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My name is Marian Berneburg. I am a Master of Science in Economics and I am currently working at the Halle Institute for Economic Research as an Economist and Forecaster. As part of my employment, I am responsible for the institute’s economic and business cycle forecasts for the US and North America as a whole, as well as, in collaboration with a colleague, East Asia (e.g. China, Japan, etc.). I cover the same areas when participating in the bi-annual joint forecast of the German Economic Research Institutes.
In the remainder of my time, my research interests are in the field of financial markets and so the PhD-Thesis I am currently working on is on Equity Market efficiency in the case of an integrated European Market. On the basis of monthly data from MSCI and with special attention to equity style investment strategies, I am trying to test several aspects of market efficiency. The Thesis is divided into three sections, which I quickly introduced in the following:
- “Are
European Equity Style Indexes Mean Reverting – Testing the weak-form
efficient market hypothesis"
The first part of my PhD-thesis is a time-series analysis of the given data. I try to test for a random walk in the according price indices, a necessary condition of the weak-form efficient market hypothesis (Fama 1965), which is an important precondition to all other and more restrictive forms of market efficiency. This section does, hence, form the basis for the latter two parts of my PhD-thesis.
- “Revisiting
the Net Present Value Model, Excess Volatility and the Price Dividend
Relationship – Testing European Equity Style Indexes for Market
Efficiency“ (working title)
Shiller’s 1981 work seemed to impressively show, that current equity prices are much too volatile to be an efficient unbiased forecast of the sum of discounted future dividends. This result of “excess volatility” put the net present value model in question.
In this section of my work, I first try to replicate Shiller’s results. In a second step I extend his work by allowing for non-stationarity in the dividend process and finally, I drop the assumption of perfect foresight, introduce some degree of rational expectations and I test through the means of cointegration-tests and a Vector Error Correction Modelling for a long-run relationship in dividends and prices. Furthermore, as monthly data builds the basis for analysis and former research was predominantly conducted with annual data, I receive some insight into the within-year behaviour of investors in reaction to dividend data.
- “The
Net Present Value Model and European Equity Style Indexes – letting time
varying discount and growth rates enter into the equation” (working
title). The final part of my PhD-thesis, will further loosen the
assumptions in the link between dividends and current prices, by letting
investor’s discount rates vary over time and by abandoning the idea of a
constant growth rate.
Bibliography:
Fama,
Eugene F.; ‘The Behavior of Stock Market Prices’; Journal of Business,
vol. 38, p.34-105, Jan 1965
Shiller,
Robert J.; ‘Do Stock Prices Move Too Much to be Justified by Subsequent Changes
in Dividends?’; American
Economic Review, vol. 71, p. 421-435, 1981
CV
Education
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05.2003 ‑
continued |
Doctorate
student at the Martin-Luther-University in Halle on the efficiency of
financial markets, in general, and equity markets in particular. |
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09.2000 –
09.2001 |
Finished
my Masters Degree (MSc) in Economics at Birkbeck
College, University of London, with a tendency towards quantitative
techniques with a final mark of ‘Merit‘. |
|
09.1997 –
06.2000 |
BA
Honours Degree in Economics at the University
of Greenwich in London, England, which was concluded
with a first-class honours degree |
|
08.1993 –
05.1995 |
Years 12
and 13 at the Alexander-von-Humboldt-Gymnasium Neuss, Germany, with a special
permission by the board of education to leave out year 11. In 05.1995
conclusion of the school with the German Abitur. |
|
08.1992 –
07.1993 |
Exchange
program at two US High Schools in Los Angeles, Nevada (Cimarron Memorial) and
Portland, Oregon (Hillsboro High School), during which all credits for the
High School Diploma were earned. |
|
08.1986 –
07.1992 |
Conclusion
of the compulsory school time at the Alexander-von-Humboldt Gymnasium, Neuss
(Germany) |
|
1982 –
1986 |
St.
Hubertus-Grundschule, Neuss-Reuschenberg in Germany(elementary school) |
Work experience
|
12.2001 –
continued |
Economist
at the Halle Institute for Economic Research (IWH), with the responsibility to prepare
the economic forecasts for North America (USA + Canada) and partially East Asia
incl. Japan. |
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09.2000 –
06.2001 |
Junior FX
Strategist/Researcher at Dresdner Kleinwort
Wasserstein in London in the field of Markets Research and Strategy with
special attention to the currency market. |
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06.2000 –
08.2000 |
Internship
with Dresdner Kleinwort Wasserstein in
Frankfurt in the field of Markets Research and Strategy |
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09.1998 –
06.2000 |
Student
Union Bar-Supervisor, which included Team, Cash and Stock responsibilities |
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06.1999 –
08.1999 |
Internship
with Dresdner Kleinwort Wasserstein in
London in the area of Global Markets Research/Credit Research, which included
credit rating and the development of a new credit rating system. |
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09.1997 –
continued |
Continuation
of the apprenticeship at Dresdner
Bank AG in Düsseldorf as part of a special students scheme, which allows,
according to a prior set plan, to deepen the experience and knowledge in
economics and finance related areas. This includes annually at least 8 weeks
of placements and additional seminars throughout the year. |
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05.1996 |
Internship
in the field of Telebanking at Dresdner
Bank AG in Frankfurt, Germany. |
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1995 –
1997 |
Team-Supervisor
and Headwaiter at Karl Broich, a European-wide catering business. |
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08.1995 –
06.1997 |
Apprenticeship
at Dresdner Bank AG in
Düsseldorf, Germany, which included all areas of day-to-day bank work, such
as personal investment and loan advice. The apprenticeship was concluded by
an exam held by the German chamber of commerce (IHK), after which I was
awarded a Certificate of Commercial Banking. |
Language skills
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German |
mother
tongue |
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English |
fluent |
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French |
basic
skills through school courses and vacation experience |
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Latin |
one year intensive
course in school |
Additional Skills
Extensive MS-Office experience, especially in Excel, as well as in Datastream through University and Bank based research.
Proficiency in
various Econometrics Package: e.g E-Views, Microfit and jMulti
Interests and further information
|
academic
semester spring 2006 |
Guest
lecturer at the University of Applied Sciences Merseburg: „An Introduction to
Financial Markets” |
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academic
year 1999/2000 |
Empirical
Research-Project on the topic of Stock Market predictability (Long-Term
Memory in Equity Style Indexes) with the Supervision of Dr. Ash Mahate,
former principle lecturer at the University
of Greenwich, and Dr. Ferda Halicioglu principle lecturer at the University of Greenwich in Econometrics. |
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academic
year 1999/2000 |
Member of
a workgroup to improve the library and resource facilities at the University of Greenwich. |
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09.1998 –
06.2000 |
Student
Representative for the Class of 2000 in Economics at the University of Greenwich |
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09.1998 –
06.2000 |
Assistant
teaching for the School of Social Sciences, University
of Greenwich, which included coursework assistance and IT-help. |
|
since
1994 |
Since a
knee injury, which did not allow continuing gymnastics after 8 years, I like
to take bicycle tours in my spare time. |
Publications
-„Treiben Immobilienpreise die
Gesamtwirtschaftliche Konsumnachfrage?“, Wirtschaft im Wandel, Institut
für Wirtschaftsforschung Halle, Vol. 10/2006 (Co-Author: Dr. Axel Lindner)
-„Excess Volatility in European Equity Style Indices – New Evidence” Diskussionspapiere, Institut für Wirtschaftsforschung Halle, Vol. 16, 2006
-„USA: Aufschwung wird sich abschwächen“ in „Deutsche Wirtschaft 2006/2007: Aufschwung mit Januskopf“, Wirtschaft im Wandel, Institut für Wirtschaftsforschung Halle, Vol. 01/2006
-„Weltwirtschaft am Rand einer Energiekrise“ in „Konjunktur aktuell: Deutsche Wirtschaft im Sommer 2005 zwischen Hoffen und Bangen“, Wirtschaft im Wandel, Institut für Wirtschaftsforschung Halle, Vol. 09/2005 (Co-Autor: Dr. Axel Lindner)
-„What if Financial Markets were inefficient?“, in „Globale Wirtschaft – nationale Verantwortung: Wege aus dem Druckkessel“, Verlag Hanns Martin Schleyer-Stiftung, Köln 2005
-„USA: Aufschwung geht zu Ende“ in „Deutsche Wirtschaft: Aufschwung kommt, aber nur langsam“, Wirtschaft im Wandel, Institut für Wirtschaftsforschung Halle, Vol. 07/2005
-„Hohe Gewinne und günstige Finanzierungsbedingungen stützen die internationale Konjunktur“ in „Konjunktur in Deutschland mit Tiefstart in das Jahr 2005“, Wirtschaft im Wandel, Institut für Wirtschaftsforschung Halle, Vol. 03/2005 (Co-Autor: Dr. Axel Lindner)
-„USA: Dynamik des Aufschwungs lässt nach“ in „Konjunkturausblick 2005: Deutsche Binnenkonjunktur zieht allmählich nach“, Wirtschaft im Wandel, Institut für Wirtschaftsforschung Halle, Vol. 01/2005
-„Are European Equity Style Indexes Mean Reverting? Testing the Validity of the Efficient Market Hypothesis”, Diskussionspapiere, Institut für Wirtschaftsforschung Halle, Vol. 193, 2004
-„USA: rosige Konjunkturaussichten” in „Deutschland nach der Stagnation: Exportgetriebene Erholung erfasst die Gesamtwirtschaft nur langsam“, Wirtschaft im Wandel, Institut für Wirtschaftsforschung Halle, Vol. 09/2004
-„Kräftiger Aufschwung in den USA“ in „Konjunkturausblick des IWH für 2004: Das lange Warten auf den Aufschwung geht vorüber“, Wirtschaft im Wandel, Institut für Wirtschaftsforschung Halle, Vol. 01/2004
-„Aufschwung der US-Wirtschaft belebt Weltkonjunktur“ in „Konjunktur aktuell: Aufhellung in Sichtweite“, Wirtschaft im Wandel, Institut für Wirtschaftsforschung Halle, Vol. 12/2003 (Co-Autor: Dr. Axel Lindner)
-„USA: Wirtschaftspolitik stimuliert konjunkturelle Erholung“ in „Deutsche Wirtschaft 2004: Vorziehen der Steuerreform belebt Konjunktur nur vorübergehend“, Wirtschaft im Wandel, Institut für Wirtschaftsforschung Halle, Vol. 9-10/2003
-„Deflationsgefahren: Deutschland auf den Spuren Japans?“, Wirtschaft im Wandel, Institut für Wirtschaftsforschung Halle, Vol. 07/2003 (Co-Autor: Dr. Axel Lindner)
-„Weltwirtschaft im Zeichen der Kriegsdrohung“ in „Konjunktur aktuell: Deutsche Wirtschaft noch in der Stagnation“, Wirtschaft im Wandel, Institut für Wirtschaftsforschung Halle, Vol. 04/2003 (Co-Autor: Dr. Axel Lindner)
-„Composite Leading Indicators der amerikanischen Wirtschaft – Prognosegüte des Conference Board und des OECD Ansatzes im Vergleich“, Diskussionspapiere, Institut für Wirtschaftsforschung Halle, Vol. 172, 2003
-„USA: Investitionen fassen wieder Tritt“ in „Konjunkturausblick des IWH für 2003: Warten auf den Aufschwung in Deutschland – Warten auf Godot?“, Wirtschaft im Wandel, Institut für Wirtschaftsforschung Halle, Vol. 01/2003
-„Einbrüche auf den Aktienmärkten: Schritte zurück auf dem Weg zur Normalität“, Wirtschaft im Wandel, Institut für Wirtschaftsforschung Halle, Vol. 15/2002 (Co-Autor: Dr. Axel Lindner)
-„USA: Aufschwung gewinnt an Breite“ und „Ein gutes Quartal bedeutet noch keine Erholung“ in „Konjunktur 2002 und 2003: Achillesferse Investitionstätigkeit“, Wirtschaft im Wandel, Institut für Wirtschaftsforschung Halle, Vol. 10/2002
-„Langsame Erholung der Weltkonjunktur“ und „Zur konjunkturellen Entwicklung in den USA“ in „Jahresausblick 2002: Warten auf die konjunkturelle Wende“, ?“, Wirtschaft im Wandel, Institut für Wirtschaftsforschung Halle, Vol. 01/2002 (Co-Autor: Dr. Axel Lindner)
Presentations and Conferences
-CFS Summer School 2006 – Emiprical
Asset Pricing, „Excess Volatility in European Equity Style Indices – New
Evidence“, 13. – 20.08.2006, Eltville, Germany.
-Midwest Finance Association (MFA) Annual
Meeting, „Are European Equity Style Indexes Mean Reverting? Testing the
Efficient Market Hypothesis“, 10. – 13.03.2005, Milwaukee, Wisconsin,
USA.
-Kongreß Junge Wissenschaft und Wirtschaft: Globale Wirtschaft – nationale Verantwortung: Wege aus dem Druckkessel, Hanns Martin Schleyer-Stiftung, „What if Financial Markets were inefficient?“, 18. – 20.05.2005
-Global Finance Conference, „Are
European Equity Style Indexes Mean Reverting? Testing the Weak Form Efficient
Market Hypothesis“, 27. – 29.06.2005, Dublin, Ireland
_________________________________________________________________________________________________________________________________________________________________________________________
Marian Berneburg
IWH (Halle
Institute for Economic Research)
Kleine Märkerstr. 8
06108 Halle
Germany
Tel. +49 (0)345/77 53 812
Fax +49 (0)345/77 53 820
E-mail: Marian.Berneburg@iwh-halle.de