Excess Volatility in European Equity Style Indices - New Evidence
Marian Berneburg
IWH Discussion Papers,
No. 16,
2006
Abstract
Are financial markets efficient? One proposition that seems to contradict this is Shiller’s finding of excess volatility in asset prices and its resulting rejection of the discounted cash flow model. This paper replicates Shiller’s approach for a different data set and extends his analysis by testing for a long-run relationship by means of a cointegration analysis. Contrary to previous studies, monthly data for an integrated European stock market is being used, with special attention to equity style investment strategies. On the basis of this analysis’ results, Shiller’s findings seem questionable. While a long-run relationship between prices and dividends can be observed for all equity styles, a certain degree, but to a much smaller extent than in Shiller’s approach, of excess volatility cannot be rejected. But it seems that a further relaxation of Shiller’s assumptions would completely eliminate the finding of an overly strong reaction of prices to changes in dividends. Two interesting side results are, that all three investment styles seem to have equal performance when adjusting for risk, which by itself is an indication for efficiency and that market participants seem to use current dividend payments from one company as an indication for future dividend payments by other firms. Overall the results of this paper lead to the conclusion that efficiency cannot be rejected for an integrated European equity market.
Read article
Signaling currency crises in South Africa
Tobias Knedlik
South African Reserve Bank: Macroeconomic Policy Challenges for South Africa Conference, South African Reserve Bank,
2006
Abstract
Currency crises episodes of 1996, 1998, and 2001 are used to identify common country specific causes of currency crises in South Africa. The paper identifies crises by the use of an Exchange Market Pressure (EMP) index as introduced by Eichengreen, Rose and Wyplosz (1996). It extends the Signals Approach introduced by Kaminsky and Reinhart (1996, 1998) by developing a composite indicator in order to measure the evolution of currency crisis risk in South Africa. The analysis considers the standard suspects from international currency crises and country specifics as identified by the Myburgh Commission (2002) and current literature as potentially relevant indicators.
Read article
Unternehmensbewertung, Rating und Risikobewältigung
Ulrich Blum, Werner Gleißner
Wissenschaftliche Zeitschrift der Technischen Universität Dresden,
2006
Abstract
We inquire into the possibilities to improve the stability of the firms by better managing risk. We propose to directly link risk management to rating, i.e. the ability to meet future financial obligations. Principal elements of rating methodology are discussed against the background of risk management. Next to the rating mark the risk-related requirements for equity become the central measure for risk. Firms must balance the costs of improving their rating against the gains of an improved rating. Risk management is a major driver to improve shareholder value. Risk aggregation is the dominant method that uses information from risk management and synthesizes unique measure of value.
Read article
Risikomanagements als Werttreiber: Volks- und betriebswirtschaftliche Perspektive
Ulrich Blum, Werner Gleißner
Wertorientiertes Management,
2006
Abstract
The article inquires how risk and its management directly influence ther wealth of nations and the performance of enterprises. The sources of wealth, especially trade and externalities, are rellated to risk as is its impact on the economic value of the firm. Fundamental methods to control risk as a method of increasing shareholder value are proposed.
Read article
Business cycle latest: Besides increasing downward risks, the German domestic business cycle puts in a higher gear
Wirtschaft im Wandel,
No. 6,
2006
Abstract
Die deutsche Wirtschaft ist in den ersten Monaten dieses Jahres nach kurzzeitiger Pause auf den Aufschwungpfad zurückgekehrt. Treibende Kraft war die Nachfrage aus dem Ausland. Aber auch die Unternehmen in Deutschland schafften mehr Ausrüstungs- und die privaten Haushalte mehr Konsumgüter als Ende 2005 an. Der Aufschwung entwickelte sich damit auf einer breiten Basis. Seine Stärke blieb jedoch hinter den Erwartungen zurück. Die Expansion der Nachfrage zog eine hohe Dynamik der Importe nach sich. Dies bremste den Produktionsanstieg. Zudem stand die besonders ungünstige Witterung in den Wintermonaten der Entfaltung der Bauaktivitäten im Wege. So fiel der Start im neuen Jahr verhalten aus.
Read article
Armut von jungen Erwachsenen in der Bundesrepublik
Eva Reinowski, Christine Steiner
Vierteljahreshefte zur Wirtschaftsforschung,
No. 1,
2006
Abstract
In recent years the youth unemployment rate increased rapidly in Germany and reached the European average. Unemployment is considered as the main poverty risk. But even though the share of social benefit receivers among the youths is above average, youth poverty - unlike child poverty - has been neglected in recent research. Regarding youth, poverty is seen more as a temporary phenomenon. Considering only the standard poverty measure is not enough to figure youth poverty, because one would neglect the personal income situation of the youths. The article´s aim is to combine the equivalised household income and the individual income to find most effected young people. In a further step the socio-demographic factors of those persons are included to draw a more precise picture of the circumstances of poor young people in Germany. The analysis is based on the German Micro Census 2002.
Read article
The Loss Distribution of the Entrepreneurial Bad Debt Risk – a Simulation-based Model
Henry Dannenberg
IWH Discussion Papers,
No. 10,
2006
Abstract
The risk of bad debt losses evolves for companies which grant payment targets. Possible losses have to be covered by these companies equity and liquidity reserves. The question of how to quantify the level of risk of bad debt losses will be discussed in this paper. Input values of this risk are the probability of default, exposure at default and loss given default. It is shown how companies can derive probability functions to describe uncertainty and variability for each input value. Based on these probability functions a simulation model is developed to quantify the risk of bad debt losses. Based on an empirical study probability functions for probability of default and loss given default are presented.
Read article
Management von Mitarbeiterrisiken in Unternehmen
Henry Dannenberg
Risikomanagement im Unternehmen Praxisratgeber für die Einführung und Umsetzung, Kapitel 12-7,
2006
Abstract
The paper shows how to quantify the risk of loosing employees. Firstly, reasons will be determined that explain the loss of an employee. Dependent on these reasons, it is shown how to quantify the probability of losing an employee and possible losses that follow an employee loss. Based on these components of risks, a simulation based model is developed which aggregates the risk of all employees of a company to the distribution of the employees risk for the whole company. Finally, a tool for an easy calculating of this risk is presented.
Read article
Hausgemachte (Forderungsausfall)-Risiken - IWH Studie: Kreditoreneigenschaften beeinflussen die Liquidität
Henry Dannenberg
inForm Magazin für Risikomanagement Ausgabe 32 März 2006,
2006
Abstract
An IWH study shows that criteria of companies like size, average amount of debits, customer structure and foreign activities are indicators of the grade of risks of bad debt losses. The study also shows that the calculation of capital surplus to cover risks of bad debt losses that are based on criteria of creditors could be possible.
Read article
Prekäre Einkommenslagen in Deutschland: Ein Ost-West-Vergleich 1996 bis 2002
Herbert S. Buscher, Juliane Parys
IWH Discussion Papers,
No. 2,
2006
Abstract
The paper investigates the distribution of equivalence-weighted net household income for West and East Germany, covering the period from 1996 to 2002. The data set used is the annual cross section data set “Mikrozensus”. The main issues of the paper are twofold. First, we analyze standard measures of income distributions as well as measures of inequality. Second, we set up a Logit model to explain relative poorness in East and West Germany using Mikrozensus data to capture household characteristics. The main focus in this section deals with the question how different types of forms of living and the number of children will affect the risk of falling into precarious income situations. The results show that the risk of getting poor is higher for families with children as well as for single persons with children.
Read article