Die Bestimmung von individuellen Effizienzvorgaben — Alternativen zum Best-of-Four-Verfahren

The setting of the individual X-factor is a core element of every incentive regulation system. The problem faced by the regulator is the choice among a wide variety of methods for setting the individual efficiency objectives. So far no single method could achieve acceptance as best-practice in both scientific research and regulatory practice. The German incentive regulation, which started in January 2009, uses the so called “Best-of-Four Method” to define individual X-factors. The regulator, the Bundesnetzagentur, announced an in-depth evaluation of this method, because it potentially leads to an unacceptable downward bias in setting the individual efficiency objectives. This article illustrates the problems of the Best-of-Four Method and offers alternatives. The author additionally develops a new approach which is based on a multi-stage process, using economical and engineering methods. Finally all alternatives are compared according to various criteria.It can be shown that the complementary usage of Data Envelopment Analysis and Stochastic Frontier Analysis is a reasonable approach to efficiency analysis. But this raises the question how to transform the resulting efficiency scores into individual X-factors. The Best-of-Four Approach is not appropriate because it distorts the X-factors, offers possibilities for strategic behaviour and cannot guarantee comparability of the efficiency objectives. Comparing alternatives shows that no approach clearly dominates all others taking into account all considered criteria. The multi-stage approach offers a possibility of transforming a “Nordic Walking” into an ambitious fitness program while also setting appropriate and comparable individual X-factors.     

Links and interdependence of developed stock markets under global economic crisis conditions

The scope of this article is to determine whether global stock markets behave differently under conditions of economic crisis by studying the interdependence among the price indices of 10 markets, including Dow Jones (DJ), DAX and NIKKEI. The stock markets under examination are those of the USA, Belgium, France, Germany, Greece, Italy, The Netherlands, Spain, the United Kingdom and Japan. The sample includes the logarithmic daily closing prices from 1 January 2000 to 20 February 2009, with a total of approximately 2.385 observations analyzed. The empirical findings suggest that the recent deep crisis has increased dramatically their correlation, thus tightening the existing links. Causality also seems to be affected by the crisis, as DJ and DAX cease to exert a dominant influence on the other stock indices. However, in all the other periods, the findings of previous studies (suggesting that DJ and DAX seriously affect the other indices) were verified, independent of the prevailing bear or bull market conditions.     

The effects of customer age and recovery strategies in a service failure setting

The aim of this article is to explore the relationship between the type of service failure, age and the customer's negative emotions after a service failure; as well as the relationship between these emotions, the recovery strategies executed and service recovery satisfaction. The proposed model is tested on a sample of financial services customers who suffered some type of failure. The results indicate that the customer's age has a negative impact on the intensity of the negative emotions experienced after a service failure. In addition, the type of service failure (process or outcome) interacts with the age variable on its effect on these negative emotions. Finally, results also show that recovery strategies offset the negative effect of negative emotions on customer satisfaction and that a compensation strategy is more efficient if offered quickly.     

浅析客户身份识别与客户尽职调查

在反洗钱工作中,人们普遍将客户身份识别与客户尽职调查等同看待.本文结合国内外相关资料,通过对客户身份识别及客户尽职调查的由来、涵义等进行较详细的阐释,指出了二者之间的联系与区别,并结合我国反洗钱工作开展的具体情况进行政策性讨论.     

Factors driving aggregate mortality rates in postwar Germany

Using German data over the period 1956–2006, this study provides a comprehensive empirical analysis of factors driving aggregate mortality rates over time. It differs from previous contributions in this field by simultaneously considering an extensive set of macroeconomic, socioeconomic, and ecological factors as explanatory variables. Our regression analysis shows that sex- and age-specific mortality rates vary substantially in their response to external factors. Strongest associations are found with changes in real GDP, flu epidemics, and the two lifestyle variables—alcohol and cigarette consumption—in both univariate and multivariate setups. Further analysis indicates that these effects are primarily contemporary, whereas other indicators, such as weather conditions, exert lagged effects. We derive optimal multivariate models for every age group that provide a good fit to the observed variation in annual mortality rates, and thereby confirm the relevance of the identified factors.     

Naturgefahrenmodellierung in internen Risikomodellen – Unverzichtbares Rüstzeug für Strategieentscheidungen des Managements der Zukunft

Management requires internal models, which will usually span a period of several years (such as five), for analysing the financial situation of the insurance company and supporting strategic value- and risk-based company management. Catastrophe risks play an important role in risk management as a substantial share of the company’s entire risk capital is committed to natural catastrophes. So the article aims to compare two approaches in modelling storm loss in the context of applicability in strategic management. Concretely modelling deductibles in storm insurance is shown using the mathematical statistical approach. A case study will analyse various strategies and their effects on the insurance company’s single and multi-year risk-return position using example data where risk is dominated by catastrophes in order to give a concrete idea for the use of multi-period internal models in the context of management.     

Ownership Duration in the Residential Housing Market: The Influence of Structure,Tenure, Household and Neighborhood Factors

Turnover rates are important as determinants of the level of activity in housing related industries, in effecting housing market adjustments, and in revealing prices in illiquid, highly segmented, informationally inefficient housing markets. This study examines the relative influence of structure features, tenure, household characteristics and neighborhood factors on ownership turnover rates. The study exploits a Chicago database of just under 50,000 paired sales of attached housing units, with at least one of the sales occurring between 1992 and June of 2002. Within the framework of a Cox proportional hazard model, we focus on a number of factors affecting turnover rates, including whether the housing unit is owner-occupied or rented at the time of sale, price at the time of sale, unit size, age, location in a tax increment financing district, housing density, structure size, year of sale, and neighborhood within Chicago (by Community Area). Finding strong spatial segmentation in turnover (hazard) rates, we further examine the capacity of four sets of Census-derived variables to explain the spatial variation. The household characteristics offer decidedly the strongest power in explaining the segmentation. Results from the hazard model, combined with results from the analysis of spatial variation suggest a household life cycle model of variation in turnover rates.     

A Theory on REIT’s Advisor Choice and the Optimal Compensation Mechanism

This paper proposes a model which examines the power of monitoring and forcing contract on improving managerial efficiency. We put particular focus on its implication regarding the choice of advisor type used by REITs. This question has long been a puzzling one in real estate literature. Our model provides a theoretical justification regarding the potential appeal of external managerial structure, which is usually regarded as being inferior to internal managerial structure. A crucial driving force regarding advisor choice is the heterogeneity on monitoring power between internal and external advisors and across REIT firms. Provided that the gap of monitoring power is large enough between internal and external advisors, shareholders could make use of the heterogeneity, and induce higher effort levels from external advisors. We motivate the rationale for expecting a “monitoring advantage” over external management from two aspects: the dual-role of external advisory firm and a bigger reputational cost associated with external advisor. Furthermore, we are able to specify the range within which an improved monitoring power is Pareto-optimal for both REIT shareholders and advisors. One implication is that, as agents, it may also be to the benefit of advisors to be better monitored. Finally, we compare the difference between fixed and stochastic forcing contracts. Our findings show that with their imperfect performance measures, the stochastic forcing contracts always dominate the fixed one.     

Are good financial advisors really good? The performance of investment banks in the M&;A market

The study examines whether prestigious investment banks deliver quality gains to their clients in a sample of 6,379 US M&A deals. It finds that acquirers advised by tier-one advisors lost more than $42 billion, whereas those advised by tier-two advisors gained $42 billion, whereas those advised by tier-two advisors gained 13.5 billion at the merger announcement. The results were mainly driven by the large loss deals advised by tier-one advisors. The evidence indicates that investment banks might have different incentives when they advise on large deals vs. small deals. The results imply that market share based reputation league tables, could be misleading and therefore, the selection of investment banks should be based on their track record in generating gains to their clients. The findings were consistent with the superior deal hypothesis as tier-one target advisors outperformed tier-two advisors and the existence of a prestigious advisor on at least one side of an M&A transaction resulted in higher wealth gains to the combined entity. Target advisors were able to extract more wealth gains for their clients, which led to higher combined gains at the expense of the acquirer.     

On the neutrality of debt in investment intensity

This paper examines the interaction between investment and financing decisions of a firm using a real options approach. The firm is endowed with a perpetual option to invest in a project at any time by incurring an irreversible investment cost at that instant. The amount of the irreversible investment cost is directly related to the intensity of investment that is endogenously chosen by the firm. At the investment instant, the firm can finance the project by issuing debt and equity, albeit subject to an exogenously given credit constraint that prohibits the firm’s debt-to-asset ratio from exceeding a prespecified threshold. The optimal capital structure of the firm is determined by the trade-off between interest tax-shield benefits and bankruptcy costs of debt. Irrespective of whether the exogenously given credit constraint is binding or not, we show that leverage has no impact on the firm’s optimal investment intensity, thereby rendering the neutrality of debt in investment intensity. Similar to earlier work, we show that debt is not neutral to investment timing in general, and the levered firm invests earlier than the unlevered firm in particular.