Institut für Financial Management

Permanent URI for this collectionhttps://hohpublica.uni-hohenheim.de/handle/123456789/23

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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.
Cashflow Hedge Accounting bei Fremdwährungssicherungen: Inwieweit erreicht das IASB die Zielsetzung das ökonomische Risikomanagement mit IFRS 9 besser abzubilden? : Ausgewählte Fragestellungen und Analyse der Offenlegungspflichten gemäß IFRS 7 deutscher börsennotierter Industrieunternehmen
(2024) Ritz, Meryem; Hachmeister, Dirk
Diese Dissertation untersucht, ob IFRS 9 das ökonomische Risikomanagement, insbesondere das Cashflow Hedge Accounting für Fremdwährungsrisiken, verbessert. Anhand von drei Praxisfällen, einer Analyse der Geschäftsberichte deutscher DAX-Unternehmen (2019–2021) und Experteninterviews wird bewertet, ob IFRS 9 die Bilanzierung vereinfacht und nützlichere Informationen gemäß IFRS 7 liefert. Die Ergebnisse zeigen, dass IFRS 9 eine genauere Abbildung von Sicherungsbeziehungen ermöglicht und die Bilanzierungspraxis im Vergleich zu IAS 39 verbessert. Herausforderungen bestehen jedoch weiterhin in der Komplexität der Anwendung, insbesondere im langfristigen Projektgeschäft und bei den Offenlegungspflichten gemäß IFRS 7. Eine Umfrage unter deutschen Treasury-Experten bestätigt, dass IFRS 9 das Risikomanagement besser darstellt, das Hedging-Verhalten jedoch nur gering beeinflusst. Insgesamt erreicht IFRS 9 eine bessere Übereinstimmung zwischen Risikomanagement und Bilanzierung, jedoch bleiben Vereinfachungen bei den Offenlegungspflichten notwendig.
Corporate cash holdings – new empirical evidence in the context of uncertainty, monetary policy, technology intensity and credit ratings
(2024) Duran-Rickenberg, Duygu; Hachmeister, Dirk
In search of understanding the drivers behind corporate cash holdings, plenty of research has been conducted around the determinants of cash holdings leading to somewhat differing, non-exclusive explanations of holding cash. Our thesis focuses on two facts, namely the significant increase of corporate cash holdings and the close relatedness of cash hoardings to a firm’s financing choices. Both facts contributed to the impressive increase in academic attention towards U.S. corporate cash holdings in the last decade, especially after the financial crisis. Despite several approaches to explain the puzzle around elevated cash holdings, the literature is still unable to explain the increase in cash holdings completely. Therefore, in three empirical papers we closely investigate into the determinants of cash holdings and its closely related measure of refinancing risk, proxied as debt maturity, in the context of macroeconomics in search of further determining factors to find additional puzzle pieces that explain cash holdings to a fuller extent. In chapter 1 we give a short introduction and problem statement around these puzzling high levels of cash holdings at non-financial U.S. corporates with a guidance through the empirical analyses done in chapters 2 to 4. In chapter 2 we receive further insights into the puzzling increase of cash holdings over the last decades employing U.S. data for non-financial firms for the period 1980 to 2019 and post financial crisis 2009 to 2019 and using a simultaneous equation model of cash, keeping debt maturity as proxy for refinancing risk endogenous, and incorporating monetary supply and economic policy uncertainty into the model. We find that refinancing risk, and economic policy uncertainty impact cash holdings positively in the full sample, whereas an increase in money supply has a negative effect on cash holdings. The refinancing risk effect on cash holdings becomes more pronounced post financial period and our data imply that monetary supply after the financial crisis has an overarching effect over uncertainty, rendering the impact of uncertainty insignificant. In chapter 3, using an updated OECD technology taxonomy proposal based on ISIC Rev. 4 for the period 1980 to 2019 and post financial crisis 2009 to 2019 for U.S. non-financial firms, we cluster our firm data into high, medium-high, medium, medium-low and low technology. By including technology dummies into the simultaneous equation model of cash, keeping debt maturity as proxy for refinancing risk endogenous, we receive further insights into the recent drivers of high cash levels in the U.S. We find that high tech firms drive cash holdings dramatically and that they come with higher refinancing risk. Due to a shift in our data towards higher technology over the years this effect of high tech becomes more prominent. Post financial crisis, being a high tech firm has an even more pronounced effect on cash holdings. We find that higher tech firms operate in a different way than lower tech firms with regards to their capital structure choices. Compared to lower tech, higher tech firms have less total debt and tend to have short-term debt if they hold debt at all. In chapter 4, using U.S. data for non-financial firms as well as S&P long-term issuer rating data for the period 1985 to 2016, we receive further insights into the determinants of cash holdings by including rating grade or availability of it into our cash model. We use a simultaneous equation model of cash, keeping debt maturity as proxy for refinancing risk endogenous, and incorporating monetary supply and economic policy uncertainty into the model. We find that rated and unrated firms differ in firm characteristics. Rated firms tend to be older, larger, more profitable, have more leverage ratio and debt that matures in more than five years. The differences in firm characteristics between rated and unrated firms in turn affect the magnitude and significance of cash determinants. Additionally, we find that higher tech firms are underrepresented among rated firms and if they do have a rating, they belong to the investment grade group. We conclude that unrated, higher technology firms are the major drivers of high cash holdings, although we find that having a credit rating increases firm cash holdings ceteris paribus. In chapter 5 we conclude by summarizing our findings and contributions to research.
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.
Corporate risk management : new empirical evidence from foreign exchange and interest rate risk
(2019) Hecht, Andreas; Hachmeister, Dirk
Contemporary corporate risk management with its diverse facets and categories commonly involves the usage of derivative instruments. Most of the relevant empirical literature originates from commodity risk management, even though the most important risk categories in terms of derivative usage are foreign exchange (FX) and interest rate (IR) risk. Empirical evidence in these areas is rare and often relies on alternative indicators of derivative usage due to a limited availability of adequate data. We close this gap in the literature and introduce two innovative and hand-collected datasets – one for FX and one for IR risk – from the unexplored regulatory environment in France. Based on an unprecedented data granularity with advanced exposure and derivative usage information, we examine the preeminent topics on the relevance and the determinants (together with the identification) of speculative activities in corporate FX and IR risk management in three empirical papers. Chapter 2 “How do Firms Manage Their Foreign Exchange Exposure?” concentrates on how firms use derivative transactions to handle their FX risk. Regarding the composition of FX exposure, we find the exposure before hedging to be predominantly long, i.e., driven by FX-receivables and forecasted FX-sales, which is on average [median] hedged to about 90 [49] percent with mostly short derivative instruments. Regarding the relevance of speculative elements, we evaluate whether firms decrease, increase or keep their FX exposure stable with derivative instruments and find that about 61 percent of the taken currency positions can be classified as risk-decreasing and about 39 percent as risk-increasing/risk-constant. Instead of solely evaluating the number of occurrences, we further relate the exposure before hedging per currency position to overall firm exposure and find that approximately 80 percent of total FX exposure are managed using risk-decreasing strategies and 20 percent of total firm exposure are managed using risk-increasing/-constant strategies. We further address the documented impact of prior outcomes on hedging decisions with the informational advantage of our FX dataset. We use regression analyses to find supportive evidence that in response to benchmark losses, management hedges significantly more of its exposure and adjusts the hedge ratio closer to its benchmark. In addition, we analyze whether the impact of prior hedging outcomes is subject to the choice of risk-decreasing vs. risk-increasing strategies. With our finding that previous benchmark losses are only considered in risk-increasing strategies, where the exposure is again decreased following prior benchmark losses, but not in risk-decreasing strategies, we complement the growing literature on the relevance of prior hedging outcomes. In chapter 3 “Identifying Corporate Speculation Reading Public Disclosures – Why Firms Increase Risk“, we first examine whether the advanced disclosures in FX risk management of our dataset enable the identification of speculation reading openly available corporate publications. For the first time, the detailed information on FX exposures before and after hedging with corresponding hedged amounts allows for the calculation of firm-, currency-, and year-specific hedge ratios to quantitatively identify speculation as activity that increases or keeps currency-specific FX exposure constant reading public corporate disclosures. Further, we examine the determining factors of speculative activities and find through regression analyses that frequent speculators are smaller, possess more growth opportunities and have lower internal resources. While several theories for speculative behavior have been tested empirically several times, our findings indicate unprecedented empirical evidence for the convexity theories in an FX environment. Chapter 4 “How Do Firms Manage Their Interest Rate Exposure?” is dedicated to corporate interest rate risk management and how firms manage the IR risk with the differing subcategories of cash flow and fair value risk. Similar to FX risk, we evaluate the relevance and determinants of speculation in IR risk management. We observe that speculative elements are more pronounced in IR compared to FX risk management when finding that 63 percent of IR firm exposure are managed using risk-decreasing strategies, whereas 37 percent are managed using risk-increasing/-constant strategies. Contrary to the results in the FX setting, we observe frequent IR-speculators to have less growth opportunities and higher short- and long-term liquidity. We finally combine the FX and IR dataset to examine potential interactions. We find that firms seem to specialize in either FX or IR speculation and that the exposure of frequent speculators is significantly smaller for both risk categories.
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.
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.
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.
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.

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