On the robustness of risk-based asset allocations

Since the subprime crisis, portfolios based on risk diversification are of great interest to both academic researchers and market practitioners. They have also been employed by several asset management firms and their performance appears promising. Since they do not rely on estimates of expected returns, they are assumed to be robust. The same argument holds for minimum variance and equally weighted portfolios. In this paper, we consider a Monte Carlo simulation, as well as an empirical global portfolio dataset, to study the effect of estimation errors on the outcomes of two recently proposed asset allocations, the equally weighted risk contribution (ERC) and the principal component analysis (PCA) portfolio. The ERC portfolio is more robust to changes in the input parameters and has a smaller estimation error than the Markowitz approaches, whereas the PCA portfolio is even more unstable than the classical approaches. In the worst-case scenario, neither approach delivers what it promises. However, in every case the resulting return?Crisk relationship is dominated by the Markowitz approaches.     

Bank Financing for SMEs: Evidence Across Countries and Bank Ownership Types

Using data for 91 large banks from 45 countries, this paper finds that foreign, domestic private, and government-owned banks use different lending technologies and organizational structures for SME financing. The extent, type, and pricing of SME loans, however, is not strongly correlated with lending technologies and organizational structures, suggesting that SME financing need not be based only on ??relationship lending??. Consistent with these results, we find few significant differences in the extent, type, and pricing of SME loans across bank types. Instead, we find significant differences across developed and developing countries, driven by differences in the institutional and legal environment.     

Kostenrechnerische Grundlagen für das IV-Controlling Thorsten Spitta

Informations-Verarbeitungs-Controlling (IV-Controlling) wird praktisch und theoretisch stark vernachl?ssigt.     

Financial Dependence and International Trade

Does financial development translate into a comparative advantage in industries that use more external finance? The author uses industry‐level data on firms’ dependence on external finance for 36 industries and 56 countries to examine this question. It is shown that countries with better‐developed financial systems have higher export shares and trade balances in industries that use more external finance. These results are robust to the use of alternative measures of external dependence and financial development and are not due to reverse causality or simultaneity bias.     

The Long and Winding Road: Building Legitimacy for Complex Social Innovation in Networks

Social innovations, which increasingly take place in interorganizational networks, occur in environments characterized by resource scarcity. To secure access to resources, social innovators need to establish legitimacy for their initiatives. Yet, empirical work investigating the process of establishing legitimacy for social innovation—also known as legitimation—is absent. This research aims to uncover how legitimacy is established when social innovations are developed, over time, through interorganizational networks. To investigate this process, the research adopts a longitudinal case study of a network of five market‐leading organizations in the home care sector. A process‐based analysis of evidence from 33 meeting observations, 45 in‐depth interviews, and 249 documents reveals three novel findings. (1) The attainment of overall legitimacy depends on the establishment, over time, of three types of legitimacy targeted at different audiences. These are framed as building blocks oriented toward achieving interorganizational, multilevel, and external legitimacy. (2) The process of establishing legitimacy, across the building blocks, is underpinned by two dominant combinations of patterns—denoted as courting and demonstrating commitment. (3) Variation in two underlying mechanisms—conflicting tensions and role promotion—drives the enactment of these patterns across the different building blocks. The study's novelty lies in the extrication of critical types of legitimacy and dominant patterns and mechanisms which underpin the process of establishing legitimacy. It contributes to social innovation and innovation legitimation literature by providing a deep‐grained understanding of the process to establish legitimacy within social innovations carried out through interorganizational networks.     

Wage Cyclicality Under Different Regimes of Industrial Relations

We analyze the effect of collective wage agreements and of works councils on the cyclicality of real wages. Using employer–employee data for western Germany (1995–2004), we find that wage adjustments to positive and negative shocks are generally not symmetric. Wage growth increases in all industrial relations regimes when unemployment is falling, but this inverse relationship is weaker when unemployment is rising. Moreover, in plants with individual‐level bargaining, wages do not adjust at all to rising unemployment. Works councils increase wage growth only in firms covered by sectoral agreements, but they do not affect the cyclicality of wages.     

Managing technology development teams – exploring the case of microsytems and nanosystems

New sensor and actuator concepts based on microelectromechanical systems (MEMS) and nanoelectromechanical systems (NEMS) are increasingly being developed from lab status toward commercialization. The associated technology development for the provision of improved functionalities and cost reduction often requires highly interdisciplinary development teams where scientists and engineers from different disciplines closely work together. Managing these teams is a key challenge for MEMS/NEMS organizations. This research examined eight technology developments in MEMS/NEMS in international companies. Based on in‐depth interviews with innovators, we explored the managerial aspects of development teams. We identified and discuss (1) leadership, (2) market, (3) team structure and culture, (4) innovation motivation, (5) innovation driver, (6) experience and know‐how, and (7) product vision and innovation strategy as key influences on teams in the early development phases of MEMS/NEMS. Our study reveals that integrative and manufacturing know‐how and capabilities are the most critical capacities to be developed by the team from the idea to the concept phase. The team's lived experience during long development times from 5 to 10 years or more may allow a fast response to changes from market and technology (e.g. materials and nanotechnology). The results indicate that the process of how know‐how and capabilities are created by the team is more important than the mere existence of specific expertise.     

Cheaper by the bundle: The interaction of frictions and option exercise in variable annuities

Typical Variable Annuity products combine complex baseline contracts at substantial fees with optional guarantees. We argue this product design aligns with the benefits of bundling to the provider, to the extent that the baseline option features can reduce total replication value. This is possible due to market frictions, and particularly taxation rules, affecting policyholder exercise behavior. We demonstrate the relevance of this mechanism in the context of popular withdrawal guarantees, both theoretically and empirically. Specifically, we show that in the presence of personal taxes, adding on a common death benefit at baseline may decrease the total contract value to the provider.     

Access to Financial Services: Measurement, Impact, and Policies

In many developing countries less than half the population hasaccess to formal financial services, and in most of Africa lessthan one in five households has access. Lack of access to financeis often the critical mechanism for generating persistent incomeinequality, as well as slower economic growth. Hence expandingaccess remains an important challenge across the world, leavingmuch for governments to do. However, not all government actionsare equally effective and some policies can even be counterproductive.This paper sets out principles for effective government policyon broadening access, drawing on the available evidence andillustrating with examples. The paper concludes with directionsfor future research. JEL Codes: D31, G20, G21, O12, O16     

Real options valuation: the new frontier in R&D project evaluation?

The real options approach has recently received growing attention in R&D and Technology Management research. Recent empirical findings by Ellis (1997) and Busby and Pitts (1997) also report growing attention and use in practical investment decisions. However, there is a certain concern about the applicability to a wide range of R&D related problems. The theoretical base behind options valuation is derived from the capital markets and thus assumes market conditions that are closer to the theoretical construct of 'perfect competition' than most other settings. Even under these conditions, several assumptions made and difficulties left are subject to controversial discussions. Of course these problems even gain importance when the R&D environment with its discontinuities and lack of regulation or institutionalized trade is assumed. This paper describes some basic properties of the real options approach and sheds light on existing problems for the application in R&D project evaluation. On the other hand, roads to application of the method are shown using the Geske model of option evaluation. One main goal of the paper is to broaden and deepen the discussion on real option models in R&D and Technology Management, which has in some cases been limited to stressing the advantages of the method rather than reflecting on applicability and concrete way of application of the method.