Gehrig, Thomas P.
Stabilität versus Innovationsfähigkeit: Zur Rolle des Finanzsystems
Belke, Ansgar and Polleit, Thorsten
(How) Do Stock Market Returns React to Monetary Policy? An ARDL Cointegration Analysis for Germany
Läufer, Nikolaus K. A.
Gibt es aus portfoliotheoretischer Sicht eine Liquiditätsfalle?
Betzer, André
Why Private Equity Investors Buy Dear or Cheap in European Leveraged Buyout Transactions
Eling, Martin and Schuhmacher, Frank
Hat die Wahl des PerformancemaÃes einen Einfluss auf die Beurteilung von Hedgefonds-Indizes?
Bruinshoofd, W. Allard
Corporate Investment and Financing Constraints: Connections with Cash Management
Rehm, Hannes and Tholen, Michael
Management der öffentlichen Schuld â Befund, Probleme, Perspektiven
(Alexander Eschbach)
Frömmel, Michael
Langfristige Trends der Wechselkursvolatilität unter alternativen Währungsregimes
(Christian Bauer)
Belke, Ansgar and Polleit, Thorsten
(How) Do Stock Market Returns React to Monetary Policy? An ARDL Cointegration Analysis for Germany
Is a central bank able to influence stock market returns? In order to answer this question, we test for cointegration between stock market returns and central bank interest rates in Germany for the period 1997-2003. Problems related to spurious regression could arise from the mixed order of integration of the series used, from reverse causation between the variables and from the lack of a long run relationship among the variables of the model. We address these problems by applying the bounds testing approach and autoregressive distributed lag models developed by Pesaran and others. The empirical results are also compared with those obtained from a more standard econometric approach, the Johansen procedure. Seen on the whole, we cannot empirically reject the view that the Bundesbank â and then the ECB â have had a significant short- and long-run impact on stock market returns. We conclude that short-term rates drive stock market returns but not vice versa. But the results are confined to a single stock market return measure, namely dividend growth. (JEL C22, E52, G 12)
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Läufer, Nikolaus K. A.
Does a Liquidity Trap Exist from the Point of View of Portfolio Theory?
In macroenconomics, liquidity traps are assumed to exist without microfoundations, and the Japanese crisis has made liquidity traps a subject for discussion again. For this reason, the article discusses for two types of assets (money and securities) the issue of whether liquidity traps exist from the point of view of portfolio theory within the framework of a classical mean-variance approach. A stochastically inflationary investment environment and an investment behaviour without money illusion is assumed. The result is negative insofar as liquidity traps can be precluded as long as the expected difference between the rates of return on the two asset types is positive in favour of securities. Liquidity traps can also be precluded as long as the risk pertaining to the rate-of-return differential plays a negative role, i.e. as long as the risk is above zero while risk aversion holds. For a liquidity trap to exist, it is necessary that there either is no risk at all (standard deviation of zero of the rate-of-return differential) or that investors show no risk aversion. A non-positive (i.e. a negative or a zero) nominal rate of return on fixed-interest securities would be necessary and sufficient to permit the existence of a liquidity trap in an environment of risk aversion, of a secure rate-of-return differential as well as of a secure zero nominal rate of interest on the money asset. Against the background of a zero expected capital-value change, customary in macroeconomics, this means that a liquidity trap is only possible where the nominal rate of interest is either zero or negative.
The constellation referred to as liquidity trap in the macroeconomic literature (flat curve of the money demand function and positive nominal interest rate above zero) implies from a portfolio theory point of view that there is no liquidity trap, but a security trap.
If the literature on macroeconomic theory continues to maintain the notion that a liquidity trap may occur when interest rates are positive, it will be necessary to admit capital-value changes and to abandon the assumption that interest rates represent opportunity costs of money holding at the same time. The very moment capital value changes are admitted, it is logically unavoidable to abandon such an assumption. From a portfolio-theory point of view, macroeconomic theory is therefore confronted with the need either to undergo change or to continue to contradict itself as well as to remain in opposition to portfolio theory.
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Betzer, André
Why Private Equity Investors Buy Dear or Cheap in European Leveraged Buyout Transactions
In this study the reasons why Private Equity-Firms take European companies private via leveraged buyout are examined. The data set comprises 73 LBOs from 1997 to 2002 in Europe. Findings from the multivariate regression strongly indicate that acquires mainly look for target firms that experienced a poorly performing share price before the announcement of the acquisition. Furthermore, PE-.Firms pay significantly more for companies with a scattered shareholding structure and a therefore weak monitoring of the management. Premiums in the UK, where the common law is applied are significantly higher that in Continental Europe where civil law prevails. These findings are new in the context of the Leveraged Buyout literature and therefore broaden the empirical evidence found in the American markets of the 1980s. (JEL G34)
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Eling, Martin and Schuhmacher, Frank
Does the Choice of Performance Measure Influence the Evaluation of Hedge Fonds Indices?
A central issue in the academic debate concerning hedge fonds is how the performance of such funds should be measured. As hedge funds frequently generate returns that have a non-normal distribution, it is commonly believed that these funds cannot be adequately evaluated using the classic Sharpe ratio. Instead, what is recommended is the use of newer performance measures that show the risk of loss. In our empirical study of hedge fund indices, we compare the Sharpe ratio with newer approaches to measure hedge fund performance. Although the returns of the hedge fund indices derivate significant from a normal distribution, the various hedge fund strategies are ranked largely identical. We thus conclude that the choice of performance measure has no critical influence on the evaluation of hedge fund indices.
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Bruinshoofd, W. Allard
Corporate Investments and Financing Constraints: Connections with Cash Management
This paper surveys the use and usefulness of the investment-cash flow sensitivity in the broad literature on financing constraints in corporate investment. Building on the intense and ongoing debate on this subject matter, it explores directions for further research. Specific attention is paid to connections between corporate investment and cash management. Contemporary research on corporate cash management provides promising footholds to determine more sharply the instances where firms lack the internal means to initiate investment projects. The paper subsequently draws the outlines of a methodology to empirically assess more clearly the role of cash management in financially constrained investment and the informational content of the investment-cash flow sensitivity therein. (JEL E41, G31, G32)
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