Suchergebnisse

We analyze the role of different kinds of primary and secondary market interventions for the government's goal to maximize its revenues from public bond issuances. Some of these interventions can be thought of as characteristics of a "primary dealer system". After all, we see that a primary dealer system with a restricted number of participants may be useful in case of only restricted competition among sufficiently heterogeneous market makers. We further show that minimum secondary market turnover requirements for primary dealers with respect to bond sales seem to be in general more adequate than the definition of maximum bid-ask-spreads or minimum turnover requirements with respect to bond purchases. Moreover, official price management operations are not able to completely substitute for a system of primary dealers. Finally it should be noted that there is in general no reason for monetary compensations to primary dealers since they already possess some privileges with respect to public bond auction.

We analyze the role of different kinds of primary and secondary market interventions for the government's goal to maximize its revenues from public bond issuances. Some of these interventions can be thought of as characteristics of a "primary dealer system". After all, we see that a primary dealer system with a restricted number of participants may be useful in case of only restricted competition among sufficiently heterogeneous market makers. We further show that minimum secondary market turnover requirements for primary dealers with respect to bond sales seem to be in general more adequate than the definition of maximum bid-ask-spreads or minimum turnover requirements with respect to bond purchases. Moreover, official price management operations are not able to completely substitute for a system of primary dealers. Finally it should be noted that there is in general no reason for monetary compensations to primary dealers since they already possess some privileges with respect to public bond auction.

We analyze the role of different kinds of primary and secondary market interventions for the government's goal to maximize its revenues from public bond issuances. Some of these interventions can be thought of as characteristics of a primary dealer system. After all, we see that a primary dealer system with a restricted number of participants may be useful in case of only restricted competition among sufficiently heterogeneous market makers. We further show that minimum secondary market turnover requirements for primary dealers with respect to bond sales seem to be in general more adequate than the definition of maximum bid-ask-spreads or minimum turnover requirements with respect to bond purchases. Moreover, official price management operations are not able to completely substitute for a system of primary dealers. Finally it should be noted that there is in general no reason for monetary compensations to primary dealers since they already possess some privileges with respect to public bond auction.

AbstractEquity rights offerings are the predominant SEO flotation method in many European and Asian countries. Several previous studies focus on rights offerings, but these studies often measure solely the announcement effects of these offerings and pay little attention to the discount. This study seeks to close this gap, explain the discounts on such rights offerings, and determine the drivers of offering discounts with a focus on cultural effects regarding the level of uncertainty avoidance. Based on the existing literature, we develop several hypotheses and find supporting evidence for these hypotheses in our data. Our main finding is that the most important factors for explaining the discount on an equity rights offer are the level of uncertainty avoidance, the quality of a firm, and the level of uncertainty about firm value.

AbstractThis study investigates the perceived and actual trustworthiness of female managers when using rhetoric to advertise their trustworthiness in public disclosure documents. We find that the stock market reacts more favorably to trust rhetoric if the document has been prepared under the responsibility of a female CEO rather than a male CEO. We rule out that this result could be driven by female and male CEOs talking about trust in different contexts. However, inconsistently with the notion that the trust rhetoric of women managers is more truthful than that of their male counterparts, trust rhetoric does not relate to less extensive earnings manipulation if such rhetoric stems from female CEOs compared to male CEOs. Our results thus do not confirm the popular view that higher female trustworthiness explains gender differences in accounting behavior.

AbstractWe empirically compared the consistency among different kinds of measures for risk‐taking and patience in a survey and an experiment. We evaluated how these variables relate to financial decisions, using a novel set of easy‐to‐apply survey questions as proxy. The main finding is that our results based on the novel survey questions describing financial behavior and on lifelike financial behavior in the laboratory are very similar. Therefore, relatively low‐cost elicitation measures may be used to forecast decision making, which, in turn, may be described by our novel set of survey questions.

AbstractBased on a large international sample, we show how the decision‐making power of CEOs in conjunction with prevailing institutional discretion relates to corporate resources allocated toward CSR strategy. First, especially with greater institutional discretion, powerful CEOs pursue exaggerated CSR strategies aiming at reputational gains for their private benefit, while not necessarily bearing the costs of their decisions. Second, such CEO‐induced CSR enhancements turn out to be defective CSR overinvestment, ultimately entailing a decrease in firm value. By complementing organizational factors with institutional characteristics, we refute previous contradicting empirical evidence regarding a significant CEO effect and show a conditional relation between CEO power and CSR choice. Our results are robust to alternative sample compositions, different variable definitions, and various methodological specifications.

AbstractWe present and expand existing theories about why individuals may assess positive outcomes differently from negative outcomes in intertemporal choices. All of our theories—based on utility or cost considerations – predict a conventional magnitude effect for positive outcomes, that is, a negative relation between outcome size and subjective discount rates. For negative outcomes, however, implications are different for utility‐ and cost‐based approaches. We argue that the relevance of utility‐based aspects is strengthened in a money frame, leading to a conventional magnitude effect even for negative outcomes, whereas cost‐based considerations gain in importance in an interest rate frame, implying, in contrast, a "reverse" magnitude effect, that is, higher discount rates for (absolutely) higher outcome size. A web‐based experiment with 676 participants confirms our theoretical findings: the conventional magnitude effect prevails for positive outcomes in the money and the interest rate frame and negative outcomes in the money frame. However, there is a reverse magnitude effect for negative outcomes in the interest rate frame. Our results might help to better understand prevailing magnitude effects in practical applications and might also be apt to derive suggestions for better designing of intertemporal decision problems.

AbstractDifferent industries exhibit significantly different leverage; companies in the real estate investment trust (REIT) and technology/hardware sectors are extreme examples. In the United States, the leverage ratio is twice as high for REITs (50%) as compared to non‐real‐estate firms (around 25%), and the technology/hardware sector has the lowest ratio (around 17%). We theoretically and empirically analyze their differences. By decomposing the difference into three channels, we find that the industry‐specific channel explains around 67% for REITs and 68% for technology/hardware firms; the value‐based channel is mostly responsible for the remaining portion. Taking the nonlinear influences of extreme values into account, the relevance of the industry‐specific channel is considerably reduced.

"We show analytically under quite general conditions that implied rates of return based on
analysts' earnings forecasts are only a downward biased estimator for future expected one-period
returns and therefore not suited for computing market risk premia. The extent of this bias is substantial
as verified by a bootstrap approach. We present an alternative estimation equation for future expected
one-period returns based on current and past implied rates of return that is superior to simple estimators
based on historical returns. The reason for this superiority is a lower variance of estimation results
and not the circumvention of the discount rate effect typically stated as a major problem of estimators
based on historical return realizations. The superiority of this new approach for portfolio selection purposes
is verified numerically for our bootstrap environment and empirically for real capital market data." [author's abstract]

"'Coherent' measures of a bank's whole risk capital imply a structure of a bank's optimal credit portfolio that is independent of its deposits and the expected deposit rate, of expected bankruptcy costs and of expected costs of regulatory capital." (author's abstract)

"We consider investors with mean-variance-skewness preferences who aim at selecting one
out of F different funds and combining it optimally with the riskless asset and direct stock holdings.
Direct stock holdings are either exogenously or endogenously determined. In our theoretical section,
we derive and discuss several performance measures for the investor's decision problems with a central
role of Kimball's (1990) prudence and of several variants of Sharpe and Treynor measures. In our
empirical section, we show that the distinction between exogenous and endogenous stock holding is
less important than the issue of skewness preferences. The latter are most relevant for fund rankings,
when an investor's skewness preferences are not derived from cubic HARA utility so that the two-fund
separation theorem is not valid." [author's abstract]

"Performancemaße werden von Investoren insbesondere als Mittel zur Selektion von Investmentfonds im Rahmen von Ex-ante-Optimierungen verwandt. Unglücklicherweise existieren verschiedene Performancemaße für unterschiedliche Entscheidungsprobleme. Da ein Anleger im Unklaren darüber sein mag, welches Entscheidungsproblem am besten seine persönliche Situation beschreibt, drängt sich die Frage auf, in welchem Ausmaß Fondsrankings auf einen Wechsel des Performancemaßes reagieren. Präziser formuliert, wird ein Investor mit μ-σ-Präferenzen betrachtet, der versucht, den besten Fonds f* aus einer Menge von F zur Auswahl stehenden zu bestimmen und diesen in optimaler Weise mit dem direkten Halten eines breit diversifizierten (Referenz-) Portfolios P aus Aktien sowie risikoloser Anlage bzw. Verschuldung zu kombinieren. Aus Sicht eines Investors, der gerade beginnt, seine Mittel in riskanten Aktiva anzulegen, können alle Anteile der verschiedenen Aktivaklassen an seinem Gesamtvermögen als variabel aufgefasst werden, während auch Anleger mit bereits vor Fondsselektion gegebenem positiven Aktienengagement existieren mögen, das nicht ohne weiteres geändert werden kann oder soll. Für beide Situationen wurden geeignete Performancemaße vorgeschlagen, und zwar von Breuer/Gürtler (1999, 2000) und Scholz/Wilkens (2003). Mögliche Unterschiede in den jeweiligen Fondsreihungen für die beiden genannten Entscheidungssituationen werden theoretisch wie empirisch untersucht. Während sich nur lockere theoretische Zusammenhänge belegen lassen, weist der empirische Befund auf tatsächlich fast identische Reihungen hin. Als Konsequenz hieraus müssen sich potentielle Anleger nicht allzu viele Gedanken darüber machen, ob ihre Situation besser durch ein fixes oder ein variables Aktienengagement beschrieben wird. Ferner führen traditionelle Performancemaße wie die Sharpe Ratio oder die Treynor Ratio in beiden Entscheidungssituationen zu akzeptablen Reihungen." (Autorenreferat)