Kennzahlengestütztes Beteiligungscontrolling

Im Zuge von zunehmenden Unternehmens-Kooperationen und Unternehmensfusionen sowie einer immer st?rker werdenden Internationalisierung des Mittelstandes gewinnt ein kennzahlengestütztes Beteiligungscontrolling immer mehr an Bedeutung.     

Why Does Implied Risk Aversion Smile?

Implied risk aversion estimates reported in the literature arestrongly U-shaped. This article explores different potentialexplanations for these "smile" patterns: (i) preference aggregation,both with and without stochastic volatility and jumps in returns,(ii) misestimation of investors’ beliefs caused by stochasticvolatility, jumps, or a Peso problem, and (iii) heterogeneousbeliefs. The results reveal that preference aggregation andmisestimation of investors’ beliefs caused by stochasticvolatility and jumps are unlikely to be the explanation forthe smile. Although a Peso problem can account for the smile,the required probability of a market crash is unrealisticallylarge. Heterogeneous beliefs cause sizable distortions in impliedrisk aversion, but the degree of heterogeneity required to explainthe smile is implausibly large. (JEL: G12, G13)     

On bootstrapping the mode in the nonparametric regression model with random design

In the nonparametric regression model with random design and based on i.i.d. pairs of observations (X _i, Y _i), where the regression function m is given by m(x)=?(Y _i|X _i=x), estimation of the location θ (mode) of a unique maximum of m by the location of a maximum of the Nadaraya-Watson kernel estimator for the curve m is considered. In order to obtain asymptotic confidence intervals for θ, the suitably normalized distribution of is bootstrapped in two ways: we present a paired bootstrap (PB) where resampling is done from the empirical distribution of the pairs of observations and a smoothed paired bootstrap (SPB) where the bootstrap variables are generated from a smooth bivariate density based on the pairs of observations. While the PB requires only relatively small computational effort when carried out in practice, it is shown to work only in the case of vanishing asymptotic bias, i.e. of “undersmoothing” when compared to optimal smoothing for mode estimation. On the other hand, the SPB, although causing more intricate computations, is able to capture the correct amount of bias if the pilot estimator for m oversmoothes. Received: May 2000     

Common risk factors in international stock markets

Financial Markets and Portfolio Management - A major obstacle for research in international asset pricing and corporate finance has been a lack of reliable and publicly available data on...     

Is it Beneficial to be Included in a Sustainability Stock Index? A Panel Data Study for European Firms

This paper empirically examines the effect of inclusion in the Dow Jones Sustainability World Index (DJSI World) on corporate financial performance. On the basis of panel data for European firms that were included in the Dow Jones Stoxx 600 Index over time, our micro-econometric analysis with fixed and random effects models implies positive impacts on return on assets for continental European countries, but insignificant effects for Anglo-Saxon European countries (i.e., the United Kingdom and Ireland). Furthermore, the impacts on alternative indicators of corporate financial performance such as Tobin’s Q are generally insignificant. The weak or neutral effect of inclusion in the DJSI World on corporate financial performance can be explained by several mutually confounding factors. Furthermore, the composition of this sustainability stock index is influenced by factors that need not necessarily be directly connected to corporate environmental or social activities, so that potential positive and negative effects of corporate sustainability performance on financial performance can be weakened. Methodologically, this study again supports the strong relevance of unobserved firm heterogeneity since the application of misspecified pooled regression models leads to obviously biased estimation results.     

Demographic change and implications for planning economic strategy

The growth of population and jobs in nonmetropolitan areas and the decline in growth of metropolitan areas during the previous decade represented a significant reversal in previous settlement patterns in the industrial world. This paper examines the importance of economic and demographic change in explaining recent spatial patterns of concentration and deconcentration within a system's framework, and suggests implications for strategic economic and planning policies. The central hypothesis of this paper is that the nature of these interrelationships determine in large part the dynamics of change within metropolitan and nonmetropolitan areas and makes possible a comprehensive view of the implications, for spatial redistribution, of planning policies and strategies.