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We estimate a semiparametric single-risk discrete-time duration model to assess the effect of vocational training on the duration of unemployment spells. The data basis used in this study is the German Socio-Economic-Panel (GSOEP) for West Germany for the period from 1986 to 1994. To take into account a possible selection bias actual participation in vocational training is instrumented using estimates of a randomeffects probit model for the participation in qualification measures. Our main results show that training does have a significant short term effect of reducing unemployment duration but that this effect does not persist in the long run. JEL classifications: C41, J20, J64
This paper is intended as a short survey of the most relevant methods for grouped transition data. The fundamentals of duration analysis are discussed in a continuous time framework, whereas the treatment of methods for discrete durations is limited to the peculiarity of these models. In addition, some recent empirical applications of the methods are discussed.
In recent econometric work, most analyses of female labour supply consider married women, whereas the results for unmarried women are provided rather as a by-product (Burtless/Greenberg, 1982, Johnson/Pencavel, 1984, Leu/Kugler, 1986, Merz, 1990,). When the particular interest is focused on unmarried women, data of the seventies or rather simple econometric models are used (Keeley et al., 1978, Hausman, 1980, Coverman/Kemp, 1987) . Often very specific populations are examined, like for example lone mothers in Blundell/Duncan/Meghir (1992), Jenkins (1992), Staat/Wagenhals (1993) or Laisney et al. (1993). Analysing the economic behaviour of unmarried women, one is confronted with the problem that the term ‘unmarried’ is not clearly defined. It includes single, divorced, separated and widowed women. They live in different types of households, like one-person households or family households, where they occupy different economic positions as for example head of the household or relative of the head. The present work considers unmarried female heads of household. We assume that the dominant economic position as head of household, voluntarily or involuntarily occupied, forces these women to a similar behaviour independent from their family status. Thus they are taken together in the analysis from the different family statuses: single, divorced, separated and widowed. Being unmarried often is regarded as a temporary state, voluntarily or involuntarily, for example in the case of young women before marriage or in the case of divorced women after their separation. Nevertheless the demographic development shows the increased importance of unmarried women in the population during the last decades. In the USA the portion of female headed households raised from 21,1% in 1970 to 26,2% in 1980 and 29,0% in 1992 (Statistical Abstracts of the United States, 1993. Own calculations). In the FRG, female headed households constitute 26,4% of total households in 1970, 27,4% in 1980 and 30,1% in 1992 (Stat.Bundesamt, FS 1, Reihe 3, 1970, 1980, 1992). Therefore it seems an interesting topic to analyse the labour supply behaviour of unmarried female heads. Especially the question whether the labour supply of unmarried women resembles rather that of married women or of prime-age males is of particular interest. Another purpose of this analysis is to apply modern econometric panel data models with special emphasis on the problem of unbalanced panel data. Most panel data analyses are carried out using balanced panel data, which is no problem if the selection process could be ignored and if enough cases are available to guarantee efficient estimation. Especially the last point was crucial for the present analysis of unmarried females. In the available panel data sets the unmarried female heads constitute only a rather small population. Therefore the estimation techniques were modified to take missing observations of the individuals into account. The paper is organized as follows: In section 2 the underlying theoretical model of intertemporal labour supply under uncertainty is shortly presented. Section 3 deals with the econometric specification and estimation techniques where the use of unbalanced panel data is considered. Section 4 contains the data description with a particular look on the unbalancedness of the samples. In the last section 5 the empirical results are presented. We compare the estimated parameters for the unmarried women between the USA and the FRG and also analyse the differences between unmarried and married women. Moreover a comparison between different samples of unmarried women is provided.
This paper provides an empirical assessment of hypotheses that identify causes of demand side constraints of individual labour supply. In a comparative study for the USA and the FRG we focus on analysing the effect of productivity gaps (industry wage growth beyond productivity growth), industry investment intensity and regional labour market conditions on individual employment probabilities. Furthermore, we investigate whether demand side constraints of labour supply can be caused by a spill over from commodity markets. Efficiency wage theory and the theory of inter-industry wage differentials are utilised to derive identifying restrictions that are applicable to the labour supply models for both countries. The econometric contribution of the paper is the derivation and application of a two step estimation method for the class of simultaneous random effects double hurdle models, of which the labour supply model employed in this paper is a special case. To provide the empirical basis for the comparative study, the Panel Study of Income Dynamics and the German Socio-Economic Panel are linked to the OECD’s International Sectoral Database. JEL classification: C33, C34, J64, O57
Modelling consumer behaviour in a profile design using a three equation generalised Tobit model
(1997)
We propose the application of a three equation generalised Tobit to model different aspects of consumer behaviour in a full profile study design. The model takes into account that consumer behaviour can be measured by preference scores, purchase probability and purchase volume. We aim to avoid the drawbacks of traditional conjoint analysis where the latter two aspects are disregarded. Starting from a full profile design, we develop the appropriate questionnaire layout, the econometric model, the likelihood function and tests. The model is applied in a market entry study for an innovative medicament after a reform of Germany´s public health system in 1993-1994. JEL Classification: C35,M31,L65
Comparison of MSACD models
(2003)
We propose a new framework for modelling time dependence in duration processes on financial markets. The well known autoregressive conditional duration (ACD) approach introduced by Engle and Russell (1998) will be extended in a way that allows the conditional expectation of the duration process to depend on an unobservable stochastic process which is modelled via a Markov chain. The Markov switching ACD model (MSACD) is a very flexible tool for description and forecasting of financial duration processes. In addition, the introduction of an unobservable, discrete valued regime variable can be justified in the light of recent market microstructure theories. In an empirical application we show that the MSACD approach is able to capture several specific characteristics of inter trade durations while alternative ACD models fail. JEL classification: C22, C25, C41, G14
We propose a new framework for modelling the time dependence in duration processes being in force on financial markets. The pioneering ACD model introduced by Engle and Russell (1998) will be extended in a manner that the duration process will be accompanied by an unobservable stochastic process. The Discrete Mixture ACD framework provides us with a general methodology which puts the idea into practice. It is established by introducing a discrete-valued latent regime variable which can be justified in the light of recent market microstructure theories. The empirical application demonstrates its ability to capture specific characteristics of intraday transaction durations while alternative approaches fail. JEL classification: C41, C22, C25, C51, G14.
In recent methodological work the well known ACD approach, originally introduced by Engle and Russell (1998), has been supplemented by the involvement of an unobservable stochastic process which accompanies the underlying process of durations via a discrete mixture of distributions. The Mixture ACD model, emanating from the specialized proposal of De Luca and Gallo (2004), has proved to be a moderate tool for description of financial duration data. The use of one and the same family of ordinary distributions has been common practice until now. Our contribution incites to use the rich parameterized comprehensive family of distributions which allows for interacting different distributional idiosyncrasies. JEL classification: C41, C22, C25, C51, G14.
We propose a new framework for modelling the time dependence in duration processes being in force on financial markets. The pioneering ACD model introduced by Engle and Russell (1998) will be extended in a manner that the duration process will be accompanied by an unobservable stochastic process. The Discrete Mixture ACD framework provides us with a general methodology which puts the idea into practice. It is established by introducing a discrete-valued latent regime variable which can be justified in the light of recent market microstructure theories. The empirical application demonstrates its ability to capture specific characteristics of intraday transaction durations while alternative approaches fail. JEL classification: C41, C22, C25, C51, G14.
In recent methodological work the well known ACD approach, originally introduced by Engle and Russell (1998), has been supplemented by the involvement of an unobservable stochastic process which accompanies the underlying process of durations via a discrete mixture of distributions. The Mixture ACD model, emanating from the specialized proposal of De Luca and Gallo (2004), has proved to be a moderate tool for description of financial duration data. The use of one and the same family of ordinary distributions has been common practice until now. Our contribution incites to use the rich parameterized comprehensive family of distributions which allows for interacting different distributional idiosyncrasies. JEL classification: C41, C22, C25, C51, G14
We propose a new framework for modeling time dependence in duration processes. The ACD approach introduced by Engle and Russell (1998) will be extended so that the conditional expectation of the durations depends on an unobservable stochastic process which is modeled via a Markov chain. The Markov switching ACD model (MSACD) is a flexible tool for description of financial duration processes. The introduction of a latent information regime variable can be justified in the light of recent market microstructure theories. In an empirical application we show that the MSACD approach is able to capture specific characteristics of inter trade durations while alternative ACD models fail. JEL classification: C41, C22, C25, C51, G14
Internationale Verkehrsflughäfen sind Einrichtungen, die eine zentrale ökonomische Bedeutung für das regionale Umfeld haben. Zusätzlich zu ihrer eigentlichen Funktion als Anbieter von Flugverkehrsleistungen werden Güter und Dienstleistungen angeboten, die in unterschiedlich starkem Ausmaß an die Verkehrsfunktion gekoppelt sind. Neben der Flughafengesellschaft und den Flugverkehrsgesellschaften tragen beispielsweise gastronomische Einrichtungen, Groß- und Einzelhändler, Luftfrachtspeditionen, Expressdienste, Reiseveranstalter, Flugsicherung, Zoll, Catering-Unternehmen zu den ökonomischen Aktivitäten des Flughafens bei. Die Palette der verkehrsbezogenen Aktivitäten am Flughafen reicht von der Betreuung der Passagiere über Reparatur- und Wartungsarbeiten für die Fluggesellschaften bis hin zur Abwicklung des Frachtverkehrs. ...
We develop an interregional version of the standard textbook input-output model, that is extended with respect to the inclusion of the consumption expenditures and income generation process into the endogenous part of the input-output table. We also introduce a new method for deriving a two-region version of an interregional input-output table from original input-output tables for an overall economy and one of its regions. In an empirical assessment of the economic effects of the Frankfurt Airport, the interregional model is successfully employed. It is shown, that the model is capable of reducing the degree of overestimation of economic effects that results from inappropriate use of national input-output tables in the assessment of regional impact effects.
Die soziale Dimension des europäischen Einigungsprozesses steht derzeit, nicht zuletzt wegen der geplanten Währungsunion im Rahmen der Europäischen Union, im Brennpunkt einer kontroversen Diskussion.Im Rahmen dieses Beitrags sollen Probleme der sozialen Sicherungsysteme erörtert werden, die sich explizit aus dem Verlauf des Integrationsprozesses ergeben könnten. Es wird zunächst ein knapper Überblick über die seit Gründung der Europäischen Gemeinschaften erfolgten Maßnahmen im Bereich der Sozialpolitik gegeben. Daran schließt sich eine Typologisierung der sozialen Sicherungssysteme in den Mitgliedstaaten an und eine zusammenfassende Darstellung der beiden grundlegenden ordnungspolitischen Konzeptionen für den europäischen Integrationsprozeß, des Wettbewerbskonzeptes einerseits und des Harmonisierungskonzeptes andereseits, an. Während das Wettbewerbskonzept von vielen, meist eher neoliberal orientierten Ökonomen als das prinzipiell überlegenere ordnungspolitische Paradigma angesehen wird, mehren sich die kritischen Stimmen, die das Wettbewerbskonzept zwar nicht unbedingt prinzipiell ablehnen, jedoch auf Schwächen einer zu starr an der neoliberalen Interpretation des Wettbewerbskonzeptes orientierten Umsetzung hinweisen. Im Bereich der Sozialpolitik wird vor allem von Seiten der Gewerkschaften vor einem „Sozialdumping“ gewarnt. Eine weitere Ineffizienz des Wettbewerbskonzeptes, wird in der Möglichkeit eines sog. „race to the bottom“ gesehen, dem bei einer Anwendung des Subsidiaritätsprinzips drohenden, ruinösen Wettbewerb der europäischen Sozialstaaten. Die theoretische und empirische Relevanz der Thesen vom „Sozialdumping“ und des „race to the bottom“ wird diskutiert. Abschließend wird ein Ausblick auf die künftige Entwicklung gewagt und es werden Lösungskonzepte für die befürchteten Fehlentwicklungen erörtert.
Models with multiple equilibria are a popular way to explain currency attacks. Morris and Shin (1998) have shown that, in the context of those models, unique equilibria may prevail once noisy private information is introduced. In this paper, we generalize the results of Morris and Shin to a broader class of probability distributions and show - using the technique of iterated elimination of dominated strategies - that uniqueness will hold, even if we allow for sunspots and individual uncertainty about strategic behavior of other agents. We provide a clear exposition of the logic of this model and we analyse the impact of transparency on the probability of a speculative attack. For the case of uniform distribution of noisy signals, we show that increased transparency of government policy reduces the likelihood of attacks. JEL Classification F 31, D 82
During the last decade, there has been a significant bias towards bond financing on emerging markets, with private investors relying on a bail-out of bonds by the international community. The bias has been a main cause for recent excessive fragility of international capital markets. The paper shows how collective action clauses in bonds contracts help to involve the private sector in risk sharing. It argues that such clauses, as a market based instrument, will raise spreads for emerging market debt and so help to correct a market failure towards excessive bond finance. Recent pressure by the IMF to involve the private sector is facing a conflict between the principle to honour existing contracts and the principle of equal treatment of bondholders.
The paper analyzes the incentive for the ECB to establish reputation by pursuing a restrictive policy right at the start of its operation. The bank is modelled as risk averse with respect to deviations of both inflation and output from her target. The public, being imperfectly informed about the bank’s preferences uses observed inflation as (imperfect) signal for the unknown preferences. Under linear learning rules - which are commonly used in the literature - a gradual build up of reputation is the optimal response. The paper shows that such a linear learning rule is not consistent with efficient signaling. It is shown that in a game with efficient signaling, a cold turkey approach - allowing for deflation - is optimal for a strong bank - accepting high current output losses at the beginning in order to demonstrate its toughness. JEL classification: D 82, E 58
During the last years the relationship between financial development and economic growth has received widespread attention in the literature on growth and development. This paper summarises in its first part the results of this research, stressing the growth-enhancing effects of an increased interpersonal re-allocation of resources promoted by financial development. The second part of the paper seeks to identify the determinants of financial development based on Diamond's theory of financial intermediation as delegated monitoring. The analysis shows that the quality of corporate governance of banks is the key factor in financial system development. Accordingly, financial sector reforms in developing countries will only succeed if they strengthen the corporate governance of financial institutions. In this area, financial institution building has an important contribution to make. Paper presented at the First Annual Seminar on New Development Finance held at the Goethe University of Frankfurt, September 22 - October 3, 1997
Der internen Unternehmensrechnung werden im allgemeinen zwei Funktionen zugeschrieben (Ewert/Wagenhofer (1997), S. 6): Sie soll einerseits Informationen für Planungszwecke bereitstellen, andererseits der Verhaltenssteuerung von Entscheidungsträgern in hierarchischen, dezentralen Organisationen dienen. In der jüngeren Vergangenheit ist die Verhaltenssteuerungsfunktion zunehmend in das Blickfeld theoretischer und praktischer Überlegungen gerückt. Gleichzeitig läßt sich eine verstärkte Marktwertorientierung deutscher Unternehmen in der Unternehmenspolitik wie auch in der internen Unternehmensrechnung beobachten. Die betriebswirtschaftliche Literatur hat darauf mit einer wachsenden Zahl von Beiträgen reagiert, die die Marktwertorientierung der internen Unternehmensrechnung vor dem Hintergrund ihrer Verhaltenssteuerungsfunktion diskutieren.1) Das Interesse dieses Beitrags gilt der Rolle der Periodenerfolgsrechnung als Teil der internen Unternehmensrechnung bei der marktwertorientierten Steuerung von Investitionsentscheidungen über Periodenerfolgsbeteiligungen. Zentrale Bedeutung kommt hierbei dem Residualgewinnkonzept aufgrund seiner Kompatibilität mit dem Marktwertkriterium (vgl. Abschnitt 5.1) zu. Dieses Konzept hat in der Praxis unter dem Namen Economic Value Added zunehmend an Popularität - insbesondere auch als Grundlage für Erfolgsbeteiligungen (vgl. z.B. Stewart (1991), Ehrbar (1998), O'Hanlon/Peasnell (1998) ) - gewonnen. Gezeigt werden soll, welche Vorteile die Periodisierung von Cash Flows im Rahmen einer Periodenerfolgsrechnung auf der Basis des Residualgewinnkonzepts gegenüber einer unbelassenen Cash Flow-Rechnung bei der Steuerung von Investitionsentscheidungen über finanzielle Anreizsysteme bietet. Betrachtet wird eine einfache bilaterale Principal-Agent-Beziehung: Eine delegierende Instanz (Prinzipal) beauftragt einen Entscheidungsträger (Agenten) mit Investitionsentscheidungen und versucht, dessen Investitionsverhalten über eine „Erfolgsbeteiligung“ in ihrem Sinne auf das Ziel der Maximierung des Barwertes aller Cash Flows gerichtet zu beeinflussen. Die Rolle des internen Rechnungswesens ist dabei auf die Bereitstellung der Bemessungsgrundlage für die Erfolgsbeteiligung beschränkt. Es wird gezeigt, daß die Periodisierung von Cash Flows und die Zugrundelegung periodisierter Größen bei der Investitionssteuerung zu besseren Lösungen des Steuerungsproblems des Prinzipals führt als eine reine Cash Flow- Beteiligung. ...
Seit zwanzig Jahren befaßt sich die Finanzmarktforschung einerseits mit Fragen der Bewertung und des Managements von Finanztiteln auf effizienten Kapitalmärkten und mit Fragen der Managementkontrolle auf unvollkommenen Märkten. Der folgende selektive Überblick konzentriert sich auf zentrale Aspekte der Theorie und Empirie der Managementkontrolle bei asymmetrischer Information. Ziel ist die Auseinandersetzung mit der unlängst vorgetragenen These zu den Mythen der Unternehmenskontrolle (Martin Hellwig 1997). Der aktuelle Überblick wird entwickelt vor dem Hintergrund der Gutenberg’schen Position eines eigenständigen Unternehmensinteresses, losgelöst von den Interessen der shareholder oder anderer stakeholder. Diese Position von Gutenberg verbindet sich im dritten Band der „Grundlagen der BWL: Die Finanzen“ von 1969 mit der Forderung nach Einhaltung eines sog. finanziellen Gleichgewichts. Erst in jüngster Zeit werden auch kapitalmarkttheoretisch fundierte Modelle entwickelt, die auch Raum bieten für eine Autonomie des Managements gegenüber dessen stakeholders.
Wir verwenden eine neue, auf der Burr-Verteilung basierende Spezifikation aus der Familie der Autoregressive Conditional Duration (ACD) Modelle zur ökonometrischen Analyse der Transaktionsintensitäten während der Börseneinführung (IPO) der Deutsche Telekom Aktie. In diesem Fallbeispiel wird die Leistungsfähigkeit des neu entwickelten Burr-ACD-Modells mit den Standardmodellen von Engle und Russell verglichen, die im Burr-ACD Modell als Spezialfälle enthalten sind. Wir diskutieren außerdem alternative Möglichkeiten, Intra- Tagessaisonalitäten der Handelsintensität in ACD Modellen zu berücksichtigen.
The focus of this article is the analysis of the inflation risk of European real estate securities. Following both a causal and a final understanding of risk, the analysis is twofold. First, to examine the causal influence of inflation on short- and long-term asset returns, different regression approaches are employed based on the methodology of Fama and Schwert (1977). Hedging capacities against expected inflation are found only for German open-end funds. Secondly, different shortfall risk measures are used to study whether an investment in European real estate securities protects against a negative real return at the end of a given investment period.
Joseph E. Stiglitz (1943 - )
(2000)
Am 24.11.1999 gibt Joseph E. Stiglitz seinen vorzeitigen Rücktritt als Chief Economist und Senior Vice President der Weltbank zum Jahresende bekannt. Er will sich wieder ausschließlich der Forschung und Lehre widmen und kehrt auf seinen Lehrstuhl am Economics Department der Stanford University zurück. Stiglitzs Rückzug aus der aktiven Entwicklungspolitik erfolgt nicht ganz freiwillig. Er selbst kommentiert seinen Entschluß: „It has become obvious to me that it would be difficult to continue to speak out as forcefully and publicly as I have on a variety of issues and still remain as chief economist. Rather than muzzle myself, or be muzzled, I decided to leave.“ (New York Times, 1.12.1999). Seit geraumer Zeit galt seine öffentliche Kritik am Washington Consensus, dem ökonomischen Glaubensbekenntnis, auf das sich die politische Linie des US Treasury genauso stützt wie die Stabilisierungs- und Reformpolitik des IWF, als Dorn im Auge der Vertreter dieser Institutionen. Für sie war Stiglitz - so die Metapher der Financial Times vom 26.11.99 - „a veritable gadfly“, eine wahre Viehbremse, deren lästiges Summen aufgrund von Position und Intellekt nicht einfach ignoriert werden konnte. ...
Entwicklungsfinanzierung
(2000)
The extension of long-term loans, e.g. to finance housing, is adversely affected by inflation. For one thing, the higher nominal interest rates charged by the banks in response to inflation mean that borrowers have to make (nominally) higher interest payments, which unnecessarily reduces their borrowing capacity. For another, long-term loans with variable interest rates increase the probability that borrowers will become unable to meet their payment obligations. The present paper examines these two assertions in detail. At the same time, it presents a concept for substantially reducing the weaknesses of conventional lending methodologies. We start by investigating the consequences of a stable inflation rate on the borrowing capacity of credit clients, then go on to analyze the impact of fluctuating inflation rates on the risk of default.
Competition for order flow can be characterized as a coordination game with multiple equilibria. Analyzing competition between dealer markets and a crossing network, we show that the crossing network is more stable for lower traders’ disutilities from unexecuted orders. By introducing private information, we prove existence of a unique equilibrium with market consolidation. Assets with low volatility and large volumes are traded on crossing networks, others on dealer markets. Efficiency requires more assets to be traded on crossing networks. If traders’ disutilities differ sufficiently, a unique equilibrium with market fragmentation exists. Low disutility traders use the crossing network while high disutility traders use the dealer market. The crossing network’s market share is inefficiently small.
In this paper, we estimate the demand for homeowner insurance in Florida. Since we are interested in a number of factors influencing demand, we approach the problem from two directions. We first estimate two hedonic equations representing the premium per contract and the price mark-up. We analyze how the contracts are bundled and how contract provisions, insurer characteristics and insured risk characteristics and demographics influence the premium per contract and the price mark-up. Second, we estimate the demand for homeowners insurance using two-stage least squares regression. We employ ISO's indicated loss costs as our proxy for real insurance services demanded. We assume that the demand for coverage is essentially a joint demand and thus we can estimate the demand for catastrophe coverage separately from the demand for noncatastrophe coverage. We determine that price elasticities are less elastic for catastrophic coverage than for non-catastrophic coverage. Further estimated income elasticities suggest that homeowners insurance is an inferior good. Finally, we conclude based on the results of a selection model that our sample of ISO reporting companies well represents the demand for insurance in the Florida market as a whole.
At present, the question of how national pension or retirement payment systems should be organised is being hotly debated in various countries, and opinions vary widely as to what should be regarded as the optimal design for such systems. It appears to the authors of the present paper that in this entire discussion one aspect is largely overlooked: What relationships exist between the pension system and the financial system in a given country? As such relationships might prove to be important, the present paper investigates the following questions: (1) Are there differences between the national pension systems of three major European countries – Germany, France and the U.K. – and between the financial systems of these countries? (2) And if the existence of such differences can be demonstrated, is there a correspondence between the differences with respect to the various national pension systems and the differences as regards the countries’ financial systems? (3) And if such a correspondence exists, is there any kind of interrelationship between the national financial and pension systems of the individual countries which goes beyond a mere correspondence? Looking mainly at two aspects – namely, risk allocation and the incentives to create human capital – the authors of this paper argue (1) that there are indeed considerable differences between the financial and pension systems of the three countries; (2) that in both Germany and the U.K. there are also systematic correspondences between the respective pension systems and financial systems and their economic characteristics, but that such a correspondence cannot be identified in the case of France; and (3) that these parallels are, in the final analysis, based on complementarities and are therefore likely to contribute to the efficiency of the German and the British systems. The paper concludes with a brief look at policy implications which the existence of, or the lack of, consistency between national pension systems and national financial systems might have.
Although the world of banking and finance is becoming more integrated every day, in most aspects the world of financial regulation continues to be narrowly defined by national boundaries. The main players here are still national governments and governmental agencies. And until recently, they tended to follow a policy of shielding their activities from scrutiny by their peers and members of the academic community rather than inviting critical assessments and an exchange of ideas. The turbulence in international financial markets in the 1980s, and its impact on U.S. banks, gave rise to the notion that academics working in the field of banking and financial regulation might be in a position to make a contribution to the improvement of regulation in the United States, and thus ultimately to the stability of the entire financial sector. This provided the impetus for the creation of the “U.S. Shadow Financial Regulatory Committee”. In the meantime, similar shadow committees have been founded in Europe and Japan. The specific problems associated with financial regulation in Europe, as well as the specific features which distinguish the European Shadow Financial Regulatory Committee from its counterparts in the U.S. and Japan, derive from the fact that while Europe has already made substantial progress towards economic and political integration, it is still primarily a collection of distinct nation-states with differing institutional set-ups and political and economic traditions. Therefore, any attempt to work towards a European approach to financial regulation must include an effort to promote the development of a European culture of co-operation in this area, and this is precisely what the European Shadow Financial Regulatory Committee (ESFRC) seeks to do. In this paper, Harald Benink, chairman of the ESFRC, and Reinhard H. Schmidt, one of the two German members, discuss the origin, the objectives and the functioning of the committee and the thrust of its recommendations.
Auch sechs Jahre nach Einführung der Vorschriften zur Ad-hoc-Publizität nach § 15 WpHG besteht bei den Unternehmen weiterhin große Unsicherheit bezüglich ihrer ordnungsmäßigen Umsetzung. Dies gilt insbesondere für die Behandlung von ad-hoc-meldepflichtigen Sachverhalten, die sich aus der Regelberichterstattung ergeben. Der vorliegende Beitrag entwickelt hierzu Lösungsansätze im Sinne einer kapitalmarktorientierten Unternehmenspublizität.
Vorgestellt wird eine empirische Studie, welche den Zusammenhang zwischen Rendite und Risiko für ein Sample deutscher Versicherungsaktien im Zeitraum 1975-1998 untersucht. Als Methode wurde ein Multifaktorenmodell mit makroökonomischen Faktoren verwendet. Je nach Untersuchungszeitraum beläuft sich der Anteil der erklärten Varianz auf 9,29% bis 13,62%. Es konnte eine signifikanter negativer Einfluß zwischen der Veränderung des allgemeinen Zinsniveaus und den Risikoprämien von Versicherungsaktien identifiziert werden. Weiterhin ist Wechselkurses der DM zum US-Dollar signifikant.
Im Mittelpunkt dieses Beitrag stehen Verweildauermodelle und deren Verwendung als Analyseinstrumente für die Bewertung und Berechnung von Kreditausfallrisiken. Verschiedene Möglichkeiten zur Berechnung der Dauer des Nichtausfalls eines Kredites werden dabei vorgestellt. Die hier vorgestellten Verfahren werden auf einen aus Kreditakten von sechs deutschen Universalbanken zusammengestellten Datensatz angewendet. Beispiele und Interpretationshilfen zu den jeweils vorgestellten Methoden erleichtern den Zugang zu diesen Modellen. Es werden zahlreiche Hinweise auf weiterführende Literatur gegeben.
In den 1980er und den frühen 1990er Jahren waren japanische Banken die weltweit größten Finanzinstitute und galten als Inbegriff „globaler“ Banken. Der Crash der japanischen Wertpapier- und Immobilienmärkte Anfang der 1990er Jahre und die nachfolgende Rezession waren Anlass zu tiefgreifenden Reformen im japanischen Finanzsystem. Die japanischen Banken waren gezwungen, ihre internationalen Strategien zu reformulieren. Als Konsequenz zogen sie sich aus vielen Märkten zurück und strukturierten ihre internationalen Netzwerke um. Vor dem Hintergrund theoretischer Überlegungen zu der Bedeutung von „Globalität“ und einer empirischen Untersuchung der Entwicklung der Auslandsstellennetze japanischer Banken in den 1980er und 1990er Jahren stellt der vorliegende Beitrag die Globalität japanischer Banken in Frage.
Structural positions are very common in investment practice. A structural position is defined as a permanent overweighting of a riskier asset class relative to a prespecified benchmark portfolio. The most prominent example for a structural position is the equity bias in a balanced fund that arises by consistently overweighting equities in tactical asset allocation. Another example is the permanent allocation of credit in a fixed income portfolio with a government benchmark. The analysis provided in this article shows that whenever possible, structural positions should be avoided. Graphical illustrations based on Pythagorean theorem are used to make a connection between the active risk/return and the total risk/return framework. Structural positions alter the risk profile of the portfolio substantially, and the appeal of active management – to provide active returns uncorrelated to benchmark returns and hence to shift the efficient frontier outwards – gets lost. The article demonstrates that the commonly used alpha – tracking error criterion is not sufficient for active management. In addition, structural positions complicate measuring managers’ skill. The paper also develops normative implications for active portfolio management. Tactical asset allocation should be based on the comparison of expected excess returns of an asset class to the equilibrium risk premium of the same asset class and not to expected excess returns of other asset classes. For the cases, where structural positions cannot be avoided, a risk budgeting approach is introduced and applied to determine the optimal position size. Finally, investors are advised not to base performance evaluation only on simple manager rankings because this encourages managers to take structural positions and does not reward efforts to produce alpha. The same holds true for comparing managers’ information ratios. Information ratios, in investment practice defined as the ratio of active return to active risk, do not uncover structural positions.
In this paper we have developed a financial model of the non-life insurer to provide assistance for the management of the insurance company in making decisions on product, investment and reinsurance mix. The model is based on portfolio theory and recognizes the stochastic nature of and the interaction between the underwriting and investment income of the insurance business. In the context of an empirical application we illustrate howa portfolio optimisation approach can be used for asset-liability management.
Our study provides evidence on the share price reactions to the announcement of equity issues in Germany, where capital market is characterized by institutional features distinct from the U.S. market. German seasoned equity issues yield a positive market reaction which contrasts to the significant negative abnormal returns reported for the U.S. We provide evidence that these results are due to differences in both issuing characteristics and floatation methods, and in the corporate governance and ownership structures of the two countries. Our study explains much of the empirical puzzle of different market reactions to seemingly similar events across financial markets.
Real options theory applies techniques known from finance theory to the valuation of capital investments. The present paper investigates further into this analogy, considering the case of a portfolio of real options. An implementation of real option models in practice will mostly be concerned with a portfolio of real options, so the analysis of portfolio aspects is of both academic and practical interest. Is a portfolio of real options special? In order to shed some light on this question, the present paper will outline the relevant features of a portfolio of real options. It will show that the analogy to financial options remains great if compound option models are applied. As a result, a portfolio of real options, and therefore the firm as such, generally is to be understood as one single compound, real option.
Ja, der Ablauf der Lock-up-Frist ist ein kursrelevantes Ereignis. Wir untersuchen Kursreaktionen auf das Ende der Lock-up-Frist bei 142 Unternehmen des Neuen Marktes. Da der Ablauf der Sperrfrist bereits zum Zeitpunkt des Börsengangs bekannt ist, erwarten wir bei einem (semi-)informationseffizienten Kapitalmarkt durchschnittlich keine Kursreaktion. Im Rahmen einer Ereignisstudie zeigen wir aber, dass sich am Ende der Sperrfrist signifikant negative Überrenditen ergeben. Durch eine differenzierte Analyse stellen wir fest, dass firmenspezifische Faktoren (Volatilität, Performance, Free Float) die Kursreaktionen am Ende der Lock-up-Periode beeinflussen. Die Befunde unserer Untersuchung belegen die Notwendigkeit klarer Regeln für mehr Transparenz nach dem Börsengang. Bedeutsam sind die vorliegenden Ergebnisse vor allem vor dem Hintergrund der aktuellen Diskussion um eine Erweiterung der insiderrechtlichen Meldepflichen im Rahmen des 4. Finanzmarktförderungsgesetzes. This paper explores the materiality of expirations of lock-up provisions that prevent insiders from selling their shares after the initial public offering (IPO). We examine 172 lock-up agreements of 142 IPOs floated on Germany’s New Market. Since the date of the lock-up expiration is common knowledge at the IPO, we would not expect to find abnormal returns surrounding the event day, assuming that markets are informationally efficient. However, using an event-study methodology we detect statistically significant negative abnormal returns and a twenty-five percent increase in trading volume surrounding lock-up expiration. The negative abnormal returns are larger for firms with high volatility, superior performance after the IPO, and low free float. The results of our study raise important regulatory issues with respect to disclosure rules of firms going public. We argue that insiders should be legally required to disclose their sell transactions in order to protect new and less informed shareholders.
We present an empirical study focusing on the estimation of a fundamental multi-factor model for a universe of European stocks. Following the approach of the BARRA model, we have adopted a cross-sectional methodology. The proportion of explained variance ranges from 7.3% to 66.3% in the weekly regressions with a mean of 32.9%. For the individual factors we give the percentage of the weeks when they yielded statistically significant influence on stock returns. The best explanatory power – apart from the dominant country factors – was found among the statistical constructs „success“ and „variability in markets“.
Versicherungsunternehmen haben bei der Auswahl ihrer Vermögensanlagen die gesetzlichen Restriktionen des Versicherungsaufsichtsgesetzes einzuhalten. Neben einer strukturierten Darstellung der zahlreichen Regulierungstatbestände werden aus Sicht der Finanzierungstheorie sowie den empirischen Verhältnissen an den Kapitalmärkten die im VAG enthaltenen Rahmenbedingungen einer kritischen Bewertung unterzogen.
To resolve the IPO underpricing puzzle it is essential to analyze who knows what when during the issuing process. In Germany, broker-dealers make a market in IPOs during the subscription period. We examine these pre-issue prices and find that they are highly informative. They are closer to the first price subsequently established on the exchange than both the midpoint of the bookbuilding range and the offer price. The pre-issue prices explain a large part of the underpricing left unexplained by other variables. The results imply that information asymmetries are much lower than the observed variance of underpricing suggests.
Who knows what when? : The information content of pre-IPO market prices : [Version March/June 2002]
(2002)
To resolve the IPO underpricing puzzle it is essential to analyze who knows what when during the issuing process. In Germany, broker-dealers make a market in IPOs during the subscription period. We examine these pre-issue prices and find that they are highly informative. They are closer to the first price subsequently established on the exchange than both the midpoint of the bookbuilding range and the offer price. The pre-issue prices explain a large part of the underpricing left unexplained by other variables. The results imply that information asymmetries are much lower than the observed variance of underpricing suggests.
We propose a new framework for modelling time dependence in duration processes on financial markets. The well known autoregressive conditional duration (ACD) approach introduced by Engle and Russell (1998) will be extended in a way that allows the conditional expectation of the duration process to depend on an unobservable stochastic process, which is modelled via a Markov chain. The Markov switching ACD model (MSACD) is a very flexible tool for description and forecasting of financial duration processes. In addition the introduction of an unobservable, discrete valued regime variable can be justified in the light of recent market microstructure theories. In an empirical application we show, that the MSACD approach is able to capture several specific characteristics of inter trade durations while alternative ACD models fail. Furthermore, we use the MSACD to test implications of a sequential trade model.
Banking and markets
(2001)
This paper integrates a number of recent themes in the literature in banking and asset markets–optimal risk sharing, limited market participation, asset-price volatility, market liquidity, and financial crises–in a general-equilibrium theory of the financial system. A complex financial system comprises both financial markets financial institutions. Financial institutions can take the form of intermediaries or banks. Banks, inlike intermediaries, are subject to runs, but crises do not imply market failure. We show that a sophisticated financiel system–a system with complete markets for aggregate risk and limited market participation–is incentive-efficient, if the institutions take the form of intermediaries, or else constrained-efficient, of they take the form of banks. We also consider an economy in which the markets for aggregate risks are incomplete. In this context, there is a rolefpr prudential regulation: regulating liquidity can improve welfare.
Executive Stock Option Programs (SOPs) have become the dominant compensation instrument for top-management in recent years. The incentive effects of an SOP both with respect to corporate investment and financing decisions critically depend on the design of the SOP. A specific problem in designing SOPs concerns dividend protection. Usually, SOPs are not dividend protected, i.e. any dividend payout decreases the value of a manager’s options. Empirical evidence shows that this results in a significant decrease in the level of corporate dividends and, at the same time, into an increase in share repurchases. Yet, few suggestions have been made on how to account for dividends in SOPs. This paper applies arguments from principal-agent-theory and from the theory of finance to analyze different forms of dividend protection, and to address the relevance of dividend protection in SOPs. Finally, the paper relates the theoretical analysis to empirical work on the link between share repurchases and SOPs.
Untersuchungsgegenstand ist der empirische Gehalt der ökonomischen Theorie eines Hedgings auf Unternehmensebene. In den USA wurde die Hedging-Theorie in einer Reihe von empirischen Studien aufgegriffen. Die Befunde sind zumeist konsistent mit dem Erklärungsansatz von Froot/Scharfstein/Stein (1993), wonach eine Verringerung der Cashflow-Volatilität – unter der Annahme steigender Außenfinanzierungskosten – zu einer Reduzierung von Unterinvestitionskosten führt. Bei deutschen Unternehmen besitzt dieser Ansatz bemerkenswerterweise jedoch nur einen geringen Erklärungsgehalt. Die Ergebnisunterschiede können auf unterschiedliche Kapitalmarktverhältnisse zurückgeführt werden: Die unterstellten steigenden Kosten der Außenfinanzierung besitzen für deutsche Unternehmen aufgrund der Dominanz des Bezugsrechtsverfahrens sowie der Rolle der Hausbank als Mechanismus zur Überwindung von Informationsproblemen eine vergleichsweise geringere Bedeutung. Die Managerinteressen erweisen sich bei deutschen Unternehmen als eine wesentliche Hedging-Determinante. Zwischen der Höhe des gebundenen Managervermögens und der Hedging-Wahrscheinlichkeit besteht entsprechend der Hedging-Theorie ein signifikanter positiver Zusammenhang. Entgegen den amerikanischen Befunden kann jedoch eine disziplinierende Wirkung von Großaktionären auf die Hedging-Entscheidung nicht beobachtet werden. Zur Berücksichtigung der spezifischen deutschen Kapitalmarktverhältnisse wird der Einfluss von Bankenbeteiligungen und Familienunternehmen auf die Hedging-Entscheidung untersucht. Ein Bankeneinfluss auf die Derivateeinsatz-Entscheidung kann jedoch nicht festgestellt werden. Entgegen Diversifikations- und Kapitalmarktüberlegungen besteht bei Familienunternehmen interessanterweise eine signifikant geringere Hedging-Wahrscheinlichkeit.