Working paper series / Johann-Wolfgang-Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften : Finance & Accounting
Refine
Year of publication
Document Type
- Working Paper (147) (remove)
Language
- English (147) (remove)
Is part of the Bibliography
- no (147)
Keywords
- Deutschland (38)
- Schätzung (18)
- Corporate Governance (14)
- Bank (10)
- Portfoliomanagement (10)
- Börsenkurs (8)
- Europäische Union (8)
- corporate governance (7)
- Aktienmarkt (6)
- Großbritannien (6)
- Immobilienfonds (6)
- Optionspreistheorie (6)
- Frankreich (5)
- Interbankenabkommen (5)
- International Financial Reporting Standards (5)
- Kreditwesen (5)
- Portfolio Selection (5)
- Wertpapierhandel (5)
- Wertpapiermarkt (5)
- Aktienoption (4)
- Asymmetrische Information (4)
- Bewertungseinheit (4)
- Börse (4)
- Entwicklungsfinanzierung (4)
- Finanzintermediation (4)
- International Accounting Standards (4)
- Japan (4)
- Kapitalmarkt (4)
- Klein- und Mittelbetrieb (4)
- Neubewertung (4)
- Rendite (4)
- Risiko (4)
- Volatilität (4)
- complementarity (4)
- Aktienanalyse (3)
- Aktienbewertung (3)
- Aktienkurs (3)
- Aktienoptionshandel (3)
- Aktienoptionsplan (3)
- Asymmetric Information (3)
- Corporate governance (3)
- Development finance (3)
- Employee stock options (3)
- Entwicklungsländer (3)
- Executive stock options (3)
- Fair value accounting (3)
- Festwert (3)
- Finanzanalyse (3)
- Finanzierungsstruktur (3)
- Finanzintermediäre (3)
- Institutionalismus (3)
- Investitionsentscheidung (3)
- Kapitalkosten (3)
- Kapitalmarkteffizienz (3)
- Kapitalstruktur (3)
- Kreditmarkt (3)
- Kreditrisiko (3)
- Kreditwürdigkeit (3)
- Leistungsbewertung (3)
- Mergers and Acquisitions (3)
- Mikrofinanzierung (3)
- Publizitätspflicht (3)
- Schattenwirtschaft (3)
- Sparkasse (3)
- Technische Aktienanalyse (3)
- Teilwert (3)
- USA (3)
- Vergleich (3)
- Wertpapieranalyse (3)
- asset allocation (3)
- credit rationing (3)
- credit risk (3)
- efficiency (3)
- financial system (3)
- financial systems (3)
- institution building (3)
- insurance (3)
- networks (3)
- rating agencies (3)
- regulation (3)
- risk allocation (3)
- savings banks (3)
- (dis-)intermediation (2)
- Altersversorgung (2)
- Anpassung (2)
- Asset Allocation (2)
- Asset-Backed Security (2)
- Bankenkrise (2)
- Bankpolitik (2)
- Barrier options (2)
- Bias (2)
- Business Network (2)
- Capital-Asset-Pricing-Modell (2)
- DEA (2)
- Derivat, Wertpapier (2)
- Development Finance (2)
- Disclosure (2)
- EU (2)
- Einkommen (2)
- Electronic Commerce (2)
- Europa (2)
- Exercise Behavior (2)
- Exponential smoothing (2)
- Fair-Value-Bewertung (2)
- Financial Systems (2)
- Finanzierungstheorie (2)
- Finanzplatz (2)
- Finanzwirtschaft (2)
- Generaldirektor (2)
- Generally Accepted Accounting Principles (2)
- Germany (2)
- Geschichte 1980-1998 (2)
- Geschäftsführer (2)
- Hedging (2)
- IAS (2)
- Index (2)
- Indexzahl (2)
- Inflation (2)
- Informationsverhalten (2)
- Informeller Finanzsektor (2)
- Insurance (2)
- International Accounting (2)
- International Portfolio Diversification (2)
- Internationaler Wettbewerb (2)
- Kapitalanlage (2)
- Kapitalertrag (2)
- Kapitalflussrechnung (2)
- Klein- und Mittelunternehmen (2)
- Kredit (2)
- Leistungsmessung (2)
- Liquidity (2)
- Malmquist-Productivity (2)
- Markteffizienz (2)
- Mengenindex (2)
- Open Source (2)
- Pfandbrief (2)
- Public Private Partnership (2)
- Public-Private Partnership (2)
- Ratingagentur (2)
- Regulierung (2)
- Rentner (2)
- Risikoverteilung (2)
- Schuldverschreibung (2)
- Schweiz (2)
- Securitization (2)
- Topmanager (2)
- US GAAP (2)
- Versicherungswirtschaft (2)
- Vorstandsvorsitzender (2)
- Zeitreihenanalyse (2)
- asymmetric information (2)
- auditor liability (2)
- bootstrapping (2)
- capital market-based financial system (2)
- career concerns (2)
- cash flow statements (2)
- clearing (2)
- consistent systems (2)
- demutualization (2)
- economics of organization (2)
- exchanges (2)
- financial centres (2)
- financial transaction data (2)
- information production (2)
- labor income (2)
- market efficiency (2)
- mergers & acquisitions (2)
- open source software (2)
- ownership structure (2)
- pension system (2)
- portfolio choice (2)
- recursive utility (2)
- risk transfer (2)
- settlement (2)
- signalling (2)
- straight-through processing (2)
- systematic risk (2)
- trading (2)
- voluntary disclosure (2)
- ABS (1)
- ARCH-Prozess (1)
- Abfindungsspekulation (1)
- Accounting (1)
- Agency Theory (1)
- Agency-Theorie (1)
- Agglomerationseffekt (1)
- Aktie (1)
- Aktiendepot (1)
- Aktienindex (1)
- Aktienrecht (1)
- Aktienrückkauf (1)
- Alter (1)
- Analysis (1)
- Ankündigungseffekt (1)
- Anreiz (1)
- Anreizsystem (1)
- Anreizvertrag (1)
- Asset Liability Management (1)
- Asymmetric information (1)
- Auftrag (1)
- Auktionstheorie (1)
- Ausfallrisiko (1)
- Auskunftei (1)
- Ausländisches Unternehmen (1)
- Ausschluss (1)
- Bank mergers (1)
- Bankensystem / Finanzsektor / Branchenentwicklung / Rentabilität / Strukturwandel / Sparkasse / Kreditgenossenschaft / Deutschland / 1970-2003 (1)
- Banking Regulation (1)
- Banking in Europe (1)
- Banking system (1)
- Bankrecht (1)
- Bankruptcy Law (1)
- Banks (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)
- Bilanzierungsgrundsätze (1)
- Bilanzpolitik (1)
- Bilanzrecht (1)
- Bilanzstrukturmanagement (1)
- Binnenmarkt (1)
- Board Independence (1)
- Bonitätsprüfung (1)
- Bootstrap (1)
- Branchenkrise (1)
- Business Ethics (1)
- Börsenhandel (1)
- Börsenhändler (1)
- Börseninformationssystem (1)
- Börsenkrach (1)
- Börsenmakler (1)
- Börsenzulassung (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)
- Cashflow (1)
- Checkliste (1)
- Commercialisation (1)
- Comparative Accounting (1)
- Compensation Contracting (1)
- Complementarity (1)
- Contagion (1)
- Convergences of Financial Systems (1)
- Coordination (1)
- Corporate Governance / Eigentümerstruktur / Universalbank / Finanzmarkt / Mitbestimmung / Deutschland (1)
- Corporate Governance / Informationsökonomik / Informationsverbreitung / Finanzintermediär / Theorie (1)
- Cost of Capital (1)
- Credit (1)
- Credit market competition (1)
- Credit rating agencies (1)
- Cross-listing (1)
- Currency Hedging (1)
- Decision Making und Risk (1)
- Discretization Error (1)
- Disketten-Clearing-Verfahren (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)
- Emissionskurs (1)
- Endogenes Wirtschaftswachstum (1)
- Enforcement (1)
- Entscheidung bei Unsicherheit (1)
- Entwicklung (1)
- Ersparnis (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)
- Evolutorische Wirtschaft (1)
- Executive Compensation (1)
- Exercise behavior (1)
- Experimentelle Wirtschaftsforschung (1)
- FX Derivatives (1)
- Factor Model (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)
- Finanzkrise (1)
- Finanzlage (1)
- Finanzmakler (1)
- Floatation Method (1)
- Florida (1)
- Frankfurt (1)
- Frankfurt (Main) (1)
- Frankfurt am Main (1)
- Fusion (1)
- Führungskraft (1)
- GARCH model (1)
- GARCH-Prozess (1)
- Gegenseitigkeit-Versicherung (1)
- Gehaltsstruktur (1)
- Geschichte 1960-1995 (1)
- Geschichte 1975-2002 (1)
- Geschichte 1994-2003 (1)
- Geschichte 1996-2005 (1)
- Geschichte 1996-2006 (1)
- Geschichte 1999-2000 (1)
- Geschichte 1999-2003 (1)
- Geschichte 2002-2005 (1)
- Geschäftsanteil (1)
- Geschäftsbericht (1)
- Geschäftswert (1)
- Gewerbeimmobilien (1)
- Gewinnermittlung (1)
- Gewinnglättung (1)
- Going Public (1)
- Granger causality (1)
- Haftpflichtversicherung (1)
- Haftung (1)
- Hagelversicherung (1)
- Handel (1)
- Handelskredit (1)
- Handelsvolumen (1)
- Haushalt (1)
- Hausratversicherung (1)
- Hedging the Currency Risk (1)
- Higher Moments (1)
- Hysterese (1)
- IPO (1)
- IT standardization (1)
- Immaterieller Anlagewert (1)
- Immaterielles Wirtschaftsgut (1)
- Immobilieninvestments (1)
- Incentive Compensation (1)
- Incomplete markets (1)
- Index-Futures (1)
- Indexbildung (1)
- Influence Activities (1)
- Information Acquisition (1)
- Informationspolitik (1)
- Informationstechnik (1)
- Initial public offerings (1)
- Insidergeschäft (1)
- Insolvenz (1)
- Institution Building (1)
- Institutionenökonomie (1)
- International Accounting Standard 39 (1)
- International Portfolio Choice (1)
- International stock markets (1)
- Internationale Bank (1)
- Internationale Wettbewerbsfähigkeit (1)
- Internationaler Kreditmarkt (1)
- Investition (1)
- Investitionsplanung (1)
- Investitionspolitik (1)
- Investitionsrechnung (1)
- Investment Incentives (1)
- Investmentfonds (1)
- Jumps (1)
- Kapitalallokation (1)
- Kapitalbedarfsrechnung (1)
- Kleinkredit (1)
- Konkurs (1)
- Kontrakttheorie (1)
- Kreditgenossenschaft (1)
- Kreditgeschäft (1)
- Kreditgeschäft / Unternehmenskooperation / Vertrag / Bank / Kreditrisiko / Rentabilität / Theorie (1)
- Kreditrestriktion (1)
- Kreditwürdigkeitsprüfung (1)
- Krisenmanagement (1)
- Kursbeeinflussung (1)
- LEN-Modell (1)
- Langfristiger Kredit (1)
- Learning Effects (1)
- Leasing (1)
- Leibrente (1)
- Lieferanten-Kunden-Beziehung (1)
- Liquidity Crisis (1)
- Liquidität (1)
- Lobbyismus (1)
- Lohnstruktur (1)
- Lohnstückkosten (1)
- L´evy framework (1)
- MBS (1)
- Make or buy (1)
- Management (1)
- Managerial Accounting (1)
- Manipulation (1)
- Market risk premium (1)
- Markov switching models (1)
- Markov-Prozess (1)
- Mehrheitsaktionär (1)
- Microfinance (1)
- Mikrostrukturtheorie <Kapitalmarkttheorie> (1)
- Mikrostrukturtheorie <Kapitalmarkttheorie> (1)
- Minderheitsaktionär (1)
- Mitgliedsstaaten (1)
- Mittelsperson (1)
- Model Error (1)
- Model Risk (1)
- Moral Hazard (1)
- Multifaktorenmodelle (1)
- Multiple factor models (1)
- Nachfrage (1)
- Neuer Markt (1)
- Neuer Markt, Börse (1)
- Nichtlineare Analysis (1)
- Nichtparametrische Statistik (1)
- Nichtparametrisches Verfahren (1)
- Nutzen (1)
- Nutzenmaximierung (1)
- Oil Industry (1)
- Optionspreistheorie / Hedging / Stochastischer Prozess / Theorie (1)
- Ownership (1)
- Pensionskasse (1)
- Performance Measurement (1)
- Personalaufwendung (1)
- Politikberatung (1)
- Portfolio Choice (1)
- Portfolio Insurance (1)
- Portfolio Optimization (1)
- Portfolio-Investition (1)
- Preis (1)
- Preisbildung (1)
- Preiselastizität (1)
- Pressemitteilungen (1)
- Price Formation (1)
- Price discovery (1)
- Principal-Agent (1)
- Produktivität (1)
- Prognose (1)
- Qualität (1)
- REITs (1)
- Rating (1)
- Real Estate Investments (1)
- Real Estate Securities (1)
- Realoption (1)
- Reduktion (1)
- Regulatory Committee (1)
- Relationship Lending (1)
- Relationship lending (1)
- Rentenreform (1)
- Residual Income (1)
- Rights Offerings (1)
- Risikomanagement (1)
- Risikoprämie (1)
- Risk (1)
- Russland (1)
- Sachbearbeiter (1)
- Sachversicherung (1)
- Schadenversicherung (1)
- Schneeballsystem (1)
- Schätzfunktion (1)
- Schätztheorie (1)
- Seasoned Equity Offerings (1)
- Securitisation (1)
- Sektoraler Strukturwandel (1)
- Severance Pay (1)
- Shortfall (1)
- Shortfall Risk (1)
- Skalenertrag (1)
- Specialist Trading (1)
- Spieltheorie (1)
- Squeeze-Out (1)
- Stakeholder (1)
- Standardisierung (1)
- Standort (1)
- Standortwahl (1)
- Statistischer Test (1)
- Steuer (1)
- Steuerrückstellung (1)
- Stochastic Volatility (1)
- Stochastic jumps (1)
- Stochastischer Prozess (1)
- Sturmversicherung (1)
- Takeovers (1)
- Target Costing (1)
- Theorie (1)
- Timing risk (1)
- Tobit panel data regressions (1)
- Transmission Mechanism (1)
- UK-Environment (1)
- Unbewegliche Sache (1)
- Uncertainty (1)
- Ungarn (1)
- Unternehmenserfolg (1)
- Unternehmenskauf (1)
- Unternehmensmodell (1)
- Unternehmenstheorie (1)
- Unternehmensverfassung (1)
- Validation (1)
- Value at Risk (1)
- Verbrauch (1)
- Verbraucherverhalten (1)
- Vereinigte Staaten (1)
- Vergütung (1)
- Versicherungsaktiengesellschaft (1)
- Versicherungswissenschaft (1)
- Verweildauer (1)
- Volatility Risk Premium (1)
- Volatilität / Risikoprämie / Statistischer Test / Optionspreistheorie / Stochastischer Prozess / Theorie (1)
- Wachstumstheorie (1)
- Wahrscheinlichkeitsverteilung (1)
- Welt (1)
- Wertberichtigung Wertberichtigung (1)
- Wertpapier (1)
- Wertpapieranlage (1)
- Wertpapierbörse (1)
- Wertpapieremission (1)
- Wettbewerb (1)
- Wettbewerbsfreiheit (1)
- Wettbewerbsfähigkeit (1)
- Wiederkauf (1)
- Wirtschaftlicher Dualismus (1)
- Wirtschaftsgut (1)
- Wirtschaftspolitik (1)
- Wirtschaftsprüfung (1)
- Währungsrisiko (1)
- Währungsunion (1)
- Xetra-Handelssystem (1)
- Zinsfuß (1)
- Zukunft (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)
- competition (1)
- competition in banking (1)
- conservatism (1)
- contagion (1)
- convergence (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 transfer (1)
- default (1)
- delegated expertise (1)
- delegated monitoring (1)
- derivatives (1)
- discrete trading (1)
- disintermediation (1)
- distance to default (1)
- dividend protection (1)
- dividends (1)
- dual-class shares (1)
- duble moral hazard (1)
- dynamic asset allocation (1)
- dynamic programming (1)
- earnings management (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)
- experimental asset markets (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 game (1)
- government-owned banks (1)
- hedging error (1)
- hedonic translog cost function (1)
- home bias (1)
- housing (1)
- human capital formation (1)
- human capital formationbank-based financial system (1)
- incomplete contracts (1)
- incomplete markets (1)
- index construction (1)
- information technology (1)
- informed principal (1)
- inter-firm liquidity provision (1)
- international accounting (1)
- international diversification (1)
- intraday stock price adjustments (1)
- investment management company (1)
- leader- follower analysis (1)
- leasing (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)
- market institutions (1)
- market microstructure theory (1)
- market participants (1)
- market prices of risk (1)
- market reactions (1)
- market structure (1)
- market trends (1)
- model mis-specification (1)
- multinomial logit model (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)
- partnerships (1)
- pensions (1)
- political economy (1)
- political influence (1)
- portfolio selection (1)
- post-trading (1)
- proprietary costs (1)
- proximity (1)
- public information (1)
- quiet life hypothesis (1)
- rating migration (1)
- realised volatility (1)
- regional banks (1)
- retirement (1)
- retirement policies (1)
- risk shifting (1)
- securitisation (1)
- share repurchases (1)
- shortfall risk (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)
- structured finance (1)
- superhedging (1)
- systematic stability (1)
- tax exempt accounts (1)
- tax-deferred accounts (1)
- team production problem (1)
- theory of the firm (1)
- trade credit (1)
- trading intensity (1)
- transparency (1)
- underpricing (1)
- universal banking (1)
- validation (1)
- value chain (1)
- voting premium (1)
- watchlist (1)
- welfare loss (1)
- when-issued trading (1)
- winner’s curse (1)
- Älterer Mensch (1)
- Öffentlichkeitsarbeit (1)
- ‘u’-shape (1)
Institute
82
The present paper seeks to study the possible diversification potential by the integration of indirect real estate investments in international portfolios. To this end, monthly index-return time-series in the time-period from January 1985 till December 1998 from real estate investment companies as well as common stocks and bonds in Germany, France, Switzerland, Great Britain and the USA were used. We utilize, due to the critical normal distribution assumption, a mean/lower-partial-moment framework. In order to take into account the influence of the currency risk for international investments the analyses have been undertaken both with as well as without hedging the currency risk. We take the viewpoint of a German as well as that of a US-investor to gain insight into the dependency of the diversification potential on the reference currency of the investor.
114
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.
108
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.
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
51
Real estate is an important asset, but as a direct investment subject to several difficulties. Shares of public open end funds or of real estate stock corporations represent a possible way for an investor to avoid these problems. The focus of this paper is the analysis of inflation risk of European real estate securities. An overview of the institutional frameworks regarding these companies is given. The returns of real estate securities in France, Germany, Switzerland and the United Kingdom are examined for the period 1980:1-1998:12. Besides the classical Fama/Schwert-approach, shortfall risk measurements have been used. In this context, transaction costs in particular have been taken into account.
52
The purpose of this paper is to compare three different index construction methodologies of commercial property investments. We examine for different European countries (i) appraisal-based indices and methods of „unsmoothing“ the corresponding return series, (ii) indices that trace average ex-post transaction prices over time, and (iii) indices based on Real Estate Investment Trust share prices.
156
This article presents an overview of the contemporary German insurance market, its structure, players, and development trends. First, brief information about the history of the insurance industry in Germany is provided. Second, the contemporary market is analyzed in terms of its legal and economic structure, with statistics on the number of companies, insurance density and penetration, the role of insurers in the capital markets, premiums split, and main market players and their market shares. Furthermore, the three biggest insurance lines—life, health, and property and casualty—are considered in more detail, such as product range, country specifics, and insurance and investment results. A section on regulation outlines its implementation in the insurance sector, offering information on the underlying legislative basis, supervisory body, technical procedures, expected developments, and sources of more detailed information.
109
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.
93
Substantial research attention has been devoted to the pension accumulation process, whereby employees and those advising them work to accumulate funds for retirement. Until recently, less analysis has been devoted to the pension decumulation process – the process by which retirees finance their consumption during retirement. This gap has recently begun to be filled by an active group of researchers examining key aspects of the pension payout market. One of the areas of most interesting investigation has been in the area of annuities, which are financial products intended to cover the risk of retirees outliving their assets. This paper reviews and extends recent research examining the role of annuities in helping finance retirement consumption. We also examine key market and regulatory factors.
145
This paper examines intraday stock price effects and trading activity caused by ad hoc disclosures in Germany. The evidence suggests that the observed stock prices react within 90 minutes after the ad hoc disclosures. Trading volumes take even longer to adjust. We find no evidence for abnormal price reactions or abnormal trading volume before announcements. The bigger the company that announces an ad hoc disclosure, the less severe is the abnormal price effect following the announcement. The number of analysts is negatively correlated to the trading volume effect before the ad hoc disclosure. The higher the trading volume on the last trading day before the announcement, the greater is the price effect after the ad hoc disclosures and the greater the trading volume effect. Keywords: ad hoc disclosure rules, intraday stock price adjustments, market efficiency.
22
It is the objective of this paper to determine the voting premium for French shares by comparing the values of voting and non-voting shares, and to analyze the value of the voting rights. The study uses data for 25 French companies which had both types of shares outstanding and traded on the stock exchange during the entire period from 1986 to 1996, or for some time during this interval. The average value of the voting premium is 51,35%.
The paper analyzes the reasons for this surprisingly high value by testing different hypotheses based on dividend differences, the revival) of the voting right, capitalization, shareholder structure, and the share of non-voting capital in total equity capital. The regressions show that the shareholder structure strongly influences the value of the voting premium.
A case study of the attempted takeover of Casino by Promodes shows that investors attach a much higher value to the voting right during relevant situations than at other tomes. Both companies involved had, at the time, two types of shares outstanding and listed. Furthermore the paper shows that non-voting shares have never played an important role in equity finance in France since the companies have different alternatives.
In an international cumparison, France is found to have the second highest voting premium, exceeded only by that of Italy. A probable reason is the low quality of the national accounting standards and the low level of minority shareholder protection.
056
The use of catastrophe bonds (cat bonds) implies the problem of the so called basis risk, resulting from the fact that, in contrast to traditional reinsurance, this kind of coverage cannot be a perfect hedge for the primary’s insured portfolio. On the other hand cat bonds offer some very attractive economic features: Besides their usefulness as a solution to the problems of moral hazard and default risk, an important advantage of cat bonds can be seen in the presumably lower transaction costs compared to (re)insurance products. Insurance coverage usually incurs costs of acquisition, monitoring and loss adjustment, all of which can be reduced by making use of the financial markets. Additionally, cat bonds are only weakly correlated with market risk, implying that in perfect financial markets these securities could be traded at a price including just small risk premiums. Although these aspects have been identified in economic literature, to our knowledge there has been no publication so far that formally addresses the trade-off between basis risk and transaction cost. In this paper, therefore, we introduce a simple model that enables us to analyze cat bonds and reinsurance as substitutional risk management tools in a standard insurance demand theory environment. We concentrate on the problem of basis risk versus transaction cost, and show that the availability of cat bonds affects the structure of optimal reinsurance contract design in an interesting way, as it leads to an increase of indemnity for small losses and a decrease of indemnity for large losses.
204
This paper investigates the impact of IT standardization on bank performance based on a panel of 457 German savings banks over the period from 1996 to 2006. We measure IT standardization as the fraction of IT expenses for centralized services over banks' total IT expenses. Bank efficiency, in turn, is measured by traditional accounting performance indicators as well as by cost and profit efficiencies that are estimated by a stochastic frontier approach. Our results suggest that IT standardization is conducive to cost efficiency. The relation is positive and robust for small and medium-sized banks but vanishes for very large banks. Furthermore, our study confirms the often cited computer paradox by showing that total IT expenditures negatively impact cost efficiency and have no influence on bank profits. To the best of our knowledge, this paper is first to empirically explore whether IT standardization enhances efficiency by employing genuine data of banks' IT expenditures. JEL Classification: C23, G21 Keywords: IT standardization, cost and profit efficiency, savings banks
122
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.
122 r
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.
123
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
194
This paper discusses the so-called commercial approach to microfinance under economic and ethical aspects. It first shows how microfinance has developed from a purely welfare-oriented activity to a commercially relevant line of banking business. The background of this stunning success is the – almost universal – adoption of the so-called commercial approach to microfinance in the course of the last decade. As the author argues, this commercial approach is the only sound approach to adopt if one wanted microfinance to have any social and developmental impact, and therefore the wide-spread “moralistic” criticism of the commercial approach, which has again and again been expressed in the 1990s, is ill-placed from an economic and an ethical perspective. However, some recent events in microfinance raise doubts as to whether the commercial approach has not, in a number of cases, gone too far. The evident example for such a development is the Mexican microfinance institution Compartamos, which recently undertook a financially extremely successful IPO. As it seems, some microfinance institutions have by now become so radically commercial that all of those social and development considerations, which have traditionally motivated work in the field of microfinance, seem to have lost their importance. Thus there is a conflict between commercial and developmental aspirations. However, this conflict is not inevitable. The paper concludes by showing that, and how, a microfinance institution can try to combine using the strengths of the capital market and at the same time maintaining its developmental focus and importance.
118
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.
72
At least in the past, banking in continental Europe has been characterised by a number of features that are quite specific to the region. They include the following: (1) banks play a strong role in their respective financial systems; (2) universal banking is prevalent; (3) not strictly profit-oriented banks play a significant role; and (4) there are considerable differences between national banking systems. It can be safely assumed that the future of banking in Europe will be shaped by three major external developments: deregulation and liberalisation; advances in information technology; and economic, financial and monetary integration. The overall consequences of these developments would be much too vast a topic to be addressed in one short paper. Therefore the present paper concentrates on the following question: Are the traditional peculiarities of the banking and financial systems of continental Europe likely to disappear as a consequence of the aforementioned external developments or are they more likely to remain in spite of these developments? The external developments affect the features specific to banking in continental Europe only indirectly and only via the strategies selected and pursued by the various players in the financial systems, notably the banks themselves, and in ways which strongly depend on the structure of the banking industry and the level of competition between banks and other providers of financial services. The paper develops an informal model of the relationships between (1) external developments, (2) bank strategies and the structure of the banking industry, and (3) the peculiarities of banking in Europe, and derives a hypothesis predicting which of the traditional peculiarities are likely to disappear and which are likely to remain. It argues that, overall, the peculiarities are not likely to disappear in the short or the medium term. First version June 2000. This version March 2001.
3
Paper Presented at the Conference on Workable Corporate Governance: Cross-Border Perspectives held in Paris, March 17-19, 1997 To appear in: A. Pezard/J.-M. Thiveaud: Workable Corporate Governance: Cross-Border Perspectives, Montchrestien, Paris 1997. The paper discusses the role of various constituencies in the corporate governance of a corporation from the perspective of incomplete contracts. A strict shareholder value orientation in the sense of a rule that at any time firm decisions should be made strictly in the interest of the present shareholders would make it difficult for the firm to establish long-term relationships as the potential partners would have to fear that, at a later stage of the co-operation, the shareholders or a management acting only on their behalf could exploit them because of the inevitable incompleteness of long-term contracts. One way of mitigating these problems is to put in place a corporate governance system which gives some active role to the other stakeholders or constituencies, or which makes their interests a well-defined element of the objective function of the firm. A commitment not to follow a policy of strict shareholder value maximization ex post can be efficient ex ante. Such a system would clearly differ from what is advocated by proponents of a "stakeholder approach", as it would limit the rights of the other constituencies to those which would have been agreed upon in a constitutional contract concluded between them and the founder of the firm at the time when long-term contracts are first established.