The Skill Profile of Central Bankers and Supervisors

Using a new database covering some 91 supervisory agencies, this paper examines how important various skilled experts are in the supervisory process and the relative usage of different kinds of such experts. We seek to explore what kind of perspective supervisors in different institutional settings may adopt: a macro-oriented perspective or a more micro-approach? The answer to this question is relevant, as there is evidence that many financial crises have been macro-induced.It is found that central banks employ more economists and fewer lawyers in their supervisory/financial stability wing than non-centralbank supervisory agencies. This result would indicate that an institutional setting with direct or indirect central bank involvement is more likely to produce a macro-approach. Next, there are significant economies of scale in financial supervision, though this can be measured by several alternative variables (e.g., the relative scale of bank intermediation). Finally, there do not appear to be major economies of scope. A more complex financial system with a well-developed stock market would need both more supervisors as well as more skilled ones.     

Noise fit,estimation error and a Sharpe information criterion

When the in-sample Sharpe ratio is obtained by optimizing over a k-dimensional parameter space, it is a biased estimator for what can be expected on unseen data (out-of-sample). We derive (1) an unbiased estimator adjusting for both sources of bias: noise fit and estimation error. We then show (2) how to use the adjusted Sharpe ratio as model selection criterion analogously to the Akaike Information Criterion (AIC). Selecting a model with the highest adjusted Sharpe ratio selects the model with the highest estimated out-of-sample Sharpe ratio in the same way as selection by AIC does for the log-likelihood as a measure of fit.     

A Critical Examination of the Relationship between Emotional Intelligence and Transformational Leadership

The buoyant research interest in the constructs emotional intelligence (EI) and transformational leadership (TFL) is a testament to the crucial role of emotional skills at work. EI is often described as an antecedent of TFL, and several empirical studies report a positive relationship between these variables. On closer inspection, however, there may be methodological factors, such as common method variance, that potentially undermine the validity of findings. Using a multi‐rater assessment (N = 227), this study sought to overcome the problem of method variance, whilst at the same time evaluate its potential presence by comparing same‐source and non‐same‐source data. Findings suggest that, when using a strong methodological design, no relationship between EI and TFL is found. Thus, these findings renew the demand for scientific rigour in the design of studies to enhance their validity. The theoretical ramifications of this study are such that management scholars need to re‐conceptualize the relationship between EI and TFL.     

„TOP Controlling“ — Initiative bei Bayer CropScience

Einführung von Management Informationssystem, Integration von Bedarfs- und Ergebnisplanung durch globales SAP-basiertes Planungssystem sowie Aufsetzen einer „Finance Academy“     

University patenting and technology commercialization – legal frameworks and the importance of local practice

The impact of national legislative frameworks on the higher education sector's contribution to technological innovation is heavily disputed. This paper argues that legislative frameworks may stimulate the development of local practices for the management and exploitation of intellectual property (IP), which in turn determine the level of academic patenting. We present case studies of two comparable universities in each of four selected European countries with different histories of national IP legislation. A within-country analysis shows that a wider range and earlier development of local IP management and exploitation practices are accompanied by higher levels of academic patenting, and that increasing similarity of IP practices is associated with decreasing differences in patenting outputs. A preliminary cross-country analysis reveals an expansion in and increasing similarity of practices for IP management and exploitation in countries with different national IP framework histories. We conclude that adopting Bayh-Dole-like legislation may trigger the development of local IP practices, which stimulate patenting. However, it is not always sufficient and definitely not always necessary. The study concludes with some policy recommendations.     

Price Signaling and Return Chasing: International Evidence from Maturing REIT Markets

This article examines the liquidity of international real estate securities across 10 markets over the period 1990–2015. We apply and compare results for four different measures of liquidity, and find that while liquidity has increased consistently, wide variations still exist across markets, with the United States and Japan in the lead. Our results also suggest that the introduction of local REIT regimes did not have any pervasive effects on stock liquidity. When we study the relationship between liquidity and returns, we document new and consistent evidence for international return chasing behavior, whose pattern is a function of local market efficiency, listed real estate market maturity and stock ownership dispersion. The introduction of REIT regimes seems to weaken the importance of extra performance over and above general equity returns as investors tend to allocate funds to real estate securities within real estate rather than equity portfolios.     

Pension regulation and the market value of pension liabilities: A contingent claims analysis using Parisian options

We analyze the market-consistent valuation of pension liabilities in a contingent claim framework whereby a knock-out barrier feature is applied to capture early regulatory closure of a pension plan. We investigate two cases which we call “immediate closure procedure” and “delayed closure procedure”. In an immediate closure procedure, when the assets value hits the regulatory boundary, the pension plan is terminated immediately. Whereas in a delayed closure procedure, a grace period is given to the pension fund for reorganization and recovery before premature closure is executed. The framework is then used to construct fair pension deals. Furthermore, we provide rules for deriving the optimal recovery period in pension regulation using utility analysis and interconnect the recovery period to the regulatory liquidation probability.     

False Discoveries in UK Mutual Fund Performance

We use a multiple hypothesis testing framework to estimate the false discovery rate (FDR) amongst UK equity mutual funds. Using all funds, we find a relatively high FDR for the best funds of 32.8% (at a 5% significance level), which implies that only around 3.7% of all funds truly outperform their benchmarks. For the worst funds the FDR is relatively small at 7.6% which results in 22% of funds which truly underperform their benchmarks. For different investment styles, this pattern of very few genuine winner funds is repeated for all companies, small companies and equity income funds. Forming portfolios of funds recursively for which the FDR is controlled at a ‘acceptable’ value, produces no performance persistence for positive alpha funds and weak evidence of persistence for negative alpha funds.