Suchergebnisse

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)

"The requirement of positive marginal utility only makes it possible to derive a restricted twofund separation theorem for portfolio selection problems replacing the original separation theorem of Cass and Stiglitz (1970). We use our findings for a re-examination of the bias-in-beta problem in mutual funds performance evaluation and of the relevance of the standard CAPM without borrowing restrictions. We also present empirical evidence for the only limited validity of the separation theorem when explicitly recognizing positive marginal utility. Moreover, quadratic utility functions are not apt to approximate the admissible range of risk preferences in the case of higher-order utility functions." (author's abstract)

"Our main goal is the generalization of the approach of Jobson and Korkie(1984) for funds performance evaluation. Therefore, we consider the portfolio selection problem of an investor who faces short sales restrictions when choosing among F different investment funds and assume the investor's utility function to be of the HARA type. We develop a performance measure and discuss its relationships to Treynor(1965), Sharpe(1966), Jensen(1968), Prakash and Bear(1986), and Grinblatt and Titman(1989). Particular attention is given to the special case of cubic utility implying skewness preferences. Our findings are illustrated by an empirical example." (author's abstract)

"The most relevant practical impediment to an application of the Markowitz portfolio selection
approach is the problem of estimating return moments, in particular return expectations. We analyze
the consequences of using return estimates implied by analysts' dividend forecasts under the explicit
notion of taxes and non-flat term structures of interest rates and achieve quite good performance results.
As a by-product, these results cast some doubt upon the adequacy of estimating market risk
premia with implied returns, because estimation techniques with good performance results are hardly
suited to describe market expectations." [author's abstract]