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Die externe Performance-Messung beurteilt auf Basis öffentlich verfügbarer Daten die Leistung des Fondsmanagements. Es wird zunächst geprüft, inwieweit die für die Beurteilung von Aktienfonds entwickelten Maße auf Rentenfonds anwendbar sind. Anschließend wird die Performance einer Stichprobe deutscher Rentenfonds untersucht. Es zeigt sich, daß die risikoadjustierte Rendite in den meisten Fällen nicht über der eines geeigneten Marktindex liegt. Einige Fonds weisen ein signifikantes Aktien-Exposure auf. Ein systematischer Zusammenhang zwischen der Nettorendite und der Gebührenhöhe kann nicht nachgewiesen werden.
This paper provides a detailed empirical analysis of the call auction procedure on the German stock exchanges. The auction is conducted by the Makler whose position resembles that of a NYSE specialist. We use a dataset which contains information about all individual orders for a sample of stocks traded on the Frankfurt Stock Exchange (FSE). This sample allows us to calculate the cost of transacting in a call market and compare them to the costs of transacting in a continuous market. We find that transaction costs for small transactions in the call market are lower than the quoted spread in the order book of the continuous market whereas transaction costs for large transactions are higher than the spread in the continuous market.
We further address the question whether active participation of the Makler is advantageous. On the one hand he may accomodate order imbalances, increase the liquidity of the market and stabilize prices. On the other hand, the discretion in price setting gives him an incentive to manipulate prices. This may increase return volatility. Our dataset identifies the trades the Maklers make for their own accounts. We eliminate these trades and determine the price that would have obtained without their participation. Comparing this hypothetical price series to the actual transaction prices, we find that Makler participation tends to reduce return volatility. A further analysis shows that the actual prices are much closer to the surrounding prices of the continuous trading session than the hypothetical prices that would have obtained without Makler participation. These results indicate that the Maklers provide a valuable service to the market. We further calculate the profits associated with the positions taken by the Maklers and find that, on average, they do not earn profits on the positions they take. Their compensation is thus restricted to the commissions they receive.
Der Neue Markt soll wachstumsorientierten Unternehmen den Zugang zur Börse eröffnen. Die für dieses Marktsegment neu geschaffene Institution des Betreuers soll Vorbildcharakter für andere Marktsegmente haben. In der vorliegenden Arbeit werden Vor- und Nachteile des Betreuer-Konzeptes erarbeitet. Die daraus abgeleiteten Fragen werden empirisch untersucht. Dabei zeigt sich, daß der Neue Markt eine hohe Handelsintensität und niedrige Geld-BriefSpannen aufweist. Auch eine schriftliche Befragung der notierten Unternehmen ergab eine positive Einschätzung des neuen Marktsegments.
Überlegungen zur Profitabilität der Betreuer-Funktion deuten darauf hin, daß diese nicht an sich profitabel ist. Es findet offenbar eine Quersubventionierung aus Erträgen des Emissionsgeschäftes statt. Diese Abhängigkeit sollte berücksichtigt werden, wenn die Übertragung des Betreuerkonzepts auf andere Marktsegmente diskutiert wird.
Traditional tests of the CAPM following the Fama / MacBeth (1973) procedure are tests of the joint hypotheses that there is a relationship between beta and realized return and that the market risk premium is positive. The conditional test procedure developed by Pettengill / Sundaram / Mathur (1995) allows to independently test the hypothesis of a relation between beta and realized returns. Monte Carlo simulations show that the conditional test reliably identifies this relation. In an empirical examination for the German stock market we find a significant relation between beta and return. Previous studies failed to identify this relationship probably because the average market risk premium in the sample period was close to zero. Our results provide a justification for the use of betas estimated from historical return data by portfolio managers.
This paper reconsiders the effect of investor sentiment on stock prices. Using survey-based sentiment indicators from Germany and the US we confirm previous findings of predictability at intermediate time horizons. The main contribution of our paper is that we also analyze the immediate price reaction to the publication of sentiment indicators. We find that the sign of the immediate price reaction is the same as that of the predictability at intermediate time horizons. This is consistent with sentiment being related to mispricing but is inconsistent with the alternative explanation that sentiment indicators provide information about future expected returns. JEL Classification: G12, G14 Keywords: Investor Sentiment , Event Study , Return Predictability
Many equity markets combine continuous trading and call auctions. Oftentimes designated market makers (DMMs) supply additional liquidity. Whereas prior research has focused on their role in continuous trading, we provide a detailed analysis of their activity in call auctions. Using data from Germany’s Xetra system, we find that DMMs are most active when they can provide the greatest benefits to the market, i.e., in relatively illiquid stocks and at times of elevated volatility. Their trades stabilize prices and they trade profitably.
We study a set of German open-end mutual funds for a time period during which this industry emerged from its infancy. In those years, the distribution channel for mutual funds was dominated by the brick-and-mortar retail networks of the large universal banks. Using monthly observations from 12/1986 through 12/1998, we investigate if cross-sectional return differences across mutual funds affect their market shares. Although such a causal relation has been established in highly competitive markets, such as the United States, the rigid distribution system in place in Germany at the time may have caused retail performance and investment performance to uncouple. In fact, although we observe stark differences in investment performance across mutual funds (and over time), we find no evidence that cross-sectional performance differences affect the market shares of these funds. Klassifikation: G 23
Exchanges in Europe are in a process of consolidation. After the failure of the proposed merger between Deutsche Börse and Euronext, these two groups are likely to become the nuclei for further mergers and co-operation with currently independent exchanges. A decision for one of the groups entails a decision for the respective trading platform. Against that background we evaluate the attractiveness of the two dominant continental European trading systems. Though both are anonymous electronic limit order books, there are important differences in the trading protocols. We use a matched-sample approach to compare execution costs in Euronext Paris and Xetra. We find that both quoted and effective spreads are lower in Xetra. When decomposing the spread we find no systematic differences in the adverse selection component. Realized spreads, on the other hand, are significantly higher in Euronext. Neither differences in the number of liquidity provision agreements nor differences in the minimum tick size or in the degree of domestic competition for order flow explain the different spread levels. We thus conclude that Xetra is the more efficient trading system. JEL Classification: G10, G15
In this paper we consider the dynamics of spot and futures prices in the presence of arbitrage. We propose a partially linear error correction model where the adjustment coefficient is allowed to depend non-linearly on the lagged price difference. We estimate our model using data on the DAX index and the DAX futures contract. We find that the adjustment is indeed nonlinear. The linear alternative is rejected. The speed of price adjustment is increasing almost monotonically with the magnitude of the price difference.