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This study analyses the effects of public sector sponsored vocational training (PSVT) on individuals’ unemployment duration in West Germany for the period from 1985 to 1993. The data is taken from the German Socio-Economic Panel (GSOEP). To resolve the intriguing sample selection problem, i.e. to find an adequate control group for the group of trainees, we employ matching methods. These matching methods use the individual propensity to participate in training, which is obtained by estimating a panel probit model as the main matching variable. On the basis of the matched sample a discrete time hazard rate model is utilized to assess the effects of training participation on unemployment duration. Our results indicate that a significant positive effect on reemployment chances due to PSVT can only be expected for courses with a duration of no longer than six months. No significant positive effects on post-training reemployment chances where found for courses lasting longer than six months. In fact these PSVT courses are significantly less effective at increasing reemployment chances than those lasting no longer than three months. JEL classification: C40, J20, J64
This paper provides a review of empirical evidence relating to the impact of training on employment performance. Since a central issue in estimating training effects is the sample selection problem a short theoretical discussion of different evaluation strategies is given. The empirical overview primarily focuses on non-experimental evidence for Germany. In addition selected studies for other countries and experimental investigations are discussed.
In this study we are concerned with the impact of vocational training on the individual’s unemployment duration in West Germany. The data basis used is the German Socio-Economic Panel (GSOEP) for the period from 1984 to 1994. To resolve the intriguing sample selection problem, i.e. to find an adequate control group for the group of trainees, we employ matching methods which were developed in the statistical literature. These matching methods uses as the main matching variable the individual propensity score to participate in training, which is obtained by estimating a random effects probit model. On the basis of the matched sample a discrete time hazard rate model is utilized to assess the impact of vocational training on unemployment duration. Our results indicate, that training significantly raises the transition rate of unemployed into employment in the short but not in the long run. JEL classification: C40, J20, J64
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.
Since the beginning of the 1990s, it has been widely expected that the implementation of the European Single Market would lead to a rapid convergence of Europe’s financial systems. In the present paper we will show that at least in the period prior to the introduction of the common currency this expected convergence did not materialise. Our empirical studies on the significance of various institutions within the financial sectors, on the financing patterns of firms in various countries and on the predominant mechanisms of corporate governance, which are summarised and placed in a broader context in this paper, point to few, if any, signs of a convergence at a fundamental or structural level between the German, British and French financial systems. The German financial system continues to appear to be bank-dominated, while the British system still appears to be capital market-dominated. During the period covered by the research, i.e. 1980 – 1998, the French system underwent the most far-reaching changes, and today it is difficult to classify. In our opinion, these findings can be attributed to the effects of strong path dependencies, which are in turn an outgrowth of relationships of complementarity between the individual system components. Projecting what we have observed into the future, the results of our research indicate that one of two alternative paths of development is most likely to materialise: either the differences between the national financial systems will persist, or – possibly as a result of systemic crises – one financial system type will become the dominant model internationally. And if this second path emerges, the Anglo-American, capital market-dominated system could turn out to be the “winner”, because it is better able to withstand and weather crises, but not necessarily because it is more efficient.
In this paper we study the benefits derived from international diversification of stock portfolios from German and Hungarian point of view. In contrast to the German capital market, which is one of the largest in the world, the Hungarian Stock Exchange is an emerging market. The Hungarian stock market is highly volatile, high returns are often accompanied by extremely large risk. Therefore, there is a good potential for Hungarian investors to realize substantial benefits in terms of risk reduction by creating multi-currency portfolios. The paper gives evidence on the above me ntioned benefits for both countries by examining the performance of several ex ante portfolio strategies. In order to control the currency risk, different types of hedging approaches are implemented.
Wenn man untersuchen möchte, ob sich die Finanzsysteme verschiedener Länder im Verlauf der letzten Jahre aneinander angeglichen haben oder demnächst angleichen werden, braucht man ein Konzept zur Beschreibung von Finanzsystemen, durch das wesentliche Strukturen, deren Unterschiede und Veränderungen erkennbar werden, ohne dabei in "Systemgeschwafel" (D. Schneider) abzugleiten. Wir haben dafür das Konzept der Komplementarität als nützlich identifiziert. Der Beitrag stellt dieses Konzept vor und soll und seine Eignung belegen. Letztlich geht es dabei auch um die Frage, ob reale Finanzsysteme konsistente Systeme mit komplementären Elementen darstellen. Nach der Vorstellung der formalen Konzepte der Komplementarität und der Konsistenz wird "das Finanzsystem" auf seine Komple mentarität untersucht. Dazu wird ein Finanzsystem aus der Sicht von Unternehmen des nichtfinanziellen Sektors als ein System gekennzeichnet, das aus drei Teilsystemen besteht. Das erste Teilsystem ist das Finanzierungssystem einschließlich Finanzsektor und Mustern der Unternehmensfinanzierung, das zweite das Corporate Governance-System und das dritte das Unternehmens-Strategie-System. Für alle drei Teilsysteme wird – allgemein und mit Bezug auf die Finanzsysteme Deutschlands, Japans und der USA - gezeigt, inwieweit die Elemente der betreffenden Teilsysteme untereinander komplementär sind, und geprüft, ob sie in ihren Ausprägungen auch konsistent sind, d.h. wirklich "zueinander passen". Untersucht wird auch die Komplementarität und Konsistenz zwischen den Teilsystemen selbst. Der Beitrag endet mit Überlegungen über die Anwendung des Komplementaritätskonzepts. Dass ein Finanzsystem die Eigenschaft der Komplementarität aufweist, hat nicht nur weitreichende Implikationen für die Methodik der Analyse von Finanzsystemen, sondern auch für die Vorhersehbarkeit der Entwicklung von Finanzsystemen und damit für die Wahrscheinlichkeit einer Konvergenz von Finanzsystemen, für deren Effizienzeigenschaften und für die Möglichkeiten, Finanzsysteme durch gestaltende Eingriffe zu verbessern.
Financial development and financial institution building are important prerequisites for economic growth. However, both the potential and the problems of institution building are still vastly underestimated by those who design and fund institution building projects. The paper first underlines the importance of financial development for economic growth, then describes the main elements of “serious” institution building: the lending technology, the methodological approaches, and the question of internal structure and corporate governance. Finally, it discusses three problems which institution building efforts have to cope with: inappropriate expectations on the part of donor and partner institutions regarding the problems and effects of institution building efforts, the lack of awareness of the importance of governance and ownership issues, and financial regulation that is too restrictive for microfinance operations. All three problems together explain why there are so few successful micro and small business institutions operating worldwide.
In der heutigen Theorie der Optionsbewertung wird davon ausgegangen, daß die Markterwartungen genau berechenbar sind. Die Unsicherheit besteht lediglich darin, welcher Aktienkurs sich letztlich realisiert, die Eintrittswahrscheinlichkeiten sind bekannt. Dabei treten jedoch erhebliche Probleme auf, denn theoretisch erwartete Preise entsprechen oft nicht den am Markt beobachteten. Ziel dieser Arbeit ist es, zu untersuchen, ob auch dann eine Optionsbewertung möglich ist, wenn die Unsicherheit nicht nur auf die Stochastik reduziert wird, sondern wenn zusätzlich angenommen wird, daß Marktteilnehmer nur unscharfes Wissen über künftige Preisentwicklungen haben. Hierbei dient die Fuzzy Set Theorie zur Modellierung der nur größenordnungsmäßig bekannten künftigen Aktienkurse. Es wird in dieser Arbeit zwischen der Optionspreistheorie und der Fuzzy Set Theorie eine Verbindung geschaffen, die es zukünftig erlauben wird, die Unsicherheit im Markt besser zu modellieren, als dies mit heute dominierenden Methoden der Optionsbewertung möglich ist.
We analyze incentives for loan officers in a model with hidden action, limited liability and truth-telling constraints under the assumption that the principal has private information from an automatic scoring system. First we show that the truth-telling problem reduces the bank’s expected profit whenever the loan officer cannot only conceal bad types, but can also falsely report bad types. Second, we investigate whether the bank should reveal her private information to the agent. We show that this depends on the percentage of good loans in the population and on the signal’s informativeness. Though we had to define different regions for different parameters, we concluded that it might often be favorable to not reveal the signal. This contradicts current practice.
We investigate the suggested substitutive relation between executive compensation and the disciplinary threat of takeover imposed by the market for corporate control. We complement other empirical studies on managerial compensation and corporate control mechanisms in three distinct ways. First, we concentrate on firms in the oil industry for which agency problems were especially severe in the 1980s. Due to the extensive generation of excess cash flow, product and factor market discipline was ineffective. Second, we obtain a unique data set drawn directly from proxy statements which accounts not only for salary and bonus but for the value of all stock-market based compensation held in the portfolio of a CEO. Our data set consists of 51 firms in the U.S. oil industry from 1977 to 1994. Third, we employ ex ante measures of the threat of takeover at the individual firm level which are superior to ex post measures like actual takeover occurrence or past incidence of takeovers in an industry. Results show that annual compensation and, to a much higher degree, stock-based managerial compensation increase after a firm becomes protected from a hostile takeover. However, clear-cut evidence that CEOs of protected firms receive higher compensation than those of firms considered susceptible to a takeover cannot be found.
Individual financial systems can be understood as very specific configurations of certain key elements. Often these configurations remain unchanged for decades. We hypothesize that there is a specific relationship between key elements, namely that of complementarity. Thus, complementarity seems to be an essential feature of financial systems. Intuitively speaking, complementarity exists if the elements of a (financial) system reinforce each other in terms of contributing to the functioning of the system. It is the purpose of this paper to provide an analytical clarification of the concept of complementarity. This is done by modeling financial systems as combinations of four elements: firm-specific human capital of an entrepreneur, the ability of a bank to restructure the borrower's firm in the case of distress, the possibility to appropriate private benefits from running the firm, and the bankruptcy law. A specific configuration of these elements constitutes one financial system. The bankruptcy law and the potential private benefits are treated as exogenous. They determine the bargaining power of the contracting parties in the case that recontracting occurs. In a two-stage game, the optimal values for the other elements are determined by the agents individually - by investing in human capital and restructuring skills, respectively - and jointly by writing, executing and possibly renegotiating a financing contract for the firm. The paper discusses the equilibria for different types of bankruptcy law and demonstrates that equilibria exhibit the sought-after feature of complementarity. Three particularly significant equilibria correspond to stylized accounts of the British, German and the US-American financial system, respectively.
The paper presents an empirical analysis of the alledged transformation of the financial systems in the three major European economies, France, Germany and the UK. Based on a unified data set developed on the basis of national accounts statistics, and employing a new and consistent method of measurement, the following questions are addressed: Is there a common pattern of structural change; do banks lose importance in the process of change; and are the three financial systems becoming more similar? We find that there is neither a general trend towards disintermediation, nor towards a transformation from bank-based to capital market-based financial systems, nor for a loss of importance of banks. Only in the case of France strong signs of transformation as well as signs of a general decline in the role of banks could be found. Thus the three financial systems also do not seem to become more similar. However, there is also a common pattern of change: the intermediation chains are lengthening in all three countries. Nonbank financial intermediaries are taking over a more important role as mobilizers of capital from the non-financial sectors. In combination with the trend towards securitization of bank liabilites, this change increases the funding costs of banks and may put banks under pressure. In the case of France, this change is so pronounced that it might even threaten the stability of the financial system.
Nationale rechtliche Rahmenbedingungen beeinflussen die Möglichkeiten für wirtschaftliche Aktivitäten multinationaler Unternehmen (MNU) in einem Gastland und der Koordination zwischen den Unternehmensteilen in verschiedenen Ländern. Sie sind damit wichtige Bestimmungsfaktoren für Standortentscheidungen von MNU. Die Bedeutung von Recht und Standortwahl unterscheidet sich aber je nach verfolgter MNUStrategie. Seit etwa 10 Jahren verändern MNU ihre strategische Ausrichtung. Gleichzeitig gab es wesentliche Fortschritte bei der Forschung über Geschäftsfeld- und Gesamt-unternehmensstrategien von MNU. Aufbauend auf diesen beiden Entwicklungen wird in diesem Aufsatz die These vertreten, daß heute - im Zeitalter integrierter MNU-Strategien - Einfachheit, Flexibilität und Verläßlichkeit des relevanten nationalen Rechts in einem Land und seine Ähnlichkeiten mit dem Recht anderer Länder eine zentrale Bedeutung erlangt haben. Dies stellt einen wesentlichen Unterschied zu einer – allerdings noch nicht gänzlich überwundenen – Situation dar, in der MNU mehr an einer rechtlichen Situation interessiert sind, die ihnen eine maximale Anpassung an die jeweiligen lokalen Umstände der einzelnen Gastländer erlaubt, worin der Kern von ”multi-domestic” MNU-Strategien besteht. Die Veränderung von MNU-Strategien bietet auch eine Erklärung für die in jüngster Zeit zu beobachtende Veränderung der Lobbyingaktivitäten von MNU bezüglich der rechtlichen Rahmenbedingungen in ihren jeweiligen Gastländern.
Hackethal and Schmidt (2003) criticize a large body of literature on the financing of corporate sectors in different countries that questions some of the distinctions conventionally drawn between financial systems. Their criticism is directed against the use of net flows of finance and they propose alternative measures based on gross flows which they claim re-establish conventional distinctions. This paper argues that their criticism is invalid and that their alternative measures are misleading. There are real issues raised by the use of aggregate data but they are not the ones discussed in Hackethal and Schmidt’s paper. JEL Classification: G30
US investors hold much less foreign stocks than mean/variance analysis applied to historical data predicts. In this article, we investigate whether this home bias can be explained by Bayesian approaches to international asset allocation. In contrast to mean/variance analysis, Bayesian approaches employ different techniques for obtaining the set of expected returns. They shrink sample means towards a reference point that is inferred from economic theory. We also show that one of the Bayesian approaches leads to the same implications for asset allocation as mean-variance/tracking error criterion. In both cases, the optimal portfolio is a combination the market portfolio and the mean/variance efficient portfolio with the highest Sharpe ratio.
Applying the Bayesian approaches to the subject of international diversification, we find that substantial home bias can be explained when a US investor has a strong belief in the global mean/variance efficiency of the US market portfolio and when he has a high regret aversion falling behind the US market portfolio. We also find that the current level of home bias can justified whenever regret aversion is significantly higher than risk aversion.
Finally, we compare the Bayesian approaches to mean/variance analysis in an empirical out-ofsample study. The Bayesian approaches prove to be superior to mean/variance optimized portfolios in terms of higher risk-adjusted performance and lower turnover. However, they not systematically outperform the US market portfolio or the minimum-variance portfolio.
We analyze exchange rates along with equity quotes for 3 German firms from New York (NYSE) and Frankfurt (XETRA) during overlapping trading hours to see where price discovery occurs and how stock prices adjust to an exchange rate shock. Findings include: (a) the exchange rate is exogenous with respect to the stock prices; (b) exchange rate innovations are more important in understanding the evolution of NYSE prices than XETRA prices; and (c) most (but not all) of the fundamental or random walk component of firm value is determined in Frankfurt.
In contrast to the United States and the United Kingdom, little empirical work exists about the distributional characteristics of appraisalbased real estate returns outside these countries. The purpose of this study is to fill this gap by focusing on Germany. In line with other studies, this paper offers an extensive investigation into the distribution of German real estate returns and compares them with and U.S. and U.K. data in the same period. Furthermore, the comovements with bonds and stocks are also examined. In the core, the distributional characteristics for German real estate are comparable to that for the U.S. and U.K.
U.S. investors hold much less international stock than is optimal according to mean–variance portfolio theory applied to historical data. We investigated whether this home bias can be explained by Bayesian approaches to international asset allocation. In comparison with mean–variance analysis, Bayesian approaches use different techniques for obtaining the set of expected returns by shrinking the sample means toward a reference point that is inferred from economic theory. Applying the Bayesian approaches to the field of international diversification, we found that a substantial home bias can be explained when a U.S. investor has a strong belief in the global mean–variance efficiency of the U.S. market portfolio, and in this article, we show how to quantify the strength of this belief. We also found that one of the Bayesian approaches leads to the same implications for asset allocation as the mean–variance/tracking-error criterion. In both cases, the optimal portfolio is a combination of the U.S. market portfolio and the mean–variance-efficient portfolio with the highest Sharpe ratio.
For the Neuer Markt year 2001 is not considered as one of its best, compared to its prior performance. Investors who once piled into the Neuer Markt have now become wary of the exchange, which was launched in 1997 as Europe’s leading growth market and answer to the U.S.‘s Nasdaq Stock Market. The Neuer Markt’s reputation has been marred by the misleading information policy from several Neuer Markt companies, publishing false annual and quarterly data. Some of these companies are responsible for having misinformed investors of their pending bankruptcies. Under these circumstances, it is time to find an explanation for the dramatic loss of credibility in Neuer Markt enterprises. Finding an answer, two aspects come under consideration: • What type of information (annual versus quarterly reports) was available for investors and • of what quality were these provided data. Interim reports can be seen as important instrument in the reporting system to inform all kinds of investors. For this reason we examine the quality of Neuer Markt quarterly reports by concentrating on the disclosure level of 52 Neuer Markt companies‘ reports for the third quarter 1999 and 2000. To enable comparison we establish four disclosure indexes that measure the report’s compliance with the Neuer Markt Rules and Regulations as well as with IAS and US GAAP interim reporting standards. The results demonstrate that the level of disclosure has increased over time. Then we aim to find typical attributes of Neuer Markt enterprises that provide high or low level of accounting information in their quarterly reports. Nevertheless the study also shows that there is not any correlation between market capitalization and the quality of interim reports. However, it can be suggested that an additional enforcement mechanism could improve quality and lure investors back. A step towards this aim is the standardization project of quarterly reports of Deutsche Boerse AG.
Open source projects produce goods or standards that do not allow for the appropriation of private returns by those who contribute to their production. In this paper we analyze why programmers will nevertheless invest their time and effort to code open source software. We argue that the particular way in which open source projects are managed and especially how contributions are attributed to individual agents, allows the best programmers to create a signal that more mediocre programmers cannot achieve. Through setting themselves apart they can turn this signal into monetary rewards that correspond to their superior capabilities. With this incentive they will forgo the immediate rewards they could earn in software companies producing proprietary software by restricting the access to the source code of their product. Whenever institutional arrangements are in place that enable the acquisition of such a signal and the subsequent substitution into monetary rewards, the contribution to open source projects and the resulting public good is a feasible outcome that can be explained by standard economic theory.
Open source projects produce goods or standards that do not allow for the appropriation of private returns by those who contribute to their production. In this paper we analyze why programmers will nevertheless invest their time and effort to code open source software. We argue that the particular way in which open source projects are managed and especially how contributions are attributed to individual agents, allows the best programmers to create a signal that more mediocre programmers cannot achieve. Through setting themselves apart they can turn this signal into monetary rewards that correspond to their superior capabilities. With this incentive they will forgo the immediate rewards they could earn in software companies producing proprietary software by restricting the access to the source code of their product. Whenever institutional arrangements are in place that enable the acquisition of such a signal and the subsequent substitution into monetary rewards, the contribution to open source projects and the resulting public good is a feasible outcome that can be explained by standard economic theory.
What constitutes a financial system in general and the German financial system in particular?
(2003)
This paper is one of the two introductory chapters of the book "The German Financial System". It first discusses two issues that have a general bearing on the entire book, and then provides a broad overview of the German financial system. The first general issue is that of clarifying what we mean by the key term "financial system" and, based on this definition, of showing why the financial system of a country is important and what it might be important for. Obviously, a definition of its subject matter and an explanation of its importance are required at the outset of any book. As we will explain in Section II, we use the term "financial system" in a broad sense which sets it clearly apart from the narrower concept of the "financial sector". The second general issue is that of how financial systems are described and analysed. Obviously, the definition of the object of analysis and the method by which the object is to be analysed are closely related to one another. The remainder of the paper provides a general overview of the German financial system. In addition, it is intended to provide a first indication of how the elements of the German financial system are related to each other, and thus to support our claim from Section II that there is indeed some merit in emphasising the systemic features of financial systems in general and of the German financial system in particular. The chapter concludes by briefly comparing the general characteristics of the German financial system with those of the financial systems of other advanced industrial countries, and taking a brief look at recent developments which might undermine the "systemic" character of the German financial system.
Portfolio choice and estimation risk : a comparison of Bayesian approaches to resampled efficiency
(2002)
Estimation risk is known to have a huge impact on mean/variance (MV) optimized portfolios, which is one of the primary reasons to make standard Markowitz optimization unfeasible in practice. Several approaches to incorporate estimation risk into portfolio selection are suggested in the earlier literature. These papers regularly discuss heuristic approaches (e.g., placing restrictions on portfolio weights) and Bayesian estimators. Among the Bayesian class of estimators, we will focus in this paper on the Bayes/Stein estimator developed by Jorion (1985, 1986), which is probably the most popular estimator. We will show that optimal portfolios based on the Bayes/Stein estimator correspond to portfolios on the original mean-variance efficient frontier with a higher risk aversion. We quantify this increase in risk aversion. Furthermore, we review a relatively new approach introduced by Michaud (1998), resampling efficiency. Michaud argues that the limitations of MV efficiency in practice generally derive from a lack of statistical understanding of MV optimization. He advocates a statistical view of MV optimization that leads to new procedures that can reduce estimation risk. Resampling efficiency has been contrasted to standard Markowitz portfolios until now, but not to other approaches which explicitly incorporate estimation risk. This paper attempts to fill this gap. Optimal portfolios based on the Bayes/Stein estimator and resampling efficiency are compared in an empirical out-of-sample study in terms of their Sharpe ratio and in terms of stochastic dominance.
Eine Beteiligung des Managements an Gewinngrößen spielt eine wichtige Rolle bei der Ausrichtung von Managemententscheidungen auf die Ziele der Unternehmenseigentümer. Dieser Beitrag zeigt auf, unter welchen Gewinnermittlungsregeln ein Agent zu optimalen Investitionsentscheidungen motiviert wird, wenn er an den Residualgewinnen beteiligt wird. Dieser Beitrag beschäftigt sich insbesondere mit der Frage, ob zum Zwecke einer optimalen Investitionssteuerung, Fertigerzeugnisse zu Vollkosten oder zu Teilkosten bewertet werden sollen. Vor diesem Hintergrund werden ebenfalls verschiedene Wertansätze für Forderungen auf ihre Anreizwirkungen untersucht.
Recent changes in accounting regulation for financial instruments (SFAS 133, IAS 39) have been heavily criticized by representatives from the banking industry. They argue for retaining a historical cost based "mixed model" where accounting for financial instruments depends on their designation to either trading or nontrading activities. In order to demonstrate the impact of different accounting models for financial instruments on the financial statements of banks, we develop a bank simulation model capturing the essential characteristics of a modern universal bank with investment banking and commercial banking activities. In our simulations we look at different scenarios with periods of increasing/decreasing interest rates using historical data and with different banking strategies (fully hedged; partially hedged). The financial statements of our model bank are prepared under different accounting rules ("Old" IAS before implementation of IAS 39; current IAS) with and without hedge accounting as offered by the respective sets of rules. The paper identifies critical issues of applying the different accounting rules for financial instruments to the activities of a universal bank. It demonstrates important shortcomings of the "Old" IAS rules (before IAS 39), and of the current IAS rules. Under the current IAS rules the results of a fully hedged bank may have to show volatility in income statements due to changes in market interest rates. Accounting results of a partially hedged bank in the same scenario may be less affected even though there are economic gains or losses.
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.
Rating agencies state that they take a rating action only when it is unlikely to be reversed shortly afterwards. Based on a formal representation of the rating process, I show that such a policy provides a good explanation for the empirical evidence: Rating changes occur relatively seldom, exhibit serial dependence, and lag changes in the issuers’ default risk. In terms of informational losses, avoiding rating reversals can be more harmful than monitoring credit quality only twice per year.
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.
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.
This paper examines the provision of managerial investment incentives by an accounting based incentive scheme in a multiperiod agency setting in which an impatient manager has to choose between mutually exclusive investment projects. We study the properties of accounting rules that motivate an impatient manager to exert unobservable effort and to make optimal investment decisions. In this analysis, a realized cash flow constitutes a noisy signal that contains information about the unknown profitability of the investment project. By observing these signals a principal is able to revise his prior beliefs about the agent´s investment decision. The revision of the principal´s prior beliefs leads to a trade off between the provision of efficient investment incentives and intertemporalsharing of output.
Under a new Basel capital accord, bank regulators might use quantitative measures when evaluating the eligibility of internal credit rating systems for the internal ratings based approach. Based on data from Deutsche Bundesbank and using a simulation approach, we find that it is possible to identify strongly inferior rating systems out-of time based on statistics that measure either the quality of ranking borrowers from good to bad, or the quality of individual default probability forecasts. Banks do not significantly improve system quality if they use credit scores instead of ratings, or logistic regression default probability estimates instead of historical data. Banks that are not able to discriminate between high- and low-risk borrowers increase their average capital requirements due to the concavity of the capital requirements function.
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.
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.
In this paper, we calculate a transaction–based price index for apartments in Paris (France). The heterogeneous character of real estate is taken into account using an hedonic model. The functional form is specified using a general Box–Cox function. The data basis covers 84 686 transactions of the housing market in 1990:01–1999:12, which is one of the largest samples ever used in comparable studies. Low correlations of the price index with stock and bond indices (first differences) indicate diversification benefits from the inclusion of real estate in a mixed asset portfolio. JEL C43, C51, O18, R20.
Das Firmenkundensegment und die Präsenz auf den internationalen Märkten für gewerblichen Hypothekarkredit und der Finanzierung öffentlicher Haushalte gewinnen für die deutschen Hypothekenbanken bis zum Jahr 2007 erheblich an Bedeutung, so das Ergebnis eines Forschungsprojekts der Goethe-Universität Frankfurt. Die Immobilienfinanziers werden ihre Geschäftsbeziehungen zu Unternehmen in den nächsten fünf Jahren sowohl qualitativ als auch räumlich ausbauen. Real Estate Investment Banking und Expansion ins Ausland stehen auf der strategischen Agenda der Hypothekenbanken ganz oben.
An economy in which deposit-taking banks of a Diamond/ Dybvig style and an asset market coexist is modelled. Firstly, within this framework we characterize distinct financial systems depending on the fraction of households with direct investment opportunities that are less efficient than those available to banks. With this fraction comparatively low, the evolving financial system can be interpreted as market-oriented. In this system, banks only provide efficient investment opportunities to households with inferior investment alternatives. Banks are not active in the secondary financial market nor do they provide any liquidity insurance to their depositors. Households participate to a large extent in the primary as well as in the secondary financial markets. In the other case of a relatively high fraction of households with inefficient direct investment opportunities, a bank-dominated financial system arises, in which banks provide liquidity transformation, are active in secondary financial markets and are the only player in primary markets, while households only participate in secondary financial markets. Secondly, we analyze the effect a run on a single bank has on the entire financial system. Interestingly, we can show that a bank run on a single bank causes contagion via the financial market neither in market-oriented nor in extremely bank-dominated financial systems. But in only moderately bank-dominated (or hybrid) financial systems fire sales of long-term financial claims by a distressed bank cause a sudden drop in asset prices that precipitates other banks into crisis.
Capital rationing is an empirically well-documented phenomenon. This constraint requires managers to make investment decisions between mutually exclusive investment opportunities. In a multiperiod agency setting, this paper analyses accounting rules that provide managerial incentives for efficient project selection. In order to motivate a shortsighted manager to expend unobservable effort and to make efficient investment decisions, the principal sets up an incentive scheme based on residual income (e.g. EVATM). The paper shows that income smoothing generates a trade-off between agency costs resulting from differences in discount rates and the costs associated with the "congruity" of residual earnings.
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.
This paper investigates the magnitude and the main determinants of share price reactions to buy-back announcements of German corporations. Based on a sample of 224 announcements from the period May 1998 to April 2003 we find average cumulative abnormal returns around -7.5% for the thirty days preceding the announcement and around +7.0 % for the ten days following the announcement. We regress postannouncement abnormal returns with multiple firm characteristics and provide evidence which supports the undervaluation signaling hypothesis but not the excess cash hypothesis. In extending prior empirical work, we also analyze price effects from an initial statement by management that it intends to seek shareholder approval for a buy-back plan. Observed cumulative abnormal returns on this initial date are in excess of 5% implying a total average price effect between 12% and 15% from implementing a buy-back plan. We conjecture that the German regulatory environment is the main reason why market variations to buy-back announcements are much stronger in Germany than in other countries and conclude that initial statements by managers to seek shareholders’ approval for a buy-back plan should also be subject to legal ad-hoc disclosure requirements. EFM classification: 330, 350
A widely recognized paper by Colin Mayer (1988) has led to a profound revision of academic thinking about financing patterns of corporations in different countries. Using flow-of-funds data instead of balance sheet data, Mayer and others who followed his lead found that internal financing is the dominant mode of financing in all countries, that therefore financial patterns do not differ very much between countries and that those differences which still seem to exist are not at all consistent with the common conviction that financial systems can be classified as being either bank-based or capital market-based. This leads to a puzzle insofar as it calls into question the empirical foundation of the widely held belief that there is a correspondence between the financing patterns of corporations on the one side, and the structure of the financial sector and the prevailing corporate governance system in a given country on the other side. The present paper addresses this puzzle on a methodological and an empirical basis. It starts by demonstrating that the surprising empirical results found by Mayer et al. are due to a hidden assumption underlying their methodology. It then derives an alternative method of measuring financing patterns, which also uses flow-of-funds data, but avoids the questionable assumption. This measurement concept is then applied to patterns of corporate financing in Germany, Japan and the United States. The empirical results are very much in line with the commonly held belief prior to Mayer’s influential contribution and indicate that the financial systems of the three countries do indeed differ from one another in a substantial way.
The paper is a follow-up to an article published in Technique Financière et Developpement in 2000 (see the appendix to the hardcopy version), which portrayed the first results of a new strategy in the field of development finance implemented in South-East Europe. This strategy consists in creating microfinance banks as greenfield investments, that is, of building up new banks which specialise in providing credit and other financial services to micro and small enterprises, instead of transforming existing credit-granting NGOs into formal banks, which had been the dominant approach in the 1990s. The present paper shows that this strategy has, in the course of the last five years, led to the emergence of a network of microfinance banks operating in several parts of the world. After discussing why financial sector development is a crucial determinant of general social and economic development and contrasting the new strategy to former approaches in the area of development finance, the paper provides information about the shareholder composition and the investment portfolio of what is at present the world's largest and most successful network of microfinance banks. This network is a good example of a well-functioning "private public partnership". The paper then provides performance figures and discusses why the creation of such a network seems to be a particularly promising approach to the creation of financially self-sustaining financial institutions with a clear developmental objective.
This paper provides an in-depth analysis of the properties of popular tests for the existence and the sign of the market price of volatility risk. These tests are frequently based on the fact that for some option pricing models under continuous hedging the sign of the market price of volatility risk coincides with the sign of the mean hedging error. Empirically, however, these tests suffer from both discretization error and model mis-specification. We show that these two problems may cause the test to be either no longer able to detect additional priced risk factors or to be unable to identify the sign of their market prices of risk correctly. Our analysis is performed for the model of Black and Scholes (1973) (BS) and the stochastic volatility (SV) model of Heston (1993). In the model of BS, the expected hedging error for a discrete hedge is positive, leading to the wrong conclusion that the stock is not the only priced risk factor. In the model of Heston, the expected hedging error for a hedge in discrete time is positive when the true market price of volatility risk is zero, leading to the wrong conclusion that the market price of volatility risk is positive. If we further introduce model mis-specification by using the BS delta in a Heston world we find that the mean hedging error also depends on the slope of the implied volatility curve and on the equity risk premium. Under parameter scenarios which are similar to those reported in many empirical studies the test statistics tend to be biased upwards. The test often does not detect negative volatility risk premia, or it signals a positive risk premium when it is truly zero. The properties of this test furthermore strongly depend on the location of current volatility relative to its long-term mean, and on the degree of moneyness of the option. As a consequence tests reported in the literature may suffer from the problem that in a time-series framework the researcher cannot draw the hedging errors from the same distribution repeatedly. This implies that there is no guarantee that the empirically computed t-statistic has the assumed distribution. JEL: G12, G13 Keywords: Stochastic Volatility, Volatility Risk Premium, Discretization Error, Model Error
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.
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.
In a framework closely related to Diamond and Rajan (2001) we characterize different financial systems and analyze the welfare implications of different LOLR-policies in these financial systems. We show that in a bank-dominated financial system it is less likely that a LOLR-policy that follows the Bagehot rules is preferable. In financial systems with rather illiquid assets a discretionary individual liquidity assistance might be welfare improving, while in market-based financial systems, with rather liquid assets in the banks' balance sheets, emergency liquidity assistance provided freely to the market at a penalty rate is likely to be efficient. Thus, a "one size fits all"-approach that does not take the differences of financial systems into account is misguiding. JEL - Klassifikation: D52 , E44 , G21 , E52 , E58
When options are traded, one can use their prices and price changes to draw inference about the set of risk factors and their risk premia. We analyze tests for the existence and the sign of the market prices of jump risk that are based on option hedging errors. We derive a closed-form solution for the option hedging error and its expectation in a stochastic jump model under continuous trading and correct model specification. Jump risk is structurally different from, e.g., stochastic volatility: there is one market price of risk for each jump size (and not just \emph{the} market price of jump risk). Thus, the expected hedging error cannot identify the exact structure of the compensation for jump risk. Furthermore, we derive closed form solutions for the expected option hedging error under discrete trading and model mis-specification. Compared to the ideal case, the sign of the expected hedging error can change, so that empirical tests based on simplifying assumptions about trading frequency and the model may lead to incorrect conclusions.
This paper deals with the superhedging of derivatives and with the corresponding price bounds. A static superhedge results in trivial and fully nonparametric price bounds, which can be tightened if there exists a cheaper superhedge in the class of dynamic trading strategies. We focus on European path-independent claims and show under which conditions such an improvement is possible. For a stochastic volatility model with unbounded volatility, we show that a static superhedge is always optimal, and that, additionally, there may be infinitely many dynamic superhedges with the same initial capital. The trivial price bounds are thus the tightest ones. In a model with stochastic jumps or non-negative stochastic interest rates either a static or a dynamic superhedge is optimal. Finally, in a model with unbounded short rates, only a static superhedge is possible.
Empirical evidence suggests that even those firms presumably most in need of monitoringintensive financing (young, small, and innovative firms) have a multitude of bank lenders, where one may be special in the sense of relationship lending. However, theory does not tell us a lot about the economic rationale for relationship lending in the context of multiple bank financing. To fill this gap, we analyze the optimal debt structure in a model that allows for multiple but asymmetric bank financing. The optimal debt structure balances the risk of lender coordination failure from multiple lending and the bargaining power of a pivotal relationship bank. We show that firms with low expected cash-flows or low interim liquidation values of assets prefer asymmetric financing, while firms with high expected cash-flow or high interim liquidation values of assets tend to finance without a relationship bank. JEL - Klassifikation: G21 , G78 , G33
This paper suggests a motive for bank mergers that goes beyond alleged and typically unverifiable scale economies: preemtive resolution of banks´ financial distress. Such "distress mergers" can be a significant motivation for mergers because they can foster reorganizations, realize diversification gains, and avoid public attention. However, since none of these potential benefits comes without a cost, the overall assessment of distress mergers is unclear. We conduct an empirical analysis to provide evidence on consequences of distress mergers. The analysis is based on comprehensive data from Germany´s savings and cooperatives banks sectors over the period 1993 to 2001. During this period both sectors faced significant structural problems and superordinate institutions (associations) presumably have engaged in coordinated actions to manage distress mergers. The data comprise 3640 banks and 1484 mergers. Our results suggest that bank mergers as a means of preemtive distress resolution have moderate costs in terms of the economic impact on performance. We do find strong evidence consistent with diversification gains. Thus, distress mergers seem to have benefits without affecting systematic stability adversely.