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Mandelbrot and the Smile 曼德勃罗和他的微笑
Kredit Und Kapital Pub Date : 2009-04-01 DOI: 10.3790/KUK.42.1.125
T. Lehnert
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引用次数: 5
Risk Effect versus Delayed Price Response: The Case of the Post-Earnings-Announcement Drift in Germany 风险效应与延迟价格反应:以德国收益公告后漂移为例
Kredit Und Kapital Pub Date : 2009-04-01 DOI: 10.3790/KUK.42.1.55
Hans-Peter Burghof, Matthias Johannsen
{"title":"Risk Effect versus Delayed Price Response: The Case of the Post-Earnings-Announcement Drift in Germany","authors":"Hans-Peter Burghof, Matthias Johannsen","doi":"10.3790/KUK.42.1.55","DOIUrl":"https://doi.org/10.3790/KUK.42.1.55","url":null,"abstract":"This paper presents supporting evidence for the post-earnings-announcement drift using annual data on 850 firms listed on the Frankfurt stock exchange for the years 1990 to 2003. Standardized unexpected earnings and unexpected earnings based on the security return model yield significant abnormal returns to the drift trading strategy of about 3% to 6% over 59 to 109 days. In an analysis of covariance the variables size and book-to-market ratio are insignificant in explaining the drift. Further, a control variable for a momentum effect is highly significant, and the inverse Mills ratios to control for a survivorship bias are significant for periods starting from about 160 days. All variables combined cause the drift to become insignificant for the standardized unexpected earnings model and reduce the significance of the drift given by the security return model. The insignificance of the variables size and book-to-market ratio is confirmed by repeating the analysis within sub-samples. The results suggest that there is a delayed response to earnings-related information on the German stock market.","PeriodicalId":280048,"journal":{"name":"Kredit Und Kapital","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124256701","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}
引用次数: 0
Inflationsgebundene Finanzprodukte: Einblicke in eine innovative Assetklasse 用通胀式金融产品——让我们洞见创新的资产
Kredit Und Kapital Pub Date : 2009-04-01 DOI: 10.3790/KUK.42.1.145
Regina Krüger, S. Kruse, Peter Sauerbier, Carsten S. Wehn
{"title":"Inflationsgebundene Finanzprodukte: Einblicke in eine innovative Assetklasse","authors":"Regina Krüger, S. Kruse, Peter Sauerbier, Carsten S. Wehn","doi":"10.3790/KUK.42.1.145","DOIUrl":"https://doi.org/10.3790/KUK.42.1.145","url":null,"abstract":"Zusammenfassung/Summary Inflationsgebundene Finanzprodukte: Einblicke in eine innovative Assetklasse – Markte, Bewertung und Einsatzmoglichkeiten – Inflationsindexierte Finanzprodukte bereichern den Kapitalmarkt um eine Assetklasse, die die gezielte Absicherung gegen das Inflationsrisiko erlaubt. Sie zeichnen sich durch eine direkte Koppelung der Zahlungsstrome an die Entwicklung eines Inflationsindexes aus. Wahrend der bisher noch vergleichsweise kleine kontinentaleuropaische Markt hohe Wachstumsraten verzeichnet, gibt es in den USA und Grosbritannien bereits einen etablierten Markt inflationsindexierter Anleihen und Derivate. Der Beitrag gibt eine Ubersicht uber existierende Produkte und deren Charakteristika sowie unterschiedliche Bewertungsmodelle. Zusatzlich werden existierende Untersuchungen zu den Einsatzmoglichkeiten inflationsindexierter Anleihen zusammengefasst. (JEL G11, G12, G13, G21) Inflation-Indexed Financial Products: Insights into an Innovative Asset Class: – Markets, Valuation and Potent...","PeriodicalId":280048,"journal":{"name":"Kredit Und Kapital","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127871930","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}
引用次数: 1
Linking Managerial Behaviour to Cost and Profit Efficiency in the Banking Sectors of Central and Eastern European Countries 中欧和东欧国家银行部门的管理行为与成本和利润效率的联系
Kredit Und Kapital Pub Date : 2008-12-01 DOI: 10.3790/KUK.41.4.589
S. Rossi, Markus Schwaiger, G. Winkler
{"title":"Linking Managerial Behaviour to Cost and Profit Efficiency in the Banking Sectors of Central and Eastern European Countries","authors":"S. Rossi, Markus Schwaiger, G. Winkler","doi":"10.3790/KUK.41.4.589","DOIUrl":"https://doi.org/10.3790/KUK.41.4.589","url":null,"abstract":"This paper analyzes cost and profit efficiency level and the managerial behavior of banks in nine Central and Eastern European countries (the Czech Republic, Estonia, Hungary, Latvia, Lithuania Poland, Romania, Slovakia and Slovenia), providing cross-country and time series evidence on the period 1995-2002. A stochastic frontier analysis based on a Fourier flexible form indicates a generally low level of cost efficiency and an even lower level of profit efficiency. However, we also find significant differences among countries and some evidence of an increasing tendency over time in profit efficiency and, to an even stronger extent, in cost efficiency. Cost and profit efficiency scores are negatively correlated both on a country wide as well as on a bank by bank basis. Furthermore, instead of just looking at the determinants of cost and profit efficiency (e.g. asset quality, problem loans and risk), we test several hypotheses of managerial behavior using the Granger causality approach based on the intertemporal relation between bank efficiency, capitalization and problem loans, as proposed by Berger and DeYoung (1997). Even though a static analysis shows a negative correlation between problem loan and efficiency, we find no evidence of bad management hypothesis. Results provide evidence for the bad luck hypothesis suggesting the exogeneity of bad loans triggering inefficiency.","PeriodicalId":280048,"journal":{"name":"Kredit Und Kapital","volume":"54 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121731789","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}
引用次数: 47
Vorteilhaftigkeit des börslichen Abendhandels aus Anlegersicht 从投资者的角度而言，股市交易对投资者有利
Kredit Und Kapital Pub Date : 2008-12-01 DOI: 10.3790/KUK.41.4.541
Christiane Goodfellow, Martin T. Bohl, D. Schiereck
{"title":"Vorteilhaftigkeit des börslichen Abendhandels aus Anlegersicht","authors":"Christiane Goodfellow, Martin T. Bohl, D. Schiereck","doi":"10.3790/KUK.41.4.541","DOIUrl":"https://doi.org/10.3790/KUK.41.4.541","url":null,"abstract":"This study analyses the implications that have emanated for non-anonymous floor trading at the Frankfurt stock exchange from the fact that the closing hour of electronic stock trading at the German stock exchange system XETRA has been advanced from 20.00 hrs to 17.30 hrs. effective as of 03 November 2003. The results obtained show that the floor trading quality has profited from this measure. There are not any indications suggesting that negative effects have emerged for the network as a whole; trading has become significantly more liquid during evening hours. Since XETRA trading hours now end earlier, mainly uninformed investors have been found to switch to floor trading in the time from 17.30 hrs. to 20.00 hrs. This suggests that information-based stock-exchange floor trading has become less probable than before the closing hours for electronic stock trading were advanced. Floor trading has thus become more attractive especially for individual investors.","PeriodicalId":280048,"journal":{"name":"Kredit Und Kapital","volume":"190 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114189155","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}
引用次数: 1
William Poole in der offenen Volkswirtschaft 威廉·普尔参与开放经济
Kredit Und Kapital Pub Date : 2008-12-01 DOI: 10.3790/KUK.41.4.467
Friedrich L. Sell, Silvio Kermer
{"title":"William Poole in der offenen Volkswirtschaft","authors":"Friedrich L. Sell, Silvio Kermer","doi":"10.3790/KUK.41.4.467","DOIUrl":"https://doi.org/10.3790/KUK.41.4.467","url":null,"abstract":"Given all the evidence supporting Milton Friedman’s proposition that inflation is now and everywhere a monetary phenomenon, it seems that we are wrong when we tend to ignore the behaviour of the monetary aggregates at our peril. The total neglect of information about the monetary aggregates in the Taylor rule is possibly a strong signal into that erroneous direction. Moreover, so-called “New Keynesianism” has put forward that there is no more need to treat the money market equilibrium in an “LM-setting”. Our paper goes back to William Poole’s seminal paper (1970) on interest rate and money supply rules and extends his earlier work to the open economy, various types of shocks and to the analysis of cooperative and noncooperative behaviour of central banks. The results achieved confirm that the inclusion of the money market equilibrium enhances the possibilities to compare the costs and benefits of different monetary policy strategies under cooperative or non-cooperative behaviour.","PeriodicalId":280048,"journal":{"name":"Kredit Und Kapital","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126233130","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}
引用次数: 1
Kimball's Prudence and Two-Fund Separation as Determinants of Mutual Fund Performance Evaluation 金博尔的谨慎性和双基金分离:共同基金绩效评价的决定因素
Kredit Und Kapital Pub Date : 2008-12-01 DOI: 10.3790/KUK.41.4.501
Wolfgang Breuer, Marc Gürtler
{"title":"Kimball's Prudence and Two-Fund Separation as Determinants of Mutual Fund Performance Evaluation","authors":"Wolfgang Breuer, Marc Gürtler","doi":"10.3790/KUK.41.4.501","DOIUrl":"https://doi.org/10.3790/KUK.41.4.501","url":null,"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.","PeriodicalId":280048,"journal":{"name":"Kredit Und Kapital","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130236617","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}
引用次数: 0
Die Bedeutung der Unternehmensreputation für die Zahlungsbereitschaft von Privatkunden 企业信誉对企业公民付费的重要性
Kredit Und Kapital Pub Date : 2008-11-01 DOI: 10.3790/KUK.41.3.355
M. Eberl, M. Schwaiger
{"title":"Die Bedeutung der Unternehmensreputation für die Zahlungsbereitschaft von Privatkunden","authors":"M. Eberl, M. Schwaiger","doi":"10.3790/KUK.41.3.355","DOIUrl":"https://doi.org/10.3790/KUK.41.3.355","url":null,"abstract":"Zusammenfassung/Summary Die Bedeutung der Unternehmensreputation fur die Zahlungsbereitschaft von Privatkunden In Markten mit leicht imitierbaren Produkten konnen strategische Wettbewerbsvorteile nur durch immaterielle Vermogensgegenstande erzielt werden. Vielfach wird die Vermutung geausert, die Reputation – das Ansehen – des Unternehmens konne insbesondere bei Kunden positive Effekte erzielen. Der vorliegende Beitrag liefert ein theoretisches Fundament fur die Hypothese, dass Privatkunden hohere Zahlungsbereitschaft fur die Produkte von Unternehmen mit besserer Reputation aufweisen. Diese Hypothese wird in einer experimentellen Untersuchung fur das Produkt „Studienkredit“ uberpruft und das „Reputationspremium“ wird berechnet. Es wird gezeigt, dass Unternehmen ausschlieslich aufgrund hoherer Reputation ein deutliches Preispremium realisieren konnen. (JEL L14, M10, M30) The Importance of the Reputation of Enterprises for the Readiness of Private Customers to Pay In markets in which products are traded tha...","PeriodicalId":280048,"journal":{"name":"Kredit Und Kapital","volume":"50 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129454545","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}
引用次数: 5
Wann lohnt Leasing für den Leasingnehmer 租了租期，什么时候
Kredit Und Kapital Pub Date : 2008-11-01 DOI: 10.3790/KUK.41.3.391
A. Schüler
{"title":"Wann lohnt Leasing für den Leasingnehmer","authors":"A. Schüler","doi":"10.3790/KUK.41.3.391","DOIUrl":"https://doi.org/10.3790/KUK.41.3.391","url":null,"abstract":"This article discusses and expands the approach for examining whether leasing is profitable for lessees. It discusses the standard approach of the financial literature after having made modifications to make this approach consistent with the German tax system. It makes clear that the comparison of lease financing with debt financing, which is the standard approach, tends to distort the results obtained. Useful for developing a calculation scheme free of distortive effects is the adjusted-present-value-approach. Besides, this article also compares lease financing with equity financing differentiated by external equity financing and financing by retained earnings. In this process, both corporation tax effects and income tax effects of the financing alternatives have to be dealt with. We have based our work on the tax regime prevailing after the 2008 corporation tax reform. It turns out that the standard approach implies a comparison with potentially disadvantageous debt financing. We advocate a step-by-step analysis of leasing offers and develop a corresponding scheme.","PeriodicalId":280048,"journal":{"name":"Kredit Und Kapital","volume":"88 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126345620","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}
引用次数: 0
Zinssensitivitäten börsennotierter deutscher Finanzdienstleister: Eine empirische Untersuchung 利率效应:实证调查
Kredit Und Kapital Pub Date : 2008-11-01 DOI: 10.3790/KUK.41.3.427
Hendrik Scholz, S. Simon, M. Wilkens
{"title":"Zinssensitivitäten börsennotierter deutscher Finanzdienstleister: Eine empirische Untersuchung","authors":"Hendrik Scholz, S. Simon, M. Wilkens","doi":"10.3790/KUK.41.3.427","DOIUrl":"https://doi.org/10.3790/KUK.41.3.427","url":null,"abstract":"Zusammenfassung/Summary Zinssensitivitaten borsennotierter deutscher Finanzdienstleister: Eine empirische Untersuchung Dieser Beitrag untersucht die Zinssensitivitat borsennotierter Finanzdienstleister am deutschen Kapitalmarkt anhand des Grundansatzes von Stone (1974). Hiernach werden die Aktienrenditen durch einen Markt- und einen Zinsfaktor erklart, wobei in entsprechenden Untersuchungen regelmasig unterschiedliche Varianten insbesondere hinsichtlich der Konstruktion des Zinsfaktors verwendet werden. Im Fokus der empirischen Analyse steht der Vergleich der Ergebnisse zentraler Ausgestaltungsformen dieses 2-Faktor-Regressionsmodells auf Basis eines einheitlichen Datensatzes fur deutsche Finanzdienstleister uber den Zeitraum von 1973 bis 2003. Wesentlichen Einfluss auf die Ergebnisse haben die Orthogonalisierungsvarianten bezuglich der unabhangigen Variablen, die Laufzeit des Zinsfaktors und die Steigung der Zinsstruktur im betrachteten Untersuchungszeitraum. Alternative Konstruktionen des Zinsfaktors wi...","PeriodicalId":280048,"journal":{"name":"Kredit Und Kapital","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128255253","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}
引用次数: 2
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