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- Wirtschaftswissenschaften (51) (remove)
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
This paper uses the co-incidence of extreme shocks to banks’ risk to examine within country and across country contagion among large EU banks. Banks’ risk is measured by the first difference of weekly distances to default and abnormal returns. Using Monte Carlo simulations, the paper examines whether the observed frequency of large shocks experienced by two or more banks simultaneously is consistent with the assumption of a multivariate normal or a student t distribution. Further, the paper proposes a simple metric, which is used to identify contagion from one bank to another and identify “systemically important” banks in the EU.
Ist Quantität in der Historiographie ein Argument? Oder ist die Menge von Nachweisen, zumal in Zeitaltern, für diemit zahlreichen Überlieferungszufällen zu rechnen ist, gerade ein oberflächlich verführerisches und trügerisches Argument? Beide Fragen brennen Mediävisten schon seit langem unter den Nägeln, wenngleich sie sich nicht nur bei Epochen mit raren materiellen Überresten stellen sollten. Wie viele Belege brauchen wir für die Richtigkeit einer historischen These? Wie sollen wir wissen, welches Gewicht eine singuläre Quelle hat? Wenn diese Fragen zugleich implizieren, dass man sich über Statistiken hinwegsetzen könnte, dann werden sie zu gefährlichen Fragen. Deren Virulenz wird in der Mediävistik und anderswo für gewöhnlich durch das Anlegen fachspezifischer Korsette und das Eintrainieren professioneller Betäubungstechniken bereits in der Sozialisationsphase effizient eingedämmt: Beliebt dafür sind das Erlernen eines strengen Puzzlespiels in der Quellenexegese, ritualisierte Logik, rhetorische Nonchalance und – besonders verhängnisvoll in Bereichen der Wirtschaftsgeschichte – der Hinweis auf die Existenz ökonomisch-theoretisch unbezweifelbarer Zusammenhänge, die auf die Aufdeckung durch besonders talentierte Spürnasen nur zu warten scheinen. ...
This paper analyses the long-term effects of improved small-scale lending, often provided by microfinance institutions set up with the support of development aid. The analysis shows that some common assumptions about microfinance are not true at all: First, it shows that the impact on income will accrue not to the microenterprises themselves, but rather to the consumers of their products. Second, microfinance will have a significant positive effect on the wage levels of employees in the informal sector. Third, microfinance will cause high growth rates in the informal production sector, whereas the trade sector will either contract or at best grow very little.
The theoretical derivation of credit market segmentation as the result of a free market process
(2003)
Information asymmetries make it difficult for banks to assess accurately whether specific entrepreneurs are able and/or willing to repay their loans. This leads to implicit interest rate ceilings, i.e. banks "refuse" to increase their interest rates beyond this ceiling as this would lower their net returns. Although the maximum interest rate increases as the size of enterprises decreases, such ceilings nonetheless constrain the banks’ ability to set interest rates at a level that would enable them to cover costs. If transaction costs are high, the total costs associated with granting small and medium-sized loans will exceed the maximum average return which the banks can earn by issuing such loans. For this reason, banks do not lend to small and medium-sized enterprises, and, as a consequence, these businesses have no access to formal sector loans. Because micro and small enterprises have a very high RoI, it is worthwhile for them to rely on expensive informal loans to finance their operations, at least until they reach a certain size. Once they have reached this size, however, it does not make economic sense for them to continue taking out informal credits, and thus they face a growth constraint imposed by the credit market. Medium-sized enterprises earn a lower RoI than small ones, which is why borrowing in the informal credit market is not a worthwhile option for them. Moreover, they do not have access to credit from formal financial institutions, and are thus excluded from obtaining any kind of financing in either of the two credit markets. As the result of free, unregulated market forces we get a stable equilibrium in which the credit market is segmented into an informal (small loan) segment, a formal (large loan) segment and, in between, a "non-market" (medium loan) segment.
Despite the apparent stability of the wage bargaining institutions in West Germany, aggregate union membership has been declining dramatically since the early 90's. However, aggregate gross membership numbers do not distinguish by employment status and it is impossible to disaggregate these sufficiently. This paper uses four waves of the German Socioeconomic Panel in 1985, 1989, 1993, and 1998 to perform a panel analysis of net union membership among employees. We estimate a correlated random effects probit model suggested in Chamberlain (1984) to take proper account of individual specfic effects. Our results suggest that at the individual level the propensity to be a union member has not changed considerably over time. Thus, the aggregate decline in membership is due to composition effects. We also use the estimates to predict net union density at the industry level based on the IAB employment subsample for the time period 1985 to 1997. JEL - Klassifikation: J5
This paper investigates various theories explaining banks´ overbidding in the fixed rate tenders of the European Central Bank (ECB). Using auction data from both the Bundesbank and the ECB, we show that none of the theories can on its own explain the observed overbidding. This implies that the proposed new rules by the ECB, aimed at neutralizing interest rate expectations, would not eliminate overbidding if the rationing rule in the fixed rate tenders remains unchanged. JEL - Klassifikation: D44 , E32
A distinguishing feature of the ECB’s monetary policy setup is the preannouncement of a minimum bid rate in its weekly repo auctions. However, whenever interest rates are expected to decline, the minimum bid rate is viewed as too high and banks refrain from bidding, severely impeding the ECB’s money market management. To shed more light on banks’ underbidding, we perform a panel analysis of the bidder behavior in the repo auctions of the Bundesbank where no minimum bid rate was set. Our results indicate that neither bank’s participation nor the submitted bid amount is significantly affected by an expected rate cut. This suggests that abandoning the minimum bid rate might increase the efficiency of the ECB’s money market management.