Francke, Hans-Hermann
Kapitalmarkt- versus Bankenfinanzierung - Falsche Antworten auf das deutsche Dilemma
Morawski, Jaroslaw and Rehkugler, Heinz
Anwendung von Downside-RisikomaÃen auf dem deutschen Wohnungsmarkt
Kleidt, Benjamin and Mayer-Friedrich, Matija D. and Schiereck, Dirk
Verfügbarkeitsheuristiken, Kompetenzeffekte und Renditeerwartungen von Rüstungsaktien während des Irak-Kriegs
Vondra, Klaus and Weiser, Harald
Die Diskussion um Prozyklizität versus Risikosensitivität im Basler Konsultationsprozess
Behr, Andreas
Firm Size Matters - An Analysis of Size Effects on Investment Using Firm-level Panel Data
Heinke, Volker G.
Determinanten des Underwriting Spread bei internationalen Anleiheemissionen
Scholand, Markus
Tripple Bottom Line Investing and Behavioral Finance. Investorenverhalten als Determinante der Entwicklung nachhaltiger Anlageprodukte
(Henry Schäfer)
Burkhardt, Thomas and Körnert, Jan and Walther, Ursula (Hrsg.)
Banken, Finanzierung und Unternehmensführung. Festschrift für Karl Lohmann
(Michael Olbrich)
Morawski, Jaroslaw and Rehkugler, Heinz
âApplication of Downside Risk Measures on the German Residential Real Estate Marketâ
Investment risk measurement is inevitable for efficient allocation of capital, yet the choice of the appropriate risk measure turns out to be problematic. This paper discusses the possible advantages of application of downside risk measures on direct real estate investments. These considerations are caused by the stated non-normality of real estate returns. An empirical study on the German residential property market yields that using downside risk measures can be advantageous for real estate investors; however, the differences to the traditional volatility approach are smaller than expected.
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Kleidt, Benjamin and Mayer-Friedrich, Matija D. and Schiereck, Dirk
âHeuristic Approaches to Availability, Competence Effects and Return Expectations in Respect of Defence-Industry Shares during the Iraqi Warâ
Overall, the structures of private-investor depots show substantial diversification deficits so that - within the meaning of the portfolio theory - exclusively inefficient risk/ return combinations have been realized. Whilst - for purposes of international diversification - such deficits have been referred to as âhome biasâ and been rather intensively analysed already, the knowledge of the kind of domestic shares included in private-investor portfolios and of the reasons pertaining to the choice of such shares has been rather poor so far. The thesis that âfamiliarity breeds investmentâ is known from the field of behavioural finance. This thesis suggests that investors mainly choose shares for which information is readily available to them and/or shares of companies domiciled in the regions in which they live.
This explanation may seem to be intuitively plausible, but it fails to show any connection with the portfolio theory. This is the point where our analysis starts, arguing that availability of information results in a stronger competence feeling and that the so perceived competence translates into systematically distorted estimations of the yield spread parameters of shares. The present analysis examines this competence effect for German and US defence-industry shares. In December 2000 and March 2003 private investors and young officers of the German armed forces (Bundeswehr) were asked about their individual return expectations for such shares.
The main results of this study are that the reasons derived from behavioural finance to explain the competence effect are relevant in various respects also in this case. However, it has turned out that officers familiar with defence goods do not feel to be more competent for evaluating defence-industry shares.
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Vondra, Klaus and Weiser, Harald
âThe Discussion about Procyclicality versus Risk Sensitivity in the Basle II Consultation Process - An Empirical Estimation of the Asset Return Correlation and the Default Probability for Austriaâ
This article throws some light on the development of the basic calculation formulas governing campaniesâ own-capital requirements within the framework of the Basle II consultation process. Although the Basle Committee makes reference to theoretical models for calculating the required own capital resources, these models no longer conform to the theoretical basis owing to various formula modifications. Based on a maximum likelihood estimation for Austria, we have reached the unambiguous conclusion that the Basle Committee must have decided upon the calculation formulas by the primary objective of an average 8 % in terms of own capital resources as distinct from theoretico-empirical requirements. This gives again rise to questions about the driving forces at the base of the current calculation method.
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Behr, Andreas
âFirm Size Matters - An Analysis of Size Effects on Investment Using Firm-level Panel Dataâ
We analyse the effect of firm size on the investment behaviour of German firms within the framework of the Q-theory. Our database contains 2,314 firms covering the time period 1987 to 1998. Descriptive evidence shows small firms to reveal the highest investment ratios. Estimating dynamic Q-investment functions we find very strong negative effects of firm size on investment. The strong negative effect is prevailing even within subgroups of firms based on sector and size. The evidence on the role of cash flow is week. Especially small firms seem unaffected by cash flow, after controlling for investment opportunities via Q. (JEL E22, G32, L 00)
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Heinke, Volker G.
âDeterminants of the Underwriting Spread with International Loan Issuesâ
This is the first article to provide an empirical analysis of the factors influencing the underwriting spread of lead banks in international loan floatings. The underwriting spread represents compensation to investment banks for a variety of services provided and the risks taken over by them. Empirically analysing the determinants of this essential component of issuing costs arising to companies has been neglected for the German segment of the Euro market so far. On the basis of univariate analyses and multiple regressions the various hypothetical factors influencing the underwriting spread have been tested. The results thereof show that loans with a low credit rating, with prolonged lifetimes and larger issue volumes give rise to a wider underwriting spread. On the other hand, this spread tends to contract as issuers record a higher frequency of loan issues and the number of issuing banks involved in consortia rises. Loans floated by German issuers have a significant cost advantage in the international primary market.
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