Performance Schweizerischer Verwaltungsräte anhand der Aktienkursentwicklung

Ohne Zusammenfassung     

Firm size, web site content, and financial performance in the transportation industry

The transportation industry has been revolutionized by the World Wide Web with the Internet rapidly emerging as the optimal medium for the exchange of information between shippers and carriers throughout the supply chain. Despite this, many motor carrier firms may still not be placing enough emphasis on the Internet. Recent empirical research studies suggest that Internet utilization in the supply chain is significantly influenced by firm size. This study analyzes the informational and interactive content of the Top 100 U.S. motor carrier firms' web sites to examine the relationship between firm size and Internet utilization. In addition, as there is little research that assesses the payoff in terms of benefits for firms that place more emphasis on the Internet for commercial activity, secondary financial data are used to evaluate the association between Internet utilization and firm financial performance in the transportation industry.     

The error structure of time series cross-section hedonic models with sporadic event timing and serial correlation

When estimating hedonic models of housing prices, the use of time series cross-section repeat sales data can provide improvements in estimator efficiency and correct for unobserved characteristics. However, in cases where serial correlation is present, the irregular timing of sales should also be considered. In this paper we develop a model that uses information on the timing of events to account for the sporadic occurrence of events. The model presumes that the serial correlation process can be decomposed into a time-independent (event-wise) component and a time-dependent (time-wise) component. Empirical tests cannot reject the presence of sporadic correlation patterns, while simulations show that the failure to account for sporadic correlation leads to significant losses in efficiency, and that the losses from ignoring sporadic correlation when it exists are larger than losses when sporadic correlation is falsely assumed. Copyright © 1999 John Wiley & Sons, Ltd.     

Preferred risk habitat of individual investors

The preferred risk habitat hypothesis, introduced here, is that individual investors select stocks whose volatilities are commensurate with their risk aversion. The data, 1995–2000 holdings of over 20,000 clients at a large German broker, are consistent with the predictions of the hypothesis: the returns of stocks within each portfolio have remarkably similar volatilities, when stocks are sold they are replaced by stocks of similar volatilities, and the more risk-averse customers indeed hold less volatile stocks. Greater volatility specialization is associated with lower Sharpe ratios, primarily because more specialized investors hold fewer stocks and thereby expose themselves to more unsystematic risk.     

The level and quality of Value-at-Risk disclosure by commercial banks

In this paper we study both the level of Value-at-Risk (VaR) disclosure and the accuracy of the disclosed VaR figures for a sample of US and international commercial banks. To measure the level of VaR disclosures, we develop a VaR Disclosure Index that captures many different facets of market risk disclosure. Using panel data over the period 1996–2005, we find an overall upward trend in the quantity of information released to the public. We also find that Historical Simulation is by far the most popular VaR method. We assess the accuracy of VaR figures by studying the number of VaR exceedances and whether actual daily VaRs contain information about the volatility of subsequent trading revenues. Unlike the level of VaR disclosure, the quality of VaR disclosure shows no sign of improvement over time. We find that VaR computed using Historical Simulation contains very little information about future volatility.     

Loan growth and riskiness of banks

We investigate whether loan growth affects the riskiness of individual banks in 16 major countries. Using Bankscope data from more than 16,000 individual banks during 1997–2007, we test three hypotheses on the relation between abnormal loan growth and asset risk, bank profitability, and bank solvency. We find that loan growth leads to an increase in loan loss provisions during the subsequent three years, to a decrease in relative interest income, and to lower capital ratios. Further analyses show that loan growth also has a negative impact on the risk-adjusted interest income. These results suggest that loan growth represents an important driver of the riskiness of banks.     

Using thermodynamic availability to determine the energy of explosion for compressed gases

This paper expands on the work of Crowl [1] by using thermodynamic availability to calculate the energy of explosion for compressed gases. The results show that thermodynamic availability is a completely general approach, including effects due to chemical reaction and mechanical expansion. For the case of a non-reactive gas, a general equation is presented to determine the energy of explosion due to mechanical expansion of the gas. The energy determined using availability is much less than the energy determined assuming an isothermal expansion and usually much more than the energy determined assuming an isentropic expansion. Since availability is a state function, the energy determined is independent of the path.     

Impact of diversification on the distribution of stock returns: International evidence

In the past, stock returns are often assumed to be normally distributed. Potential gains from international portfolio diversification are thus based on a mean-variance framework. However, numerous empirical results reveal that stock returns are actually not normally distributed. Although previous studies found that both skewness and kurtosis can be rapidly diversified away, these results are only valid for a random sample of a given portfolio size. This paper studies the joint effect of diversification and intervaling on the skewness and kurtosis of eleven international stock market indexes with a holding period spanning from one to six months. A complete set of all possible combinations of portfolios is used. It is found that diversification does not reduce either skewness or kurtosis. As the portfolio size increases, portfolio returns become more negatively skewed and more leptokurtic. As a result, a rational investor may not gain from international diversification.