Institut für Financial Management

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A behavioral finance approach to explain the price momentum effect
(2009) Prothmann, Felix; Burghof, Hans-Peter
The research topic of my thesis is the stock price momentum effect which states that stocks with high returns over the past 3 to 12 months continue to outperform stocks with a poor past performance within the next 3 to 12 months. My work is structured into three main parts. The first one gives an overview about the present stand of the literature. It becomes clear that the profitability of momentum strategies is documented in many studies, for different samples and for different periods. In the search for an explanation for the profitability of momentum strategies, the literature has not come to a consensus: One the one hand, according to the rational-based approach,momentum profits represent a compensation for risk and is consistent with the EMH. On the other hand, the behavioral finance theories attempts to explain the existence of the momentum effect with a non-rational behavior of at least some investors. The second and the third part of my thesis are closely linked and examine the behavioralexplanation approach that stock price momentum can be explained by the anchoring bias ? a specific form of non-rational behavior. It states that investors orientate too much on a reference point when forming estimates. This idea goes back to George and Hwang (2004) documenting that the momentum effect can be explained by profits to the 52-week high strategy, which itself is assumed to be driven by the anchoring bias. Based on this theory, the null hypothesis of both parts of my thesis states: Stock price momentum cannot be explained by anchoring. This investigation supports anchoring as the explanation of the momentum effect.
An empirical analysis of residual value risk in automotive lease contracts
(2011) Nau, Katharina; Burghof, Hans-Peter
The work at hand concentrates on the risk structure of lease contracts and therefore aims to give insights and support to the risk management of lease firms. The focus lies on a special and highly important type of risk in such contracts named residual value risk describing the risk arising from deviations of the actual residual value at maturity stage of the contract from the estimated one fixed in the contract at its completion. My analysis deals with automobile leases covering the major share of this market. The main objective of this work is the analysis of two research question: 1.) What determines residual values? 2.) How can residual values be predicted? On the one hand, a minimum level of predictability is necessary to manage residual value risk. That is why an identification of determinants of residual values is extremely important. The possibility to link fluctuations in residual values to changes in explanatory variables allows one to trace the pattern of residual values based on the pattern of the identified risk factors. On the other hand, residual values are not known in advance but needed at the completion of the lease contract. This is why residual values have to be predicted. These questions are assessed by an empirical analysis using the ARIMAX regression methodology. The analysis uses a sample covering monthly residual values of 17 cars in the German automobile market for the observation period from June 1992 to December 2008. The determinants of the residual values describe the market environment of used cars. Those can be classified into three man categories. The first one illustrates the overall economic situation, the second one describes the situation in the new and used car market and the third one specifies a certain car model in more detail. The empirical results give evidence that the chosen factors influence the residual values of cars. Moreover, those determinants lead to very accurate predicted residual values showing a high forecast ability. Furthermore, the empirical results and considerations are used to conduct a theoretical analysis in order to derive implications for the residual value risk management. The valuation model of McConnell and Schallheim (1983) is used on the one hand to quantify the impact of fluctuations in the underlying factors on the lease rate and, on the other hand, to analyse the effects of misspecifications in an underlying market factor on the lease rate and the value of the lease contract. These theoretical considerations give insights and support to improve the risk management of residual values in lease contracts.
Testing market imperfections via genetic programming
(2011) Jansen, Sebastian; Burghof, Hans-Peter
The thesis checks the validity of the efficient markets hypothesis focusing on stock markets. Technical trading rules are generated by using an evolutionary optimization algorithm (Genetic Programming) based on training samples. The trading rules are subsequently applied to data samples unknown to the algorithm beforehand. The benchmark strategy consists of a classic buy-and-hold strategy in the DAX and the Hang Seng. The trading rules generally fail at consistently beating the benchmark thus indicating that market efficiency holds.
Corporate financing choices : new ideas and revisited common themes
(2011) Michelsen, Marc; Hachmeister, Dirk
Observed industry-specific leverage ratios in and across financial systems imply the relevance of capital market imperfections. This severely questions the validity of the irrelevance of capital structure decisions for firm value. Moreover, survey studies of CFOs suggest that managers have some target debt ratio or range, which also refutes the irrelevance of capital structure. The number of studies on capital structure is enormous, but to date no universal theory has been formulated for capital structure. It has even been argued that there might not be any reason to expect a universal theory of capital structure. Instead, different theories apply to firms under different circumstances. For that reason, this dissertation on empirical capital structure research aims to discuss and investigate two specific ?firm circumstances? that influence corporate financing choices and seem promising for future research. First, I investigate a determinant of capital structure that has so far received little attention in literature ? credit ratings by the external agencies Standard & Poor?s and Moody?s. Rating agencies play an eminent role in today?s capital markets. It is likely that firms under the scrutiny of such strong external supervisors may follow a different leverage policy to non-rated firms. However, rating agencies? renowned importance is so far not reflected in the capital structure research. Therefore, I thoroughly investigate the financing choices of externally rated firms for managers? rating considerations. Chapter 2 shows that managers follow a more conservative leverage policy if their firm?s credit rating is about to be upgraded or downgraded. While retained earnings are cross-sectional the dominant source of funding, the economics of security offerings has generated considerable empirical research interest over the past two decades. Survey evidence and stock price dynamics around seasoned equity offerings indicate that managers exploit temporary overvaluations of the firm?s stock and therefore time the equity offering. These efforts are possible because of the information asymmetry between managers and investors and the associated incentives for managers to exploit this informational advantage. Externally rated firms, on the other hand, reduce adverse selection problems with the information gathering process of the rating agencies. Therefore, it is questionable if the market timing hypothesis still holds for externally rated firms? seasoned equity offerings. The results of Chapter 3 imply that rating concerns are an important consideration for equity issuing firms. As a second ?firm circumstance? that may alter the composition of the balance sheet, I examine managers? weighting of public versus private equity in the decision to opt out of the public markets and go private. Such a public-to-private transaction (PTP) is an important step in the corporate life cycle, and modifies the capital structure of the firm significantly. However, consensus has not been reached in the literature on the underlying motives, and accordingly the relevant financial theories. Therefore, in Chapter 3 I investigate the characteristics of German firms that opted out of the public equity markets. Studying the public-to-private decision in Germany is of particular interest, because Germany can still be regarded as a prime example of an insider-controlled and relationship-based financial system. Therefore, the transferability of findings from Anglo-Saxon countries is difficult, as the structure of the financial and legal system is known to have a strong influence on corporate decisions. On the whole, I find no evidence of the free cash flow problem in the German corporate governance system. In respect of the respective PTP companies, the PTP phenomenon can be accounted for by a changing corporate life cycle status and a malfunctioning of the public capital markets.
Ethical banking and finance : a theoretical and empirical framework for the cross-country and inter-bank analysis of efficiency, productivity, and financial performance
(2012) Abu-Alkheil, Ahmad; Burghof, Hans-Peter
Islamic banking is a growing worldwide phenomenon involving a variety of institutions and instruments. Previously, Islamic banks? transactions made up a small part of the total banking industry. Recently, Islamic banks have significantly expanded their network, and have been able to mobilize a large amount of funds and upgrade many economic ventures. Given the unique behavior of Islamic banks and their involvement in both social and economic activities, there has always been a question about their long run financial sustainability, particularly in adverse market conditions. Thus, a reliable and unbiased estimation of Islamic banks?efficiency and productivity performance is essential for the evaluation of Islamic banking operations within and outside its traditional borders of Muslim economies. Due to the short history of Islamic banking in Europe, and consequently the lack of sufficient data, empirical researches on the financial performance of Islamic banking have concentrated primarily in Muslim-majority countries and focused on the theoretical issues and descriptive statistics rather than rigorous statistical and econometric estimation. The main purpose of our analysis is to bridge this gap in the global and cross-country literature and to contribute to the ongoing debate regarding the performance of Islamic banking. Therefore, the orientation of this thesis is chiefly quantitative in nature. The aim of this thesis is primarily to shed some light on the emergence and the continual global growth of Islamic banking all over the world. It also tries to assess, for the first time, the relative performance of Islamic commercial and investment banks operating in Europe against counterparties-conventional banks in Europe and also against Islamic banks from Muslim-majority countries. Our methodology in this academic work clearly differs from the literature researches. This thesis is, basically, divided into two main parts. In first part, we specifically discuss the basic features and principles of the Islamic banking and finance. We then reviewed several in-depth market analysis results concerning Islamic banking and finance that were performed by well-known specialized financial institutions. In the second part, we primarily utilize different empirical approaches to examine the performance of our sample banks which shows a great variety, ranging from large active banks to new and small banks. More specifically, we use the Data Envelopment Analysis (DEA) method to calculate the commercial banks? efficiency scores and investment banks (cost)-X-efficiency levels; the DEA-based Malmq- uist Productivity Index (MPI) to estimate the banks productivity indices; the common financial ratios to measure the banks financial performance; the T-Test to determine the differences of investment bank's performance pre- and post- the financial crisis that hit the world?s economy in 2007; the Ordinary Least Squares (OLS)-regression to determine the impact of internal and external factors on bank's efficiency and also to check the robustness of the overall results obtained from DEA scores; Spearman's rho correlation to investigate the association of the DEA-efficiency scores with the traditional accounting ratios; and eventually the efficiency?profitability matrix in order to determine the characterization of the banks' performance and the factors that influence efficiency. Our analysis is carried out, primarily, over the period from 2005 to 2008. This indeed helps to account for the impact of the recent financial crisis on the efficiency and productivity performance of the selected banks. The preliminary review of the market surveys-based analysis shows that the Islamic finance and banking is one of the fastest growing sectors in the financial world. Islamic financial products and services are increasingly being regarded as a viable investment opportunity, making them very attractive for Muslims and non-Muslims alike. Leading Islamic banks from Muslim countries are expanding their network. Several European banks have directly involved in providing Islamic financial products in order to satisfy the special needs for Muslim customers and the non-Muslims who seek ethical financial and investment solutions. Eventually, European governments have also started to amend their legal, tax, and regulatory systems to allow the establishment of Islamic banks. Most importantly, from an empirical point of view, our presented results suggest that the Islamic commercial banks in Europe are found to be relatively technically inefficient. They have also, on average, poor financial performance and under-performing practices. Moreover, Islamic banks in Europe actually suffer from significant productivity losses over the sample years driven, to a large extent, by the regress in banks? technology innovations. By and large, the bank?s inefficiency stems from both the sub-optimal size of operations and the lack of management knowledge and skills. Findings suggest that the optimal size for Islamic banks to achieve better levels of performance is neither large nor small rather medium. Therefore, increasing banks size through mergers and acquisition will substantially enhance their technical efficiency and productivity progress. The period prior to the current financial crisis was marked by the most stable economic environment for generations. Our results illustrate that Islamic banks lag relatively, before the emergence of the crisis, behind their conventional peers in terms of estimated efficiency scores and productivity changes. Strikingly, conventional banks gradually lose their superiority over Islamic banks in subsequent years, but remain, on average, a head of Islamic banks. Islamic banks are, indeed, less vulnerable to the effects of the crisis as compared with counterparties-conventional banks. They exhibit only slight inefficiency and productivity regress during this severe crisis and therefore, produce a consistent and remarkable positive trend in technical efficiency, productivity performance, and financial profitability. This might be because of the beliefs in the power of petro-dollars in the Gulf region, the fact that the Islamic banks are relatively small and young at present, and could also be due to the religious financial constraints. Such factors might have played an important role in preventing Islamic banks from being severely affected by the crisis. Overall, results suggest that the small and new Islamic banks in Europe can be as efficient and productive as large and old Islamic and conventional banks. They also have long run sustainability, substantial room for improvements, and a great potential in the banking industry to sustain their competitive edge not only in Muslim countries but also in the European financial system. The estimated findings pertaining to the performance of Islamic investment banks in Europe suggest that these banks experience low (cost)-x-efficiency and poor allocative-efficiency compared with counterparties-conventional banks. Bank?s inefficiency is caused largely by the under-utilization of inputs, the bank's diseconomies of scale, and also appears to be due to the regulations not controlled by management due to fluctuations and instability in factor prices. Islamic investment banks additionally show a clear paradox between their high calculated efficiency scores and low achieved profitability ratios. They are also less risky, more solvent, and operate with lower use of debt. Nevertheless, Islamic investment banks suffer a gradual deterioration in liquidity position. The banks' supply of Murabaha (cost-plus loans) financing appears to be most dominant and has increased significantly in importance. Overall, findings seem to reveal that the banks that are technically more efficient are larger in size (total assets), financially more profitable, have greater loans intensity, acquire lower levels of debt, invests more in appropriate human skills, have a lower market share (total deposits), and operate in countries with higher GDP-per capita. Such results reflect the strong and high association between the DEA-efficiency measures and the standard accounting measures, suggesting that the DEA approach can be adopted separately or concurrently along with financial ratios to make comparisons of Islamic banks performance more robust.
Entscheidungsorientierte Bewertung von Forschungskooperationspartnern
(2012) Vaclavicek, Peter; Troßmann, Ernst
This thesis focuses on developing a method which can be used to evaluate potential partners to cooperate with in an intercompany research cooperation. Research is understood as systematically applying scientific methods in order to gain new knowledge. An intercompany cooperation is understood as a goal-directed, contractually settled long-term collaboration that is established on a voluntary basis between legally independent, yet consequently commercially mutually dependent companies. Decision-theory based evaluation of research cooperation partners requires processing a great deal of relevant information and the design of a suitable methodology. Research cooperation goals are seen as the essential benchmark on the basis of which alternative research cooperation partners are to be evaluated. Consequently, they are essential for the methodology to be chosen. Through the studying of literature, goals that are to be achieved through engaging in a research cooperation are thoroughly analyzed. Essential goals are content goals, timeframe goals and financial goals. Additional goals of more special character are risk reduction and feasibility. All characteristics of a company to be evaluated as a potential research cooperation partner are to be benchmarked in order to evaluate their value for achieving research cooperation goals. Conveniently, these characteristics can be distinguished between two types: first, the objectively observable potentials of a potential research cooperation partner. These characterize his capabilities, to enrich the planned research project in a purposeful way, when compared to one?s own capabilities. Capabilities of importance for research projects can typically be seen in material operating resources (e.g. experimental plants or specialized IT-facilities), human resources (e.g. laboratory staff), immaterial resources (particularly knowledge) and finally financial resources. Second, the will (or: motivation) is the second set of relevant cooperation partner characteristics. The best alternative to engaging in a research cooperation with any partner is to realize the intended research project by oneself, i.e. without a cooperation partner. This alternative is referred to as the null alternative. Consequently, all potential research cooperation partners are to be compared with the extent to which research goals can be achieved through one?s null alternative. The key aspect of the methodology to be developed thus is the evaluation of positive and negative consequences of choosing a particular company as a partner to cooperate with. Positive consequences (or: advantages) can be identified as a better achievement of goals than would be possible when realizing the null alternative. Since different goals are to be measured with different scales, standardization through a scoring model becomes necessary. Negative consequences (or: disadvantages) of cooperating with a particular partner result from his lack of cooperation will. In particular means and instruments of intercompany coordination are to be evaluated. Having determined advantages and disadvantages of a particular research cooperation partner, both findings can be added in order to generate an overall partner value. The higher this partner value, the more suitable is the company as a research cooperation partner. As long as the partner value is above zero, i.e. positive, cooperation leads to a better goal-achievement than realizing the null alternative (i.e. realizing the research project by oneself). A negative partner value however indicates that realizing the null alternative would mean a better goal achievement than engaging in a research cooperation with this particular partner. The wide usability of the methodology developed is demonstrated by a concluding discussion of three particularly relevant constellations in intercompany research cooperations: research coopera-tions with more than just two research partners (i.e. research networks), international research cooperations, and research cooperations in public-private-partnerships. Specific requirements of using the developed set of methodology in these three constellations are highlighted conclusively.
Besteuerung von Real Estate Investment Trusts (REITs): betriebswirtschaftliche und rechtliche Analyse des Gesetzes zur Schaffung deutscher Immobilien-Aktiengesellschaften mit börsennotierten Anteilen
(2012) Claßen, Robert; Kahle, Holger
In 2007 Germany created a statutory framework for Real Estate Investment Trusts (REITs). With the German REIT, the legislator intended to provide a tradable real estate investment instrument which meets international standards. This thesis examines the extent to which deficits in the existing legislation exist. For investors these deficits could result in positive or negative effects. However, there is need for further legislation if German REITs should comply with recognized economical and legal requirements. The analysis focus of this paper is the taxation of REITs from the perspective of a national and international investor. Moreover, the issue of practical relevance is adressed why German REITs previously did not become accepted in the international markets.
Anreizsysteme für Investitionen während der Regulierungsperiode
(2012) Romer, Andrea
Durch die von der Bundesregierung beschlossene Energiewende entsteht in den nächsten Jahren ein erheblicher Um- und Ausbaubedarf der Energienetze. Der gegenwärtige Regulierungsrahmen, mit dem Ziel eines effizienteren Betriebs bestehender Netze, setzt dabei keine Anreize für steigende Investitionen. Diese sind jedoch für die Umsetzung der Energiewende unabdingbar. Der folgende Beitrag analysiert die aktuell vorhandenen Instrumente zur Förderung der Investitionstätigkeit gemäß der Anreizregulierungsverordnung (Erweiterungsfaktor, Pauschalierter Investitionszuschlag und Investitionsbudget) und stellt weitere optionale Konzepte zur Verbesserung der Investitionsbedingungen während der Regulierungsperiode vor.
Übernahmerechtliche Angaben im Lagebericht nach HGB : eine empirische Analyse
(2012) Bader, Philipp; Schüppen, Matthias
Für nach dem 31.12.2005 beginnende Geschäftsjahre sind Aktiengesellschaften und Kommanditgesellschaften auf Aktien, die mit stimmberechtigten Aktien an einem organisierten Markt im Sinne des § 2 Abs. 7 WpÜG notiert sind, gemäß den §§ 289 Abs. 4 bzw. 315 Abs. 4 HGB verpflichtet, für eine etwaige Übernahme relevante Angaben im Lagebericht zu veröffentlichen. Der folgende Beitrag analysiert die Umsetzung der Bestimmungen in der Unternehmenspraxis anhand einer Auswahl von 30 in DAX, MDAX und SDAX gelisteten Gesellschaften für die Geschäftsjahre 2006, 2008 und 2010.
Which form of venture capital is most supportive of innovation? : Evidence from European biotechnology companies
(2013) Tykvová, Tereza; Bertoni, Fabio
We argue that different forms of venture capital contribute differently to the innovation process and, consequently, differ in their impact on portfolio companies? innovation output. Our results suggest that the innovation output of companies financed by independent VCs increases significantly faster than that of both non-VC-backed companies and of companies financed by governmental VCs. However, governmental VCs may be beneficial for innovation by complementing the skills and resources provided by an independent VC in a heterogeneous syndicate.
Bonitätsbeurteilung von Krankenhäusern
(2013) Rausendorf, Manja; Hachmeister, Dirk
The current basic conditions require a adjustment in the investment financing of hospitals and put with it the hospitals as well as the potential sponsors before new challenges. The thesis offers to all partners, if these are banks, investors, appropriations authorities, supervisors or the hospitals,industry-sector-specific Benchmarks for the credit rating. Besides, the ratio of the traditional financial statement analysis are modified first and extended, reference values of well-chosen quantitative and qualitative ratios calculated and analysed. In addition, hypotheses are examined to the investment delay in hospitals and to sign stamping specific for country by finance-economic and successful-economic identification ratio and their correlations. The interested reader has to select the possibility the sector-specific Benchmarks for the credit Rating of hospitals according to the individual needs, to complement and to continue.
Marktrisikoprämien am deutschen Kapitalmarkt : Ermittlung, Simulation und Vergleich historischer und angebotsseitiger Marktrisikoprämien
(2014) Hachmeister, Dirk; Ruthardt, Frederik; Autenrieth, Matthias
Die Diskussion über die „richtige“ methodische Ableitung und Höhe der Marktrisikoprämie wurde durch die Finanzmarkt- und Staatsschuldenkrise neu entfacht. Während in Deutschland der Ansatz impliziter Kapitalkosten als Alternative zu historischen Marktrisikoprämien disku-tiert wird, wird in den USA zunehmend auf das Konzept der angebotsseitigen Marktrisiko-prämie verwiesen. Dieser Beitrag ermittelt erstmals angebotsseitige Marktrisikoprämien für den deutschen Kapitalmarkt. Darüber hinaus werden historische Marktrisikoprämien für den deutschen Kapitalmarkt in Abhängigkeit vom Beobachtungszeitraum simuliert. Darauf auf-bauend kann eine Einschätzung des Konzeptes der angebotsseitigen Marktrisikoprämie für den deutschen Kapitalmarkt erfolgen. Darüber hinaus ergeben sich neue Erkenntnisse zur Stabilität historischer Marktrisikoprämien am deutschen Kapitalmarkt.
Schätzung betrieblicher Kostenfunktionen mit künstlichen neuronalen Netzen
(2015) Simen, Jan-Philipp; Troßmann, Ernst
In this thesis a concept for estimating cost relationships with artificial neural networks is developed. The resulting open-source software application Cenobi (http://sourceforge.net/projects/cenobi/) is able to assess the impact of cost drivers on activity cost, plot non-linear cost functions, do forecasting and budgeting, calculate incremental cost, do unit costing, job costing etc., calculate cost driver rates and analyse cost variances. An object-oriented implementation of neural networks optimized by genetic algorithms provides the basis for these calculations.
Unternehmens- und Anteilsbewertung für die Erbschaft- und Schenkungsteuer in den USA : die Wertkategorie: „Fair Market Value“
(2015) Ruthardt, Frederik; Hachmeister, Dirk
Die Bestimmung einer normzweckadäquaten Wertindikation für Zwecke der Erbschaft- und Schenkungsteuer wird in Deutschland aktuell insbesondere für Anteile an KMU diskutiert. Eine umfangreiche Auseinandersetzung der Rechtsprechung mit dem Thema der steuerrechtlich induzierten Unternehmens- und/oder Anteilsbewertung findet sich auch in den USA. Dieser Beitrag erweitert die hiesige Diskussion zur Unternehmensbewertung für die Erbschaft- und Schenkungsteuer um eine internationale Perspektive. Thematisiert werden die Wertkategorie des “Fair Market Value“ und die daraus resultierenden Konsequenzen bzw. die in den USA zu beobachtende praktische Umsetzung der Unternehmens- und Anteilsbewertung zum Zweck der Erbschaft- und Schenkungsteuer; erkennbare Unterschiede zum gemeinen Wert/BewG werden herausgearbeitet.
Die Integration der Marktperspektive in der Steuerung von Problemkrediten
(2015) Englert, Jan Patrick; Burghof, Hans-Peter
The treatment of non-performing loans by banks will remain relevant for the foreseeable future given the recurring nature of bad loan cycles. These cycles differ in their origins as they are triggered by different industries, different countries or a variety of economic contexts. Examples include the bursting of the dotcom bubble and the real estate bubble or the financial crisis in 2008. Likewise, political instability (Russia-Ukraine conflict, financial sanctions), ever-shorter and more volatile economic cycles, cross-border and cross-industry interdependencies, or crises and scandals can cause micro- and macroeconomic uncertainty with the accompanying risk of contagion to the real economy, the financial markets and thereby the credit markets. Almost ten years after the emergence of the financial crisis, European financial institutions are still under pressure, facing high levels of problem- and non-strategic loans. German banks are no exception in having to face these challenges too. Since bank lending still accounts for a dominant share of the market for corporate financing, portfolio steering and credit risk management were, for many years, limited in scope to banks’ internal processes only. An interaction between internal loan processes and capital markets was not foreseen. This has been fundamentally transformed with the emergence of functioning secondary markets for non- and sub-performing loans. These challenges are compelling European banks to address problem loan situations and the efficiency of their loan management processes, something that can only be accomplished through a clean-up of loan portfolios and the institutionalization of professional loan management practices along the entire value chain for problem loans. This requires a re-alignment of the traditional lending business and an anchoring of market-oriented problem loan management within banks’ credit processes. Accordingly, this research paper is based on the hypothesis that the sustainable management of problem loans is impossible without close interaction with capital markets, requiring a reorientation of the traditional lending business to deal with the bad loan business as a core business, even though precisely the opposite is the case.
The role of traditional exchanges in fragmented markets : an empirical analysis post MIFID
(2015) Spankowski, Ulli; Burghof, Hans-Peter
The Markets in Financial Instruments Directive (MiFID) has changed regulated European equity trading significantly after its introduction in November 2007. This dissertation analyses the impact of MiFID on trading intensity and market quality from an intraday and interday perspective by investigating the British equity market. A second focus of this work is the analysis of the influence of high frequency traders in a fragmented market environment. In this context, this dissertation addresses the behavior of market participants and their influence on market quality during particular market scenarios in a fragmented market environment.
Die Marktrisikoprämie des DAX nach dem Dividenden- und Gewinnwachstumsmodell von Fama/French (2002)
(2016) Hachmeister, Dirk; Puchstein, Kerstin; Seidler, Patrick
Die Marktrisikoprämie ist eine der wichtigsten Kennzahlen in der Finanzwissenschaft, da sie elementarer Bestandteil der Kapitalkostenberechnung nach dem CAPM-Modell ist. Allerdings ist die Höhe der Marktrisikoprämie auch ein Politikum, da diese am Markt nicht direkt beobachtbar ist und lediglich auf Basis verschiedener Verfahren und Zeitreihen geschätzt werden kann. Die nicht nur in der deutschen Bewertungspraxis beliebte historische Methode hat dabei den Nachteil, dass sie maßgeblich von der Wahl des zugrundeliegenden Beobachtungszeitraums und zudem von den hohen Kurssteigerungen der letzten 30 Jahre bestimmt werden. Als mögliche Alternative wird im Folgenden ein Ansatz von Fama und French auf den DAX übertragen, bei dem die Marktrisikoprämie mithilfe fundamentaler Unternehmensdaten geschätzt wird. Das Dividenden- und das Gewinnwachstumsmodell nach Fama und French schätzt die erwartete Marktrisikoprämie auf Basis der historisch beobachteten Dividendenrendite sowie des Dividenden- bzw. Gewinnwachstums der einzelnen im Marktindex erfassten Unternehmen.
Kapitalkosten in der Regulierung : Identifizierung und Begrenzung von Freiräumen bei der Bestimmung durch Netzbetreiber und Regulierungsbehörde
(2016) Romer, Andrea; Hachmeister, Dirk
The cost of Capital is an important part of the Network Charge.
Essays in relationship banking : the efficiency of savings-linked relationship lending and credit information sharing
(2017) Kirsch, Steffen; Burghof, Hans-Peter
The first part of my thesis concerns credit information production of lenders. In a multi-period partial equilibrium model of lending to private households I compare arm’s-length lending with relationship lending that is based on information production about borrowers in preceding saving relationships. These are often the only source of private information that lenders possess about loan demanding households. The model shows that savings-linked relationship lending leads to a Pareto improvement or an increasing allocative efficiency of the financing market compared to arm’s-length lending in markets of low time preference or low average borrower quality. In these markets, savings-linked relationship lending can overcome financing market failure due to adverse selection, especially for financing volumes that are large in comparison to households’ periodic savings or incomes. Thus, the model shows that savings-linked relationship lending is particularly well suited and economically beneficial for housing finance of private households and is able to increase home ownership rates. Competitive savings-linked relationship lending, as derived in the model, shares major characteristics with contractual saving for housing which is a widespread and important product of housing finance in Continental Europe. My model therefore provides, to my knowledge, the first theoretical relationship lending explanation for contractual saving for housing. Further, my results add a novel economic explanation for synergies between the two main activities of traditional commercial banking, deposit-taking and lending. The second part of my thesis concerns credit information sharing between lenders. Credit information sharing between lenders can have a disciplinary effect on borrowers because defaulting with one lender ruins the reputation with every other lender (Vercammen, 1995; Padilla and Pagano, 2000). This reputation effect, however, diminishes and finally disappears the more comprehensive credit registries become. I show in a multi-period model of repeated lending that credit information sharing can induce borrower discipline beyond “passive” reputation effects if banks apply classical disciplining, that is, if failure to pay inevitably provokes consequences. I find that such disciplining can Pareto improve the efficiency of the financing market and reduce defaults by overcoming market failure and mitigating underinvestment in projects and in effort, even for comprehensive and unrestricted credit information sharing. I further show that disciplining borrowers by pro rata rationing credit after default is more promising than tightening credit rates. Hence, my model provides a rare case of efficient equilibrium credit rationing: disciplining by credit rationing enhances the efficiency of the market while constituting aggregate equilibrium credit rationing in the sense of Stiglitz and Weiss (1981). Contrary to the previous literature that suggests to restrict and randomize credit reporting in order to prevent diminishing reputation effects, the policy implications following from my work are, first, to rather restrict access to credit registries than their content and, second, to enhance transparency of information sharing.
On the determinants of speculation - a case for extended disclosures in corporate risk management
(2017) Hecht, Andreas
We examine the determinants of corporate speculation and challenge the extant, conflicting evidence. Separating risk management (reducing currency-specific FX exposure) from speculation (increasing or holding currency-specific FX exposure constant), we provide unprecedented evidence that speculators are smaller, have more growth opportunities and possess lower internal resources than risk-managing firms. The refined granularity of our dataset stems from a unique regulatory environment, where a regulating authority recommends additional disclosures for FX risk management in excess of governing accounting standards. Our findings enable investors, henceforth, to identify speculation from public available sources, where our results substantiate the significance of such an extended reporting. Thus, this case of optional disclosures might serve as blueprint for further regulatory refinements in other settings.

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