{"title":"WO INVESTIEREN DISTRESSED-SECURITIES-HEDGEFONDS? EIN ASSET-BASED STYLE-FAKTORENMODELL","authors":"Georgi Bontschev, M. Eling","doi":"10.3790/KUK.43.3.375","DOIUrl":"https://doi.org/10.3790/KUK.43.3.375","url":null,"abstract":"This article analyses the systematic risks of distressed securities hedge funds. Four factors largely explain the systematic risk of this strategy group: These are the returns of two options strategies, i. e. (1) a short-put position on a stock index and (2) a short-straddle position on a bond index. Other factors are (3) a spread reflecting the return difference between a high-yield index and ten-year US Government bonds as well as (4) returns of stocks with low market capitalization. The risk-return-characteristics of distressed securities hedge funds can be represented by a linear combination of these four factors. In terms of its explanatory power, the asset-based style factor model is satisfactory with regard to the strategy return over time and can be used, for instance, to identify a stlye drift, i. e. a deviation from the declared investment style. Our results are relevant not only for investors, but also for supervisory authorities which are currently discussing options for regulation of such funds.","PeriodicalId":280048,"journal":{"name":"Kredit Und Kapital","volume":"57 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115138514","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Anwendung des Nachhaltigkeitsansatzes von Bohn zur Etablierung eines Frühindikators in den öffentlichen Finanzen. Beitrag zur aktuellen Debatte der Föderalismuskommission II","authors":"Bodo Herzog","doi":"10.3790/KUK.43.2.183","DOIUrl":"https://doi.org/10.3790/KUK.43.2.183","url":null,"abstract":"The question of whether public debt in Europe’s largest economy is sustainable in the long run has received great attention. After all, Germany breached the three percent deficit threshold of the “Stability and Growth Pact” in four successive years, i. e. from 2002 to 2005. In this paper I investigate whether German public finances – Federal and all State governments – have been sustainable during the last four decades. This means finding answers to the following questions: How have German governments reacted to the accumulation of approximately 1.5 billion euro of debt? Have they taken corrective action, or have they let the debt grow? Closer empirical discussion of these questions is also important because of the recent political discussion and new institutional proposals to limit future debt policy by the federal commission (“Foderalismuskommission”). My paper is the first to empirically analyse the sustainability of fiscal policy in Federal Government (“Bund”) and the Federal States (“Lander”). I analyse debt behaviour in Germany on the basis of a unique and newly constructed data sample covering 1970 to 2005. The results are surprising: Fiscal policy is far more sustainable than originally supposed. My paper is the first to apply Bohn’s sustainability criteria to Germany and two Federal States – Baden-Wurttemberg and Berlin.","PeriodicalId":280048,"journal":{"name":"Kredit Und Kapital","volume":"48 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128997095","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Ankündigungseffekte der Emission von High-Yield Bonds in Europa","authors":"A. Betzer, P. Limbach","doi":"10.3790/KUK.43.2.243","DOIUrl":"https://doi.org/10.3790/KUK.43.2.243","url":null,"abstract":"This article examines for the still young European corporate high-yield bond market in what way bond-issue announcements affect the issuing companies’ share prices and which determinants can explain the share price responses observed. On the basis of all events identifiable for the period 1998–2006, this study suggests the existence of a significant, negative cumulated abnormal return of –1.14% on the three days around the date the issue was announced. This study, like the US studies hitherto made (Huffman/Ward (1996) inter alia), is not able to identify determinants of abnormal return levels.","PeriodicalId":280048,"journal":{"name":"Kredit Und Kapital","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121776678","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Which Fundamental News Moves the Markets? Fundamental News and its Impact on Equity, Bond and Foreign Exchange Markets","authors":"R. Härtl, C. Mattern","doi":"10.3790/KUK.43.2.207","DOIUrl":"https://doi.org/10.3790/KUK.43.2.207","url":null,"abstract":"We study the impact of economic indicators on financial markets and their varying importance for the main financial segments, i. e. stocks, bonds and FX. Indicators from the USA, Germany, and Euro zone are included while market data for the German stock market (represented by the DAX-Index), the European benchmark bond market (represented by the Bund future) and EUR-USD is being used. Next to identifying the economic indicators with the power to move the market we also discuss why some indicators seem to be more relevant than others. Our key results are: a) the US Labor market indicator is by far the most important indicator; b) the importance of an indicator can generally be prejudged by its origin; c) differences in the importance of indicators can be explained by economic theory; d) behavioral aspects also seem to play a role in the importance of the indicators; and e) only some empirical observations seem to be beyond classical and behavioral theory.","PeriodicalId":280048,"journal":{"name":"Kredit Und Kapital","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125929220","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Ansätze zur Ermittlung des erfolgswirksamen Liquiditätsrisikos auf Basis von Liquiditätsablaufbilanzen","authors":"M. Pohl","doi":"10.3790/KUK.43.2.271","DOIUrl":"https://doi.org/10.3790/KUK.43.2.271","url":null,"abstract":"This article introduces the liquidity gap analysis as a comprehensive instrument for the quantification of structural liquidity risks at banks. It is demonstrated how to quantify the cash-flow-related liquidity risk by applying a Monte-Carlo- Simulation to the risk factors of a bank’s cash flows. Furthermore, the liquidity gap analysis can also be utilised to determine the income- related liquidity risk, which is of importance in case of a profitabilityoriented risk management. Here, the liquidity balancing method becomes important. It cannot only quantify the income related liquidity risk caused by the volatility of credit spreads but also the income-related liquidity risk, which is caused by the cash-flow-related liquidity risk.","PeriodicalId":280048,"journal":{"name":"Kredit Und Kapital","volume":"46 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124068040","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Erklärt das Zyklusbeta Aktienrenditen","authors":"B. Bieri, K. Spremann","doi":"10.3790/KUK.43.1.125","DOIUrl":"https://doi.org/10.3790/KUK.43.1.125","url":null,"abstract":"In order to explain equity returns, the single index model (which corresponds to the CAPM) was extended in various ways to multi-factor models. Following Chen/ Roll/Ross, macroeconomic variables are the favorites for the additional factors. Fama/French (1993–1998) use the return of specially constructed long-short portfolios as additional factors. These portfolios, SMB (small minus big), and HML (high minus low) may be interpreted to represent the macroeconomic situation and the business cycle. Our work offers these results. First we calibrate the three factor model of Fama/ French for Swiss data. This is rewarding, because there is no HML effect in Switzerland, if recent data is used. We offer a (theoretical) explanation. Second, we study, whether SMB and HML may be „aggregated“. For this purpose, we define a single factor which captures cyclical effects in the capital market. We compare the power of this cyclical factor using data for the US, and Switzerland, respectively. Furthermore, we compare two single factor models. One uses the forementioned cyclical factor and the respective exposure, the so-called cycle beta. The other uses the classical market risk.","PeriodicalId":280048,"journal":{"name":"Kredit Und Kapital","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134038957","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Bewertungsunsicherheit der Investitionskriterien von Venture-Capital-Gebern – Eine Prozessperspektive","authors":"T. Kollmann, Andreas Kuckertz","doi":"10.3790/KUK.42.4.563","DOIUrl":"https://doi.org/10.3790/KUK.42.4.563","url":null,"abstract":"This article analyses the decision-making process of venture capitalists and examines the uncertainty they encounter in evaluating investment proposals. Based on the economics of information we identify different degrees of uncertainty in the course of the investment process. Empirical results are provided that highlight how uncertainty differs between three stages of the investment process: the business plan evaluation phase, the due diligence, and the deal structuring phase.","PeriodicalId":280048,"journal":{"name":"Kredit Und Kapital","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123137595","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"What Drives the Interest Rate Margin Decline in EU Banking - The Case of Small Local Banks","authors":"David Liebeg, Markus Schwaiger","doi":"10.3790/KUK.42.4.509","DOIUrl":"https://doi.org/10.3790/KUK.42.4.509","url":null,"abstract":"Bank interest rate margins have been declining in most EU countries over the last decade. This paper investigates the determinants of bank interest rate margins drawing on a unique sample of small local banks in Austria. The reduction of small local banks interest rate margins is mainly driven by a combination of decreasing operating costs, enabling banks to charge lower margins, and increasing competition. In addition, there seems to be a tradeoff between small local banks margins and non-interest revenues. In contrast to findings in the literature we furthermore document a small, but significantly positive effect of relationship banking on interest rate margins.","PeriodicalId":280048,"journal":{"name":"Kredit Und Kapital","volume":"57 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132491193","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Optimale Darlehensbündel in der privaten Immobilienfinanzierung","authors":"D. Kundisch, Jochen Dzienziol","doi":"10.3790/KUK.42.4.539","DOIUrl":"https://doi.org/10.3790/KUK.42.4.539","url":null,"abstract":"This contribution focuses on the so far sparsely addressed issue of structuring mortgage lending for private clients based on differing nominal interest rates, which can be observed in the market. Hitherto ignored optimization potentials are identified and thus, systematically wrong financial advice can be avoided. Moreover, the results may serve as relevant starting points for an extension of existing business models of online financial intermediaries.","PeriodicalId":280048,"journal":{"name":"Kredit Und Kapital","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133699940","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"A Review – International Financial Services: Location Preferences and Economies","authors":"G. M. Furstenberg","doi":"10.3790/KUK.42.4.487","DOIUrl":"https://doi.org/10.3790/KUK.42.4.487","url":null,"abstract":"Summary/Zusammenfassung International Financial Services: Location Preferences and Economies Advanced and rapidly developing countries vie to bring International Financial Services (IFS) industries to some of their major cities or to keep them there. The ICT revolution has made those IFS that can be commoditized footloose in search of cost efficiency. High value-added financial services, however, continue to be produced in a few major IFS centers that have capitalized on regional or global advantages for themselves and their clients. The resulting pattern of functional fragmentation and geographic dispersal could facilitate analyzing the competitiveness of different lines of the financial services business in a particular location. Yet the conclusiveness of methods applied to do so in the past recently has been questioned. In addition, internationally active banks' growing emphasis on intermediating between financial institutions rather than clients from the nonfinancial sector, plus the leveraging of the...","PeriodicalId":280048,"journal":{"name":"Kredit Und Kapital","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122032087","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}