Die Kalkulation ausfallrisikobedrohter Finanztitel mit Rating-Übergangsmatrizen

Ohne Zusammenfassung     

An econometric procedure for estimation of a generalized systemic gravity model under incomplete information about the system

Gravity spatial interaction models have a long history and a wide scope of empirical applications, Alonso (1973) proposed a generalized model whose structure subsumes major versions of the gravity model in the literature as special cases. Little attention has been given to how the general model might be estimated, or if it is estimable at all. This paper develops an econometric procedure for situations where all places in a geographic system are not included in the observations. The general model and various constrained versions are empirically estimated on a sample of intermetropolitan migration data and compared.     

Aggregate supply considerations and the St. Louis equation

This study presents the theoritical analysis of expanding the St. Louis equation to incorporate aggregate supply variables and an initial examination of the impact of monetary and fiscal policy is the expanded equation. The regression results suggest that including the producer price index for crude petroleum (COP) with or without a labor strike variable (WS) falls to influence the dominance of monetary over fiscal policy for the 1953I- 76IV period. However, fiscal policy's significance increases while monetary policy's significance decreases for the 1970I-17IV period. The impact of COP is particularly strong in the 1970s while WS is important in the overall period, 1953I-76IV.     

Strategies for innovation and productivity in Japan and America

The purpose of this paper is to describe the types of organizational settings in the West that have been especially conducive for innovation and productivity. Then the same predictive factors are tested for a sample of 44 Japanese factories in order to investigate the extent to which similar relationships are found in both nations.The results suggest that R&D and the innovation function is handled somewhat differently in Japan, but that the consequences of the scale of operations for innovation and productivity are basically similar. In general, large scale operations are more productive, but less innovative in both nations. However, emphasis on specialized R&D seems to be more characteristic of U.S. industry. Many small firms in Japan achieve innovative performances with relatively little expenditure on R&D per se. However, to what extent the Japanese formula which has worked in the past will continue to work in the high technology era of the 1980s remains an open question.     

Deterrence versus intrinsic motivation: Experimental evidence on the determinants of corruptibility

This paper reports on an experiment of corruption that was conducted in two treatments: one with the possibility of detection and one without. It turns out that monitoring reduces corruption through deterrence; at the same time, it destroys the intrinsic motivation for honesty. Thus the net effect on overall corruption is a priori undetermined. We show that the salary level has an influence on corruption through increased opportunity costs of corruption, but fail to find evidence for a ‘payment satisfaction’ effect. Interesting policy conclusions emerge. RID="*" ID="*" Acknowledgments: We are indebted to Johann Graf Lambsdorff for calling our attention to Fujimori's gender policy and to Ernst Fehr, Bruno Frey, Alireza Jay Naghavi, and two anonymous referees for valuable comments.     

Macro foundations of micro-economics

This paper attempts to circumvent the nonsense of the representative agent which arises in macroeconomics. It recognises that macro data are relevant to agents' decisions, and so excess demands should contain macro variables as arguments. The macro variables I consider are the price index, unemployment and GNP. This paper should be regarded as a tentative beginning to make macroeconomic theory literate. Received: September 19, 2001; revised version: July 24, 2002 RID="*" ID="*"I am delighted to contribute to this Festschrift for Mordecai now that he has reached the appropriate age.     

Announcement and Publication Decisions and the Use of Prediction Errors in Cross-Sectional Analysis: Evidence on Seasoned Equity Issues

An important concern for empirical analysis of market responses to public releases of information is whether the voluntary nature of announcement and publication decisions imparts a selectivity bias and, if so, how this bias affects empirical results. Using a database of SEC filings of equity issues, all related Wall Street Journal published announcements are identified. The published announcements are used to classify proposed issues into subsamples with homogeneous information structures. Announcement and WSJ publication decisions are found to be non-random but, for industrial firms, not significantly related to firm size or exchange listing. Coefficients estimated without controlling for selectivity are found not to be significantly biased for either industrial or utility issues. However, for industrial issues, significance levels are considerably lower when selectivity bias is controlled. The hypothesis common to other studies of new issue announcement effects that observations from different information structures can be pooled, with coefficient estimates restricted to be equal across information structures, is rejected. The results have implications for the methods used to study cross-sectional market responses     

Stock options and capital structure

We show that value-maximizing CEOs compensated with stock options prefer debt to equity. Our pecking order result does not depend on managerial risk aversion, managerial firm-specific human capital, or asymmetric information. Moreover, our result holds at least weakly regardless of the distribution of firm cash flows and strictly as long as the support of the cash flow distribution is big enough to bring all features of the stock option contract into play with positive probability JEL Classification Numbers: G0, G3 An earlier version of this paper was completed while Page was visiting CERMSEM at Paris 1 and the University of Warwick. Page gratefully acknowledges the support and hospitality of CERMSEM, Paris 1 and Warwick. Page also gratefully acknowledges financial support from the Department of Economics, Finance, and Legal Studies and the Culverhouse College of Business at the University of Alabama. Both authors are grateful to seminar participants in the Financial Markets Group Workshop at LSE for many helpful comments and both authors are especially grateful to an anonymous referee whose detailed and insightful comments led to substantial improvements in the paper     

Privatization and stock market liquidity

This paper shows that share issue privatization (SIP) is a major source of domestic stock market liquidity in 19 developed economies. Particularly, privatization IPOs have a negative effect on the price impact – measured by the ratio of the absolute return on the market index to turnover. This result is robust to the inclusion of controls for other observable and unobservable factors, having also considered the endogenous nature of the decision to privatize.     

When Taxation Changes the Course of the Year: Fiscal‐Year Adjustments and the German Tax Reform of 2000–01*

This paper examines 157 German listed corporations that had the option of changing their fiscal year to achieve a possible tax reduction in connection with the major tax reform of 2000—01. The tax reduction from a change was larger, the larger the expected profits. However, with costs of changing the fiscal year, not all firms that expect a tax reduction from a change may do so. The paper presents empirical evidence that the propensity to change the fiscal year was significantly related to the amount of expected tax savings. This suggests that the corporate tax reduction — in combination with the special German transitory provisions — induced a deadweight loss: corporations incurred a non‐tax cost to avoid a tax cost.