Wolf in Sheep's Clothing: The Active Investment Strategies behind Index Performance

This paper argues that the commonly used market indices imply forms of active investment management in disguise. The selection and rebalancing rules make these indices highly exclusive and dynamic regarding their underlying components and significantly bias their performance. Any passive investment tracking these indices turns into an active strategy characterised by market timing and state‐dependent performance. Evidence is provided that exclusive indices outperform (underperform) more inclusive peer indices in upward (downward) markets. The constitution and maintenance rules of exclusive indices correspond to a set of active trading and investment rules similar to momentum strategies.     

Versicherungswissenschaftliche Dissertationen und Habilitationen 2001/2002/2003/2004 (Stand: 1. 5. 2004)

Materialien

Versicherungswissenschaftliche Dissertationen und Habilitationen 2001/2002/2003/2004 (Stand: 1. 5. 2004)     

In occupied territory: future.con

Creating sustainable, diverse futures involves challenging assumptions that Western civilisation and linear, profit based models of unlimited development are universal. This is deeply threatening to many, but objections to such colonised futures are growing. Challenging these world-views means engaging with the complex and intersecting issues of culture, environment, globalisation, gender and sustainability. This paper tests Causal Layered Analysis (CLA) as a method to excavate the levels that have created the worldview behind one image of a colonised future. Analysis reveals a ‘Future.con’ which excludes most of humanity and pre-dicts a technological future in which humans may only exist to serve the machines they created. It is also the kind of image that, in a higher education context, fits and maintains pervasive but limited world-views. It could be different. Images and some of the tools of CLA can also be used in education to help envision sustainable, culturally diverse futures.     

Versicherungswissenschaftliche Dissertationen und Habilitationen 1999 / 2000 / 2001 (Stand: 1. 5. 2001)

Materialien

Versicherungswissenschaftliche Dissertationen und Habilitationen 1999 / 2000 / 2001 (Stand: 1. 5. 2001)     

Designing a U.S. Market for CO2

The United States may soon have a market for carbon. If so, that market will grow out of a cap-and-trade system like the EU's Emissions Trading System for CO₂ or the U.S. Acid Rain Program for SO₂.
This article reviews the historical performance of these two markets, with particular focus on how the flexibility afforded by, as well as restrictions on, the "banking" and borrowing of allowances has affected the evolution of prices. While both markets have generally functioned well, four episodes are used to illustrate the importance of designing the rules to encourage such flexibility.
The 2005 opening of the EU CO₂ market was marked by a surprisingly high price, one that resulted from a delay in institutions with long positions in allowances ("longs") bringing supply to the market.
The 2007 close of the first phase produced a sharp divergence between the spot price at the end of 2007 and the futures price for 2008, reflecting the restriction against carrying over (or "banking") allowances from one phase to the next.
The U.S. SO₂ market's transition to a tighter system in 2000 avoided such a divergence by allowing unlimited banking of allowances into the second phase.
In 2005-2006, the U.S. SO₂ market experienced a surprising price spike attributable to a combination of changing fundamentals and institutional features (notably, the tax treatment of "longs") that undermined the flexibility of the bank.     

Versicherungswissenschaftliche Dissertationen und Habilitationen 1998/99 (stand: 1. 9.1999)

Materialien

Versicherungswissenschaftliche Dissertationen und Habilitationen 1998/99 (stand: 1. 9.1999)     

Investigating corporate management lobbying in the U.K. accounting standard-setting process: a multi-issue/multi-period approach

A large body of literature examines the motives of corporate managers to lobby accounting standard-setters. In general, studies confine their examination to single episodes of the standard-setting process (e.g., exposure draft). This article extends the literature by adopting a multi-issue/multi-period approach to investigate corporate lobbying of the U.K.'s ASB. The findings suggest that the extent of corporate lobbying, defined on the basis of the frequency with which companies made submissions to all of the publications issued by the ASB over a six-year period, depends on the size of companies, the debt covenant costs they face and whether they are listed on a U.S. stock exchange. Separate analyses, however, involving (a) the frequency of lobbying on income-related issues and (b) the frequency of lobbying on disclosure issues revealed that, while all these three variables explain lobbying on income-related issues, only size is significant in explaining lobbying on disclosure issues. The results also suggest that the debt to equity ratio is an imperfect proxy for debt covenant costs.     

Change in Volatility in the Won/U.S. Dollar Daily Exchange Rate:Stochastic Volatility Model

This study estimates the changes in volatility of the won/U.S. dollar dailyexchange rates before and after the Korean currency crisis, using the stochastic volatility model with the ARMAregression error term. We find that the persistence of volatility increased after the Koreancurrency crisis.