Working paper series / Johann-Wolfgang-Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften : Finance & Accounting
Refine
Year of publication
Document Type
- Working Paper (203)
- Report (3)
Is part of the Bibliography
- no (206)
Keywords
- Deutschland (55)
- Schätzung (25)
- Corporate Governance (23)
- Börsenkurs (14)
- Bank (12)
- Portfoliomanagement (12)
- corporate governance (10)
- Europäische Union (9)
- Großbritannien (8)
- Kreditwesen (8)
- Aktienmarkt (7)
- Asymmetrische Information (7)
- Optionspreistheorie (7)
- Wertpapierhandel (7)
- Frankreich (6)
- Immobilienfonds (6)
- Interbankenabkommen (6)
- Japan (6)
- Kapitalmarkteffizienz (6)
- Portfolio Selection (6)
- Volatilität (6)
- Wertpapiermarkt (6)
- Anreizsystem (5)
- Börse (5)
- Börsenzulassung (5)
- Finanzierungsstruktur (5)
- Finanzintermediation (5)
- Finanzwirtschaft (5)
- Going Public (5)
- International Accounting Standards (5)
- International Financial Reporting Standards (5)
- Kapitalmarkt (5)
- Kreditmarkt (5)
- Rendite (5)
- Wertpapieremission (5)
- complementarity (5)
- credit risk (5)
- Aktienkurs (4)
- Aktienoption (4)
- Altersversorgung (4)
- Bewertungseinheit (4)
- Corporate governance (4)
- Entwicklungsfinanzierung (4)
- Entwicklungsländer (4)
- Handelsvolumen (4)
- Investitionsentscheidung (4)
- Kapitalstruktur (4)
- Klein- und Mittelbetrieb (4)
- Kreditrisiko (4)
- Liquidität (4)
- Mikrofinanzierung (4)
- Mikrostrukturtheorie <Kapitalmarkttheorie> (4)
- Neubewertung (4)
- Publizitätspflicht (4)
- Risiko (4)
- Russland (4)
- Unternehmen (4)
- Vergleich (4)
- Versicherungswirtschaft (4)
- credit rationing (4)
- financial system (4)
- financial systems (4)
- institution building (4)
- networks (4)
- risk allocation (4)
- Aktienanalyse (3)
- Aktienbewertung (3)
- Aktienoptionshandel (3)
- Aktienoptionsplan (3)
- Asymmetric Information (3)
- Bankenkrise (3)
- Capital-Asset-Pricing-Modell (3)
- Development finance (3)
- Employee stock options (3)
- Executive stock options (3)
- Exponential smoothing (3)
- Fair value accounting (3)
- Festwert (3)
- Finanzanalyse (3)
- Finanzierungstheorie (3)
- Finanzintermediäre (3)
- Hedging (3)
- Index (3)
- Indexzahl (3)
- Institutionalismus (3)
- Investitionspolitik (3)
- Investmentfonds (3)
- Jahresabschlussprüfung (3)
- Kapitalkosten (3)
- Kreditwürdigkeit (3)
- Leistungsbewertung (3)
- Leistungsmessung (3)
- Markteffizienz (3)
- Mengenindex (3)
- Mergers and Acquisitions (3)
- Regulierung (3)
- Rentenreform (3)
- Schattenwirtschaft (3)
- Securitization (3)
- Shareholder-Value-Analyse (3)
- Sparkasse (3)
- Stakeholder (3)
- Technische Aktienanalyse (3)
- Teilwert (3)
- USA (3)
- Wertpapieranalyse (3)
- Zeitreihenanalyse (3)
- asset allocation (3)
- asymmetric information (3)
- efficiency (3)
- financial centres (3)
- information production (3)
- insurance (3)
- pension system (3)
- rating agencies (3)
- regulation (3)
- savings banks (3)
- (dis-)intermediation (2)
- Aktie (2)
- Anpassung (2)
- Arbitrage (2)
- Arbitragebewertung (2)
- Asset Allocation (2)
- Asset-Backed Security (2)
- Bankpolitik (2)
- Barrier options (2)
- Bias (2)
- Business Network (2)
- Börsenhandel (2)
- Börsenhändler (2)
- Börsenmakler (2)
- Contingent claims (2)
- DEA (2)
- Derivat, Wertpapier (2)
- Development Finance (2)
- Disclosure (2)
- EU (2)
- Einkommen (2)
- Electronic Commerce (2)
- Emissionskurs (2)
- Entscheidung bei Unsicherheit (2)
- Europa (2)
- Exercise Behavior (2)
- Experimentelle Wirtschaftsforschung (2)
- Fair-Value-Bewertung (2)
- Financial Systems (2)
- Finanzierung (2)
- Finanzplatz (2)
- Frankfurt (2)
- Fuzzy logic (2)
- Fuzzy-Logik (2)
- Fuzzy-Menge (2)
- Führungskraft (2)
- Geldkurs (2)
- Generaldirektor (2)
- Generally Accepted Accounting Principles (2)
- Germany (2)
- Geschichte 1980-1998 (2)
- Geschäftsführer (2)
- Gewinnbeteiligung (2)
- Gewinnermittlung (2)
- IAS (2)
- Inflation (2)
- Informationsverhalten (2)
- Informeller Finanzsektor (2)
- Initial public offerings (2)
- Institutionenökonomie (2)
- Insurance (2)
- International Accounting (2)
- International Portfolio Diversification (2)
- Internationale Bank (2)
- Internationale Wettbewerbsfähigkeit (2)
- Internationaler Kreditmarkt (2)
- Internationaler Wettbewerb (2)
- Investitionsplanung (2)
- Investmentsparen (2)
- Kapitalanlage (2)
- Kapitalertrag (2)
- Kapitalflussrechnung (2)
- Kapitalmarktforschung (2)
- Klein- und Mittelunternehmen (2)
- Kredit (2)
- Krisenmanagement (2)
- Kritik (2)
- Liquidity (2)
- Malmquist-Productivity (2)
- Marktmikrostruktur (2)
- Open Source (2)
- Pfandbrief (2)
- Portfolio Insurance (2)
- Public Private Partnership (2)
- Public-Private Partnership (2)
- Qualität (2)
- Ratingagentur (2)
- Relationship Lending (2)
- Rentner (2)
- Risikomanagement (2)
- Risikoprämie (2)
- Risikoverteilung (2)
- Schuldverschreibung (2)
- Schweiz (2)
- Schätzfunktion (2)
- Schätztheorie (2)
- Spieltheorie (2)
- Stabilität (2)
- Stochastischer Prozess (2)
- Tantieme (2)
- Topmanager (2)
- US GAAP (2)
- Unternehmenskontrolle (2)
- Unternehmenstheorie (2)
- Unternehmensverfassung (2)
- Unternehmensziel (2)
- Verbraucherverhalten (2)
- Versicherung (2)
- Vertrauensschadenversicherung (2)
- Vorstandsvorsitzender (2)
- Wertpapier (2)
- Wettbewerbsstrategie (2)
- Währungsrisiko (2)
- accrual accounting (2)
- auditor liability (2)
- bootstrapping (2)
- capital market-based financial system (2)
- career concerns (2)
- cash flow statements (2)
- clearing (2)
- consistent systems (2)
- convergence (2)
- corporate disclosure (2)
- credit risk transfer (2)
- default risk (2)
- demutualization (2)
- economics of organization (2)
- exchanges (2)
- financial transaction data (2)
- human capital formation (2)
- incomplete markets (2)
- index construction (2)
- labor income (2)
- market efficiency (2)
- mergers & acquisitions (2)
- open source software (2)
- ownership structure (2)
- performance measurement (2)
- portfolio choice (2)
- recursive utility (2)
- residual income (2)
- risk transfer (2)
- settlement (2)
- signalling (2)
- straight-through processing (2)
- systematic risk (2)
- trading (2)
- underpricing (2)
- voluntary disclosure (2)
- when-issued trading (2)
- winner’s curse (2)
- "superior" information (1)
- ABS (1)
- ACD (1)
- ARCH-Prozess (1)
- Abfindungsspekulation (1)
- Abschlussprüfung (1)
- Accounting (1)
- Ad-hoc-Publizität (1)
- Adaptive Erwartung (1)
- Agency Theory (1)
- Agency-Theorie (1)
- Agglomerationseffekt (1)
- Akquisitionen (1)
- Aktiendepot (1)
- Aktienemissionen (1)
- Aktienindex (1)
- Aktienrecht (1)
- Aktienrückkauf (1)
- Aktionärsstruktur (1)
- Alter (1)
- Alterssicherung (1)
- Analysis (1)
- Ankündigungseffekt (1)
- Anlageverhalten (1)
- Anlegerschutz (1)
- Anreiz (1)
- Anreizvertrag (1)
- Anteilseigner (1)
- Arbitrage-Pricing-Theorie (1)
- Arbitragefreiheit (1)
- Asset Liability Management (1)
- Asymmetric information (1)
- Auftrag (1)
- Auktionstheorie (1)
- Ausfallrisiko (1)
- Auskunftei (1)
- Ausland (1)
- Ausländisches Unternehmen (1)
- Ausschluss (1)
- Bank mergers (1)
- Bankenmacht (1)
- Bankensystem / Finanzsektor / Branchenentwicklung / Rentabilität / Strukturwandel / Sparkasse / Kreditgenossenschaft / Deutschland / 1970-2003 (1)
- Banking Regulation (1)
- Banking in Europe (1)
- Banking system (1)
- Bankkredit (1)
- Bankrecht (1)
- Bankruptcy Law (1)
- Banks (1)
- Banksteuerung (1)
- Basel II (1)
- Basler Eigenkapitalvereinbarung <1988> (1)
- Basler Eigenkapitalvereinbarung, 2001 (1)
- Basler Eigenkapitalvereinbarung, 2010 (1)
- Bayes-Regel (1)
- Bayes-Verfahren (1)
- Bayesian inference (1)
- Beta and return (1)
- Betafaktor (1)
- Betriebliche Kennzahl (1)
- Betriebswirtschaftslehre (1)
- Bewertung von Finanzinstrumenten (1)
- Bilanzierungsgrundsätze (1)
- Bilanzpolitik (1)
- Bilanzrecht (1)
- Bilanzstrukturmanagement (1)
- Binnenmarkt (1)
- Board Independence (1)
- Bodenpreis (1)
- Bonitätsprüfung (1)
- Bootstrap (1)
- Box-Cox transformation (1)
- Box-Cox-Transformation (1)
- Branchenkrise (1)
- Bulgarien (1)
- Business Ethics (1)
- Börseninformationssystem (1)
- Börsenkrach (1)
- Börsenorganisation (1)
- CBO (1)
- CDO (1)
- CEO Turnover (1)
- CLO (1)
- CVaR (1)
- Call Markets (1)
- Capital Asset Pricing Model (1)
- Capital Butgeting (1)
- Capital Market (1)
- Capital Markets (1)
- Cashflow (1)
- Checkliste (1)
- Commercialisation (1)
- Comparative Accounting (1)
- Compensation Contracting (1)
- Complementarities (1)
- Complementarity (1)
- Completeness of financial markets (1)
- Contagion (1)
- Convergence of financial systems (1)
- Convergences of Financial Systems (1)
- Coordination (1)
- Corporate Governance / Eigentümerstruktur / Universalbank / Finanzmarkt / Mitbestimmung / Deutschland (1)
- Corporate Governance / Informationsökonomik / Informationsverbreitung / Finanzintermediär / Theorie (1)
- Corporate Governance / Selbstverpflichtung / Rechtsdurchsetzung / Börsenkurs / Finanzmarkt / Deutschland (1)
- Corporate and securities laws (1)
- Cost of Capital (1)
- Credit (1)
- Credit Risk Models (1)
- Credit market competition (1)
- Credit rating agencies (1)
- Cross-listing (1)
- Currency Hedging (1)
- Decision Making und Risk (1)
- Demografische Entwicklung (1)
- Derivate Finanzinstrumente (1)
- Desinvestitionen (1)
- Discretization Error (1)
- Disketten-Clearing-Verfahren (1)
- Diskontierungsfaktor (1)
- Diversifikation (1)
- Dogma (1)
- EM algorithm (1)
- EU-Directives (1)
- Economic Development (1)
- Economic Growth (1)
- Economics of information (1)
- Economies of scale (1)
- Effekten (1)
- Efficiency (1)
- Eigenkapital (1)
- Eigenkapitalgrundsätze (1)
- Einkommenselastizität (1)
- Electronic Banking (1)
- Elementarschadenversicherung (1)
- Emerging Markets (1)
- Emerging Stock Markets (1)
- Endogenes Wirtschaftswachstum (1)
- Enforcement (1)
- Entscheidungsregel (1)
- Entwicklung (1)
- Erich Gutenberg (1)
- Ersparnis (1)
- Erwartungsbildung (1)
- Estimation Risk (1)
- European Monetary Union (1)
- European Shadow Financial (1)
- European Shadow Financial Regulatory Committee (1)
- European stock markets (1)
- Europäische Aktienmärkte (1)
- Europäische Gemeinschaften (1)
- Event Study (1)
- Eventstudie (1)
- Evolutorische Wirtschaft (1)
- Executive Compensation (1)
- Exercise behavior (1)
- Experimentelle (1)
- FX Derivatives (1)
- Factor Model (1)
- Faktorenanalyse (1)
- Fernmeldewesen (1)
- Financial Development (1)
- Financial Institution Building (1)
- Financial Intermediation (1)
- Financial Markets (1)
- Financial Reporting Review Panel (FRRP) (1)
- Financial distress (1)
- Financial integration process (1)
- Financial system (1)
- Finanzderivat / Hedging / Strategie / Volatilität / Stochastischer Prozess / Theorie (1)
- Finanzdienstleistung (1)
- Finanzkrise (1)
- Finanzlage (1)
- Finanzmakler (1)
- Finanzplatz / Standortfaktor / Standortwettbewerb / Regionale Konzentration / Deutschland / Grossbritannien / Gruppe Deutsche Börse Frankfurt (1)
- Finanzsystem (1)
- Firmenkundengeschäft (1)
- Floatation Method (1)
- Florida (1)
- Fondsmanagement (1)
- Frankfurt (Main) (1)
- Frankfurt am Main (1)
- Fremdkapital / Kredit / Bank / Finanzierung / Lieferanten-Kunden-Beziehung / Theorie (1)
- Frühwarnsystem (1)
- Fusion (1)
- GARCH model (1)
- GARCH-Prozess (1)
- Gegenseitigkeit-Versicherung (1)
- Gehaltsstruktur (1)
- Generationenvertrag (1)
- Geschichte (1)
- Geschichte 1870-2005 (1)
- Geschichte 1946-1997 (1)
- Geschichte 1960-1995 (1)
- Geschichte 1975-1998 (1)
- Geschichte 1975-2002 (1)
- Geschichte 1978-2000 (1)
- Geschichte 1990-1999 (1)
- Geschichte 1994-2003 (1)
- Geschichte 1996-2005 (1)
- Geschichte 1996-2006 (1)
- Geschichte 1997-1999 (1)
- Geschichte 1999-2000 (1)
- Geschichte 1999-2003 (1)
- Geschichte 2002-2005 (1)
- Geschäftsanteil (1)
- Geschäftsbericht (1)
- Geschäftswert (1)
- Gewerbeimmobilien (1)
- Gewinnglättung (1)
- Globalisierung (1)
- Granger causality (1)
- Gutenberg, Erich (1)
- Haftpflichtversicherung (1)
- Haftung (1)
- Hagelversicherung (1)
- Handel (1)
- Handelskredit (1)
- Haushalt (1)
- Hausratversicherung (1)
- Hedging / Strategie / Volatilität / Stochastischer Prozess / Theorie (1)
- Hedging the Currency Risk (1)
- Hedonischer Preis (1)
- High Frequency Data in Finance (1)
- Higher Moments (1)
- History of the Theory of the Firm (1)
- Hypothekenbank (1)
- Hysterese (1)
- IPO (1)
- IT standardization (1)
- Immaterieller Anlagewert (1)
- Immaterielles Wirtschaftsgut (1)
- Immobilien-Investment (1)
- Immobilieninvestments (1)
- Immobilienmarkt (1)
- Incentive Compensation (1)
- Incentive Systems (1)
- Incomplete markets (1)
- Index-Futures (1)
- Indexbildung (1)
- Influence Activities (1)
- Information Acquisition (1)
- Informationsgehalt (1)
- Informationspolitik (1)
- Informationstechnik (1)
- Informationswert (1)
- Informationsökonomie (1)
- Initial Public Offerings (1)
- Innenfinanzierung (1)
- Insidergeschäft (1)
- Insolvenz (1)
- Institution Building (1)
- Institutioneller Anleger (1)
- Insurance Stocks (1)
- Interessenpolitik (1)
- International Accounting Standard 39 (1)
- International Portfolio Choice (1)
- International stock markets (1)
- Intra Day (1)
- Investition (1)
- Investitionsrechnung (1)
- Investment Incentives (1)
- Investment incentives (1)
- Investor Relations (1)
- Jahresabschlußprüfung (1)
- Japanese financial system (1)
- Jumps (1)
- Kapitalallokation (1)
- Kapitalanlagegesellschaften (1)
- Kapitalbedarfsrechnung (1)
- Kapitalbeteiligung (1)
- Kapitalbeteiligungsgesellschaft (1)
- Kapitalmarktrecht (1)
- Kapitalmarkttheorie (1)
- Kleinkredit (1)
- Konkurs (1)
- Kontrakttheorie (1)
- Kreditgenossenschaft (1)
- Kreditgeschäft (1)
- Kreditgeschäft / Unternehmenskooperation / Vertrag / Bank / Kreditrisiko / Rentabilität / Theorie (1)
- Kreditirisiken (1)
- Kreditrestriktion (1)
- Kreditwürdigkeitsprüfung (1)
- Kursbeeinflussung (1)
- LEN-Modell (1)
- Langfristiger Kredit (1)
- Learning Effects (1)
- Leasing (1)
- Leibrente (1)
- Lieferanten-Kunden-Beziehung (1)
- Liquidity Crisis (1)
- Lobbying (1)
- Lobbyismus (1)
- Lohnstruktur (1)
- Lohnstückkosten (1)
- L´evy framework (1)
- MBS (1)
- Main (1)
- Make or buy (1)
- Management (1)
- Managerial Accounting (1)
- Manipulation (1)
- Market risk premium (1)
- Market-Maker (1)
- Markov switching models (1)
- Markov-Prozess (1)
- Marktpreisrisiken (1)
- Mehrheitsaktionär (1)
- Microfinance (1)
- Mikrostrukturtheorie <Kapitalmarkttheorie> (1)
- Minderheitsaktionär (1)
- Mitgliedsstaaten (1)
- Mittelsperson (1)
- Mittelstand (1)
- Model Error (1)
- Model Risk (1)
- Moral Hazard (1)
- Multifaktorenmodelle (1)
- Multinationales Unternehmen (1)
- Multiple factor models (1)
- Mängelhaftung (1)
- Nachfrage (1)
- Neuer Markt (1)
- Neuer Markt <Börse> (1)
- Neuer Markt, Börse (1)
- New Economy (1)
- Nichtlineare Analysis (1)
- Nichtparametrische Statistik (1)
- Nichtparametrisches Verfahren (1)
- Nutzen (1)
- Nutzenmaximierung (1)
- Oil Industry (1)
- Options (1)
- Optionspreistheorie / Hedging / Stochastischer Prozess / Theorie (1)
- Organizational Theory (1)
- Ownership (1)
- Paris (1)
- Pensionskasse (1)
- Performance Measurement (1)
- Personalaufwendung (1)
- Pflichtrotation (1)
- Politikberatung (1)
- Portfolio Choice (1)
- Portfolio Optimization (1)
- Portfolio-Investition (1)
- Preis (1)
- Preisbildung (1)
- Preiselastizität (1)
- Preisindex (1)
- Pressemitteilungen (1)
- Price Formation (1)
- Price discovery (1)
- Principal-Agent (1)
- Private Equity (1)
- Produktivität (1)
- Prognose (1)
- Pythagorean theorem (1)
- REITs (1)
- Rating (1)
- Real Estate Investments (1)
- Real Estate Securities (1)
- Real estate investments (1)
- Realoption (1)
- Recht (1)
- Rechtsvereinheitlichung (1)
- Reduktion (1)
- Reform (1)
- Regelberichterstattung (1)
- Regulatory Committee (1)
- Relationship lending (1)
- Rentenversicherung (1)
- Residual Income (1)
- Rights Offerings (1)
- Risikoprämien (1)
- Risk (1)
- Risk Premiums (1)
- Risk neutral valuation (1)
- Sachbearbeiter (1)
- Sachversicherung (1)
- Schadenversicherung (1)
- Scheingewinn (1)
- Schneeballsystem (1)
- Schwellenländer (1)
- Seasonality of the Trading Process (1)
- Seasoned Equity Offerings (1)
- Securitisation (1)
- Sektoraler Strukturwandel (1)
- Self-fulfilling Prophecy (1)
- Self-regulation (1)
- Severance Pay (1)
- Shareholder (1)
- Shareholder Value (1)
- Shortfall (1)
- Shortfall Risk (1)
- Signaling (1)
- Skalenertrag (1)
- Small-Caps (1)
- Specialist Trading (1)
- Squeeze-Out (1)
- Standardisierung (1)
- Standort (1)
- Standortfaktor (1)
- Standortpolitik (1)
- Standortwahl (1)
- Standortwettbewerb (1)
- Statistischer Test (1)
- Steuer (1)
- Steuerrückstellung (1)
- Stiglitz, Joseph E. (1)
- Stochastic Volatility (1)
- Stochastic jumps (1)
- Stochastic volatility (1)
- Sturmversicherung (1)
- Takeovers (1)
- Target Costing (1)
- Telekommunikation (1)
- Telekommunikationswirtschaft (1)
- Theorie (1)
- Theoriegeschichte (1)
- Theory of the Firm (1)
- Time continuous valuation (1)
- Timing risk (1)
- Tobit panel data regressions (1)
- Transaction durations (1)
- Transformation (1)
- Transmission Mechanism (1)
- UK-Environment (1)
- Unbewegliche Sache (1)
- Uncertainty (1)
- Ungarn (1)
- Unternehmenserfolg (1)
- Unternehmensfinanzierung (1)
- Unternehmenskauf (1)
- Unternehmensmodell (1)
- Unternehmensorganisation und Strategie (1)
- Validation (1)
- Value at Risk (1)
- Verbrauch (1)
- Vereinigte Staaten (1)
- Vergütung (1)
- Vermögensanlagen (1)
- Versicherungsaktien (1)
- Versicherungsaktiengesellschaft (1)
- Versicherungsaufsicht (1)
- Versicherungsunternehmen (1)
- Versicherungswissenschaft (1)
- Verweildauer (1)
- Volatility Risk Premium (1)
- Volatilität / Risikoprämie / Statistischer Test / Optionspreistheorie / Stochastischer Prozess / Theorie (1)
- Vollständigkeit des Marktes (1)
- Wachstumstheorie (1)
- Wahrscheinlichkeitsverteilung (1)
- Wechselkurs (1)
- Welt (1)
- Wertanalyse / Shareholder Value / Erfolgsrechnung / Ökonomischer Anreiz / Betriebliche Kennzahl / Theorie / performance measurement (1)
- Wertberichtigung Wertberichtigung (1)
- Wertmanagement (1)
- Wertpapieranlage (1)
- Wertpapierbörse (1)
- Wertpapierhandelsgesetz (WpHG) (1)
- Wertschöpfungskette (1)
- Wettbewerb (1)
- Wettbewerbsfreiheit (1)
- Wettbewerbsfähigkeit (1)
- Wiederkauf (1)
- Wirtschaftlicher Dualismus (1)
- Wirtschaftsgut (1)
- Wirtschaftspolitik (1)
- Wirtschaftspolitisches Ziel (1)
- Wirtschaftsprüfung (1)
- Wohnungsmarkt (1)
- Währungsunion (1)
- Xetra-Handelssystem (1)
- Zeitpräferenz (1)
- Zeitstetige Optionsbewertung (1)
- Zins (1)
- Zinsfuß (1)
- Zukunft (1)
- accounting principles (1)
- active management (1)
- ad hoc disclosure rules (1)
- annuities (1)
- artificially completed markets (1)
- asset location (1)
- asset-pricing models (1)
- autoregressive conditional duration models (1)
- bank funding (1)
- bank mergers (1)
- bank regulation (1)
- bank strategies (1)
- bank-based financial system (1)
- bank-based financial systems (1)
- banking (1)
- banking system (1)
- banks (1)
- behavioral finance (1)
- beta kernel (1)
- board of directors (1)
- board oversight (1)
- boundary bias (1)
- business segment reports (1)
- capital (1)
- capital market-based financial systems (1)
- capital regulation (1)
- capital structure (1)
- central counterparty (1)
- centralcounterparty (1)
- certainty equivalents (1)
- cluster analysis (1)
- co-determination (1)
- collateralized loan obligations (1)
- competition (1)
- competition in banking (1)
- conservatism (1)
- contagion (1)
- coordination problems (1)
- core Europe (1)
- corporategovernance (1)
- cost and profit efficiency (1)
- cost efficiency (1)
- country groups (1)
- credit chains (1)
- credit constraints (1)
- credit rating (1)
- credit rating agencies (1)
- credit ratings (1)
- credit risk correlation (1)
- default (1)
- delegated expertise (1)
- delegated monitoring (1)
- derivate Finanzinstrumente (1)
- derivatives (1)
- development finance (1)
- discrete trading (1)
- disintermediation (1)
- distance to default (1)
- diversification (1)
- dividend protection (1)
- dividends (1)
- dual-class shares (1)
- duble moral hazard (1)
- duration analysis (1)
- dynamic asset allocation (1)
- dynamic programming (1)
- earnings management (1)
- economic analysis of law (1)
- economic geography (1)
- economic institutions (1)
- economic systems (1)
- economies of scale (1)
- effciency (1)
- electoral cycle (1)
- endowment effect (1)
- estimation risk (1)
- event study (1)
- executive compensation (1)
- executive stock options (1)
- experience-based learning (1)
- experimental asset markets (1)
- externe Performance-Messung (1)
- financial constraints (1)
- financial deepening (1)
- financial distress (1)
- financial services (1)
- finite mixture distributions (1)
- fixed effects regression (1)
- foreign banks (1)
- franchise value (1)
- german insurance industry (1)
- global banks (1)
- global game (1)
- goal congruence (1)
- government-owned banks (1)
- hedging error (1)
- hedonic (1)
- hedonic translog cost function (1)
- hedonische Indizes (1)
- home bias (1)
- housing (1)
- human capital formationbank-based financial system (1)
- incentive effects (1)
- incentive fees (1)
- incentives (1)
- incomplete contracts (1)
- information ratios (1)
- information technology (1)
- informed principal (1)
- inter-firm liquidity provision (1)
- international accounting (1)
- international banking (1)
- international diversification (1)
- internationale Unternehmensstrategien (1)
- intraday stock price adjustments (1)
- investment management company (1)
- kapitalmarktorientierte Rechnungslegung (1)
- law and economics (1)
- leader- follower analysis (1)
- leasing (1)
- legal rules (1)
- lender coordination (1)
- liability insurance (1)
- life-cycle decisions (1)
- limited liability (1)
- liquidity (1)
- loan officers (1)
- loan origination (1)
- location theory (1)
- long-term investments (1)
- managerial incentives (1)
- mandatory audit (1)
- market institutions (1)
- market microstructure theory (1)
- market participants (1)
- market prices of risk (1)
- market reactions (1)
- market structure (1)
- market trends (1)
- market valuation (1)
- model mis-specification (1)
- model misspecification (1)
- multinomial logit model (1)
- multiple bank financing (1)
- mutual fund complex (1)
- non-parametric methods (1)
- non-profit banking (1)
- nonlinear time series models (1)
- normalization (1)
- nternationale Wettbewerbsfähigkeit (1)
- numerical optimization (1)
- open-end real-estate fund (1)
- optimal consumption and investment (1)
- option pricing (1)
- owner-manager conflict (1)
- panel data (1)
- paradigm of complementarities (1)
- partnerships (1)
- pensions (1)
- performance fees (1)
- political economy (1)
- political influence (1)
- portfolio managers (1)
- portfolio selection (1)
- post-trading (1)
- probit and logit models (1)
- proprietary costs (1)
- proximity (1)
- public information (1)
- quiet life hypothesis (1)
- rating migration (1)
- realised volatility (1)
- regional banks (1)
- regional competition (1)
- relationship lending (1)
- retirement (1)
- retirement policies (1)
- risikoadjustierte Rendite (1)
- risikoneutrale Bewertung (1)
- risk budgeting (1)
- risk shifting (1)
- robust hedging (1)
- securitisation (1)
- securitization (1)
- share repurchases (1)
- shortfall risk (1)
- simulation-based research (1)
- small business lending (1)
- software (1)
- stakeholders (1)
- state-owned enterprises (1)
- stochastic differential utility (1)
- stochastic interest rates (1)
- stochastic jumps (1)
- stochastic volability (1)
- stochastic volatility (1)
- stock market (1)
- structural positions (1)
- structured finance (1)
- superhedging (1)
- systematic stability (1)
- tactical asset allocation (1)
- tax exempt accounts (1)
- tax-deferred accounts (1)
- team production problem (1)
- theory of the firm (1)
- tractable hedging (1)
- trade credit (1)
- trading intensity (1)
- transparency (1)
- universal banking (1)
- validation (1)
- value based management (1)
- value chain (1)
- voting premium (1)
- watchlist (1)
- welfare loss (1)
- Älterer Mensch (1)
- Öffentlichkeitsarbeit (1)
- Ökonometrisches Modell (1)
- ‘u’-shape (1)
Institute
- Wirtschaftswissenschaften (206) (remove)
196
This paper relates recursive utility in continuous time to its discrete-time origins and provides a rigorous and intuitive alternative to a heuristic approach presented in [Duffie, Epstein 1992], who formally define recursive utility in continuous time via backward stochastic differential equations (stochastic differential utility). Furthermore, we show that the notion of Gâteaux differentiability of certainty equivalents used in their paper has to be replaced by a different concept. Our approach allows us to address the important issue of normalization of aggregators in non-Brownian settings. We show that normalization is always feasible if the certainty equivalent of the aggregator is of expected utility type. Conversely, we prove that in general L´evy frameworks this is essentially also necessary, i.e. aggregators that are not of expected utility type cannot be normalized in general. Besides, for these settings we clarify the relationship of our approach to stochastic differential utility and, finally, establish dynamic programming results. JEL Classifications: D81, D91, C61
202
The utility-maximizing consumption and investment strategy of an individual investor receiving an unspanned labor income stream seems impossible to find in closed form and very dificult to find using numerical solution techniques. We suggest an easy procedure for finding a specific, simple, and admissible consumption and investment strategy, which is near-optimal in the sense that the wealthequivalent loss compared to the unknown optimal strategy is very small. We first explain and implement the strategy in a simple setting with constant interest rates, a single risky asset, and an exogenously given income stream, but we also show that the success of the strategy is robust to changes in parameter values, to the introduction of stochastic interest rates, and to endogenous labor supply decisions.
197
We provide explicit solutions to life-cycle utility maximization problems simultaneously involving dynamic decisions on investments in stocks and bonds, consumption of perishable goods, and the rental and the ownership of residential real estate. House prices, stock prices, interest rates, and the labor income of the decision-maker follow correlated stochastic processes. The preferences of the individual are of the Epstein-Zin recursive structure and depend on consumption of both perishable goods and housing services. The explicit consumption and investment strategies are simple and intuitive and are thoroughly discussed and illustrated in the paper. For a calibrated version of the model we find, among other things, that the fairly high correlation between labor income and house prices imply much larger life-cycle variations in the desired exposure to house price risks than in the exposure to the stock and bond markets. We demonstrate that the derived closed-form strategies are still very useful if the housing positions are only reset infrequently and if the investor is restricted from borrowing against future income. Our results suggest that markets for REITs or other financial contracts facilitating the hedging of house price risks will lead to non-negligible but moderate improvements of welfare.
201
In this paper, we analyze economies of scale for German mutual fund complexes. Using 2002-2005 data of 41 investment management companies, we specify a hedonic translog cost function. Applying a fixed effects regression on a one-way error component model there is clear evidence of significant overall economies of scale. On the level of individual mutual fund complexes we find significant economies of scale for all of the companies in our sample. With regard to cost efficiency, we find that the average mutual fund complexes in all size quartiles deviate considerably from the best practice cost frontier. JEL Classification: G2, L25 Keywords: mutual fund complex, investment management company, cost efficiency, economies of scale, hedonic translog cost function, fixed effects regression, one-way error component model
199
Gauging risk with higher moments : handrails in measuring and optimising conditional value at risk
(2009)
The aim of the paper is to study empirically the influence of higher moments of the return distribution on conditional value at risk (CVaR). To be more exact, we attempt to reveal the extent to which the risk given by CVaR can be estimated when relying on the mean, standard deviation, skewness and kurtosis. Furthermore, it is intended to study how this relationship can be utilised in portfolio optimisation. First, based on a database of 600 individual equity returns from 22 emerging world markets, factor models incorporating the first four moments of the return distribution have been constructed at different confidence levels for CVaR, and the contribution of the identified factors in explaining CVaR was determined. Following this the influence of higher moments was examined in portfolio context, i.e. asset allocation decisions were simulated by creating emerging market portfolios from the viewpoint of US investors. This can be regarded as a normal decisionmaking process of a hedge fund focusing on investments into emerging markets. In our analysis we compared and contrasted two approaches with which one can overcome the shortcomings of the variance as a risk measure. First of all, we solved in the presence of conflicting higher moment preferences a multi-objective portfolio optimisation problem for different sets of preferences. In addition, portfolio optimisation was performed in the mean-CVaR framework characterised by using CVaR as a measure of risk. As a part of the analysis, the pair-wise comparison of the different higher moment metrics of the meanvariance and the mean-CVaR efficient portfolios were also made. Throughout the work special attention was given to implied preferences to the different higher moments in optimising CVaR. We also examined the extent to which model risk, namely the risk of wrongly assuming normally-distributed returns can deteriorate our optimal portfolio choice. JEL Classification: G11, G15, C61
200
Der vorliegende Beitrag untersucht, ob der Mehrheitsaktionär einer Gesellschaft im Vorfeld eines Zwangsausschlusses von Minderheitsaktionären (sog. Squeeze-Out) versucht, die Kapitalmarkterwartungen negativ zu beeinflussen. Ein solches "manipulatives" Verhalten wird häufig in der juristischen wie betriebswirtschaftlichen Literatur unterstellt, da der Aktienkurs fü die Abfindungshöhe die Wertuntergrenze bildet. Unsere empirische Untersuchung der Bilanz- und Pressemitteilungspolitik von Squeeze-Out-Unternehmen im Vorfeld der Ankündigung einer solchen Maßnahme am deutschen Kapitalmarkt zeigt, dass in diesem Zeitraum tatsächlich ein signifikanter Anstieg (Rückgang) der im Ton pessimistischen (optimistischen) Pressemitteilungen feststellbar ist. Allerdings zeigt sich weiter, dass die Aktien der Squeeze-Out-Kandidaten bereits im Vorfeld und am Tag der Ankündigung so hohe positive Überrenditen erzielen, dass der von uns quantifizierte kumulierte Effekt der Informationspolitik auf die Börsenbewertung einen insgesamt nur sehr geringen Einfluss ausübt und von anderen Faktoren (z.B. Abfindungsspekulationen) dominiert wird. JEL: M41, M40, G14, K22