9 Satz 1 Nr. 3 WpÜG-Angebotsverordnung, näher beleuchtet.
Betrachtet man als Sprecher oder Sprecherin des Deutschen die mit '-su' derivierten Verben im Aymara und ihre spanischen Übersetzungen, so fällt auf, daß diese Verben häufig eine Entsprechung in einem deutschen Partikelverb mit 'aus-/heraus-' oder 'auf-' haben, und zwar nicht nur dann, wenn sie Bewegungsvorgänge bezeichnen, sondern auch, wenn keine Direktionalität erkennbar ist. [...] Diese Parallele zwischen '-su' und 'aus-' oder 'auf-' ist frappierend, wenn man bedenkt, dass die beiden Sprachen keinerlei genetische Beziehung haben, und die Annahme liegt nahe, daß hier ein ähnliches kognitives Konzept zugrundeliegt. Um dies genauer beurteilen zu können, ist allerdings mehr Information über '-su' im Aymara nötig. So habe ich mir für die vorliegende Arbeit zum Ziel gesetzt, die Semantik von '-su' im Aymara genauer herauszufinden und herauszuarbeiten, welche Funktionen das Suffix hat. Dabei interessierte mich zum einen, ob sich neben den in den Aymara-Grammatiken beschriebenen Funktionen des Morphems, nämlich der Markierung der Richtung 'nach außen' und des kompletiven Aspekts, noch weitere Funktionen herausarbeiten lassen und wie diese mit der Semantik der jeweiligen Verbwurzel interagieren. Daneben widmete ich mich der Fragestellung, worin der Zusammenhang zwischen den verschiedenen Funktionen des Morphems bestehen könnte.
While focusing on the protection of distressed sovereigns, the current debate intended to reform the International Financial Architecture has hardly addressed the protection of creditors rights that varies among laws. I suspect however that this constitutes an essential determinant of the success of suggested solutions, especially under the contractual approach. Based on a sample of bonds issued by developing countries states in the period, January 1987 to December 1997, I find that, for given contract characteristics (e.g. listing markets and currency), the governing law is selected according to its ability to enforce repayment. However, although the New York law seems looser and incur larger enforcement costs than the England&Wales law, the former permits equivalent yearly credit amounts. I interpret this as a consequence of the existence of a larger set of valuable assets (e.g. trade) in the US that constitute implicit securities. My findings yield important implications for the reforms. In particular, provided that there exists a seemingly equivalent enforcement credibility between England and New York laws, the prompt implementation of the contractual approach solution should constitute a valuable first step toward efficient sovereign debt markets. October 2003.
The paper suggests an innovative contribution to the investigation of banking liabilities pricing contracted by sovereign agents. To address fundamental issues of banking, the study focuses on the determinants of the up-front fees (the up-front fee is a charge paid out at the signature of the loan arrangement). The investigation is based on a uniquely extensive sample of bank loans contracted or guaranteed by 58 less-developed countries sovereigns in the period from 1983 to 1997. The well detailed reports allow for the calculation of the equivalent yearly margin on the utilization period for all individual loan. The main findings suggest a significant impact of the renegotiation and agency costs on front-end borrowing payments. Unlike the sole interest spread, the all-in interest margin better takes account of these costs. The model estimates however suggest the non-linear pricing is hardly associated with an exogenous split-up intended by the borrower and his banker to cover up information. Instead the up-front payment is a liquidity transfer as described by Gorton and Kahn (2000) to compensate for renegotiation and monitoring costs. The second interesting result is that banks demand payment for all types of sovereign risk in an identical manner public debt holders do. The difference is that, unlike bond holders, bankers have the possibility to charge an up-front fee to compensate for renegotiation costs. Hence, beyond the information related issues, the higher complexity of the pricing design makes bank loan optimal for lenders on sovereign capital markets, especially relative to public debt, thus motivating for their presence. The paper contributes to the expanding literature on loan syndication and banking related issues. The study also has relevance for the investigation of the developing countries debt pricing.
Why borrowers pay premiums to larger lenders : empirical evidence from sovereign syndicated loans
(2003)
All other terms being equal (e.g. seniority), syndicated loan contracts provide larger lending compensations (in percentage points) to institutions funding larger amounts. This paper explores empirically the motivation for such a price design on a sample of sovereign syndicated loans in the period 1990-1997. I find strong evidence that a larger premium is associated with higher renegotiation probability and information asymmetries. It hardly has any impact on the number of lenders though. This is consistent with the hypothesis that larger lenders act as main lenders, namely help reduce information asymmetries and provide services in situations of liquidity shortage. This constitutes new evidence of the existence of compensations for such unique services. Moreover, larger payment discrepancies are also associated with larger syndicated loan amounts. This provides further new evidence that larger borrowers bear additional borrowing costs.
This paper investigates the magnitude and the main determinants of share price reactions to buy-back announcements of German corporations. Based on a sample of 224 announcements from the period May 1998 to April 2003 we find average cumulative abnormal returns around -7.5% for the thirty days preceding the announcement and around +7.0 % for the ten days following the announcement. We regress postannouncement abnormal returns with multiple firm characteristics and provide evidence which supports the undervaluation signaling hypothesis but not the excess cash hypothesis. In extending prior empirical work, we also analyze price effects from an initial statement by management that it intends to seek shareholder approval for a buy-back plan. Observed cumulative abnormal returns on this initial date are in excess of 5% implying a total average price effect between 12% and 15% from implementing a buy-back plan. We conjecture that the German regulatory environment is the main reason why market variations to buy-back announcements are much stronger in Germany than in other countries and conclude that initial statements by managers to seek shareholders’ approval for a buy-back plan should also be subject to legal ad-hoc disclosure requirements. EFM classification: 330, 350
This paper is a draft for the chapter German banks and banking structure of the forthcoming book The German financial system . As such, the paper starts out with a description of past and present structural features of the German banking industry. Given the presented empirical evidence it then argues that great care has to be taken when generalising structural trends from one financial system to another. Whilst conventio nal commercial banking is clearly in decline in the US, it is far from clear whether the dominance of banks in the German financial system has been significantly eroded over the last decades. We interpret the immense stability in intermediation ratios and financing patterns of firms between 1970 and 2000 as strong evidence for our view that the way in which and the extent to which German banks fulfil the central functions for the financial system are still consistent with the overall logic of the German financial system. In spite of the current dire business environment for financial intermediaries we do not expect the German financial system and its banking industry as an integral part of this system to converge to the institutional arrangements typical for a market-oriented financial system. This Version: March 25, 2003
This paper is a draft for the chapter "German banks and banking structure" of the forthcoming book "The German financial system" edited by J.P. Krahnen and R.H. Schmidt (Oxford University Press). As such, the paper starts out with a description of past and present structural features of the German banking industry. Given the presented empirical evidence it then argues that great care has to be taken when generalising structural trends from one financial system to another. Whilst conventional commercial banking is clearly in decline in the US, it is far from clear whether the dominance of banks in the German financial system has been significantly eroded over the last decades. We interpret the immense stability in intermediation ratios and financing patterns of firms between 1970 and 2000 as strong evidence for our view that the way in which and the extent to which German banks fulfil the central functions for the financial system are still consistent with the overall logic of the German financial system. In spite of the current dire business environment for financial intermediaries we do not expect the German financial system and its banking industry as an integral part of this system to converge to the institutional arrangements typical for a market-oriented financial system.
Am 30. Juli 2002 hat der US-amerikanische Präsident George Bush den Sarbanes-Oxley Act of 2002 unterzeichnet. Es handelt sich dabei um ein Artikelgesetz, das vor allem Änderungen im Securities and Exchange Act of 1934 ( Exchange Act ) vorsieht. Das Gesetz bezweckt nach der dem Gesetzestext vorangestellten Begründung den Schutz von Anlegern durch genauere und verlässlichere wertpapierrechtliche Publizitätspflichten. Der Gesetzgeber möchte sicherstellen, dass Unternehmen richtige und verlässliche Angaben machen, wenn sie periodisch bei der USamerikanischen Wertpapieraufsichtsbehörde SEC (Securities and Exchange Commission) einzureichende Berichte oder Ad-hoc Mitteilungen veröffentlichen.
Der vorliegende Aufsatz befasst sich mit Fragen, die auftreten, wenn die an einer deutschen Börse notierten Aktien einer deutschen Gesellschaft auch an der New York Stock Exchange (im Folgenden “NYSE”) notiert werden und zwar ohne Zwischenschaltung von Hinterlegungsscheinen (American Depositary Receipts, im Folgenden “ADR”). Der Aufsatz behandelt dagegen nicht die Rechtsfragen, die sowohl bei einer Börsennotierung von Aktien als auch bei einer Börsennotierung von ADR einer deutschen Gesellschaft gelöst werden müssen, z.B. Rechtsfragen, die sich auf das US-amerikanische Kapitalmarktrecht, insbesondere das Bilanzrecht, die US-amerikanischen Anforderungen an die Corporate Governance, das Insiderverbot und Verhaltensregeln im Umgang mit der Presse beziehen.
This paper studies one of the earliest forms of modern consumer culture—the road book—in relation to one of the early utopias of modern consumption—California. Criticism has traditionally treated the road book as an extension of a loosely defined transcendentalist project, where drivers take to the open road to “discover” themselves in nature. The determinate context, however, is corporate rather than literary-historical. The earliest road books were advertisements. Their itineraries linked up with other spatial technologies (e.g. the conveyor belts in automobile plants and modern highways), transforming space into a vast production and distribution network. Production and distribution intersected in California, the state with the most automobiles per capita and the destination of most early road trips.
The first section of the paper considers the journey to California from the perspective of Emily Post, who would later become a famous writer on etiquette. Post’s book is the narrative equivalent to the standardized roadside architecture, converting local difference into a tourist attraction, and local (especially ethnic) identity into a commodity. The next section considers the effects of commercial homogenization on gender, focusing on the moment when some women, taking the steering wheel, assumed agency as consumers. The primary texts here are some of the early novels of Sinclair Lewis, along with examples of sociology and advertising copy from the 1920s and 1930s. The final section analyzes the WPA Guidebook to California as a federal attempt to re-map corporate space—the space of tourist attractions and consumers—according to a progressive ideal. All three sections treat the tour form as a spatial and literary structure—a privileged topos, at once geographical and symbolic, where complex relations between identity and place are negotiated in the form of a journey.
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.
The paper analyses the effects of three sets of accounting rules for financial instruments - Old IAS before IAS 39 became effective, Current IAS or US GAAP, and the Full Fair Value (FFV) model proposed by the Joint Working Group (JWG) - on the financial statements of banks. We develop a simulation model that captures the essential characteristics of a modern universal bank with investment banking and commercial banking activities. We run simulations for different strategies (fully hedged, partially hedged) using historical data from periods with rising and falling interest rates. We show that under Old IAS a fully hedged bank can portray its zero economic earnings in its financial statements. As Old IAS offer much discretion, this bank may also present income that is either positive or negative. We further show that because of the restrictive hedge accounting rules, banks cannot adequately portray their best practice risk management activities under Current IAS or US GAAP. We demonstrate that - contrary to assertions from the banking industry - mandatory FFV accounting adequately reflects the economics of banking activities. Our detailed analysis identifies, in addition, several critical issues of the accounting models that have not been covered in previous literature. December 2002. Revised: June 2003. Later version: http://publikationen.ub.uni-frankfurt.de/volltexte/2005/1026/ with the title: "Accounting for financial instruments in the banking industry : conclusions from a simulation model"
Accounting for financial instruments in the banking industry: conclusions from a simulation model
(2003)
The paper analyses the effects of three sets of accounting rules for financial instruments - Old IAS before IAS 39 became effective, Current IAS or US GAAP, and the Full Fair Value (FFV) model proposed by the Joint Working Group (JWG) - on the financial statements of banks. We develop a simulation model that captures the essential characteristics of a modern universal bank with investment banking and commercial banking activities. We run simulations for different strategies (fully hedged, partially hedged) using historical data from periods with rising and falling interest rates. We show that under Old IAS a fully hedged bank can portray its zero economic earnings in its financial statements. As Old IAS offer much discretion, this bank may also present income that is either positive or negative. We further show that because of the restrictive hedge accounting rules, banks cannot adequately portray their best practice risk management activities under Current IAS or US GAAP. We demonstrate that - contrary to assertions from the banking industry - mandatory FFV accounting adequately reflects the economics of banking activities. Our detailed analysis identifies, in addition, several critical issues of the accounting models that have not been covered in previous literature.
Capital rationing is an empirically well-documented phenomenon. This constraint requires managers to make investment decisions between mutually exclusive investment opportunities. In a multiperiod agency setting, this paper analyses accounting rules that provide managerial incentives for efficient project selection. In order to motivate a shortsighted manager to expend unobservable effort and to make efficient investment decisions, the principal sets up an incentive scheme based on residual income (e.g. EVATM). The paper shows that income smoothing generates a trade-off between agency costs resulting from differences in discount rates and the costs associated with the "congruity" of residual earnings.
Under a new Basel capital accord, bank regulators might use quantitative measures when evaluating the eligibility of internal credit rating systems for the internal ratings based approach. Based on data from Deutsche Bundesbank and using a simulation approach, we find that it is possible to identify strongly inferior rating systems out-of time based on statistics that measure either the quality of ranking borrowers from good to bad, or the quality of individual default probability forecasts. Banks do not significantly improve system quality if they use credit scores instead of ratings, or logistic regression default probability estimates instead of historical data. Banks that are not able to discriminate between high- and low-risk borrowers increase their average capital requirements due to the concavity of the capital requirements function.
We present a survey on the role of initial public offerings (Epos) and venture capital (VC) in Germany after the Second World War. Between 1945 and 1983 IPOs hardly played a role at all and only a minor role thereafter. In addition, companies that chose an IPO were much older and larger than the average companies going public for the first time in the US or the UK. The level of IPO underpricing in Germany, in contrast, has not been fundamentally different from that in other countries. The picture for venture capital financing is not much different from that provided by IPOs in Germany. For a long time venture capital financing was hardly significant, particularly as a source of early stage financing. The unprecedented boom on the Neuer Markt between 1997 and 2000, when many small venture capital financed firms entered the market, provides a striking contrast to the preceding era. However, by US standards, the levels of both IPO and venture capital activities remained rather low even in this boom phase. The extent to which recent developments will have a lasting impact on the financing of German firms, the level of IPO activity, and venture capital financing, remains to be seen. At the time of writing, activity has come to a near stand still and the Neuer Markt has just been dissolved. The low number of IPOs and the fairly low volume of VC financing in Germany before the introduction of the Neuer Markt are a striking and much debated phenomenon. Understanding the reasons for these apparent peculiarities is vital to understanding the German financial system. The potential explanations that have been put forward range from differentces in mentality to legal and institutional impediments and the availability of alternative sources of financing. Moreover the recent literature discusses how interest groups may have benefited and influenced the situation. These groups include politicians, unions/workers, managers/controlling-owners of established firms as well as banks. Revised version forthcoming in "The German Financial System", edited by Jan P. Krahnen and Reinhard H. Schmidt, Oxford University Press.
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.
This paper analyzes a comprehensive data set of 160 non venture-backed, 79 venture-backed and 61 bridge financed companies going public at Germany´s Neuer Markt between March 1997 and March 2002. I examine whether these three types of issues differ with regard to issuer characteristics, balance sheet data or offering characteristics. Moreover, this empirical study contributes to the underpricing literature by focusing on the complementary or rather competing role of venture capitalists and underwriters in certifying the quality of a company when going public. Companies backed by a prestigious venture capitalist and/or underwritten by a top bank are expected to show less underpricing at the initial public offering (IPO) due to a reduced ex-ante uncertainty. This analysis provides evidence to the contrary: VC-backed IPOs appear to be more underpriced than non VC-backed IPOs.
Diese Arbeit untersucht empirisch den Zusammenhang von Beschäftigung und Lohnstrukturen zwischen sowie innerhalb von Qualifikations- und Altersgruppen. Zunächst werden Substitutionselastizitäten zwischen Qualifikations- und Altersgruppen geschätzt und die Lohnveränderungen bestimmt, die notwendig gewesen wären, um im Jahre 1997 die qualifikationsspezifischen Arbeitslosenquoten zu halbieren. Die geschätzten Substitutionselastizitäten sind sehr hoch. Die notwendige Lohnreduktion liegt nominal zwischen 9% und 10,6% und fällt umso höher aus, je geringer die Qualifikation der Arbeitnehmergruppe ist. Der zweite Teil der Arbeit befasst sich mit dem Zusammenhang zwischen residualer Lohnungleichheit und Beschäftigungsdynamik. Es werden konkurrierende Implikationen aus der Theorie der Grenzproduktivitätsentlohnung und der Suchtheorie abgeleitet und empirisch untersucht. Die Ergebnisse sind für keine der beiden Theorien überzeugend. Das robuste Ergebnis einer signifikant positiven Korrelation zwischen dem Niveau der Arbeitslosenquote und der residualen Lohnungleichheit legt allerdings nahe, dass Suchfriktionen zur Erklärung der residualen Lohndispersion beitragen können. JEL - Klassifikation: J31 , J21 , E24 , J64