Can firm-specific dividend drop-off ratios be used to infer shareholder marginal tax rates?

In a seminal study, Elton and Gruber (1970) argue that ex-dividend day pricing can be used to infer marginal tax rates of shareholders. We examine ex-dividend day pricing for individual firms and ask whether their CFOs could use the history of a firm's ex-dividend price-drop ratios to infer reasonable estimates of shareholders’ marginal tax rates. We use TAQ data for 1,124 US firms that have at least 30 ex-dividend days during the period August 1993 to October 2012. Our results show that ex-dividend day pricing is so noisy as to prohibit sensible estimates of shareholders’ marginal tax rates.     

A super-replication theorem in Kabanov’s model of transaction costs

We prove a general version of the super-replication theorem, which applies to Kabanov’s model of foreign exchange markets under proportional transaction costs. The market is described by a matrix-valued càdlàg bid-ask process evolving in continuous time. We propose a new definition of admissible portfolio processes as predictable (not necessarily right- or left- continuous) processes of finite variation related to the bid-ask process by economically meaningful relations. Under the assumption of existence of a strictly consistent price system (SCPS), we prove a closedness property for the set of attainable vector-valued contingent claims. We then obtain the super-replication theorem as a consequence of that property, thus generalizing to possibly discontinuous bid-ask processes analogous results obtained by Kabanov (Financ. Stoch. 3, 237–248, 1999), Kabanov and Last (Math. Financ. 12, 63–70, 2002) and Kabanov and Stricker (Advances in Finance and Stochastics: Essays in Honour of Dieter Sondermann, pp 125–136, 2002). Rásonyi’s counter-example (Lecture Notes in Mathematics 1832, 394–398, 2003) served as an important motivation for our approach.     

Beyond cash-additive risk measures: when changing the numéraire fails

We discuss risk measures representing the minimum amount of capital a financial institution needs to raise and invest in a pre-specified eligible asset to ensure it is adequately capitalized. Most of the literature has focused on cash-additive risk measures, for which the eligible asset is a risk-free bond, on the grounds that the general case can be reduced to the cash-additive case by a change of numéraire. However, discounting does not work in all financially relevant situations, especially when the eligible asset is a defaultable bond. In this paper, we fill this gap by allowing general eligible assets. We provide a variety of finiteness and continuity results for the corresponding risk measures and apply them to risk measures based on value-at-risk and tail value-at-risk on L ^p spaces, as well as to shortfall risk measures on Orlicz spaces. We pay special attention to the property of cash subadditivity, which has been recently proposed as an alternative to cash additivity to deal with defaultable bonds. For important examples, we provide characterizations of cash subadditivity and show that when the eligible asset is a defaultable bond, cash subadditivity is the exception rather than the rule. Finally, we consider the situation where the eligible asset is not liquidly traded and the pricing rule is no longer linear. We establish when the resulting risk measures are quasiconvex and show that cash subadditivity is only compatible with continuous pricing rules.     

Shadow prices,fractional Brownian motion,and portfolio optimisation under transaction costs

The present paper accomplishes a major step towards a reconciliation of two conflicting approaches in mathematical finance: on the one hand, the mainstream approach based on the notion of no arbitrage (Black, Merton & Scholes), and on the other hand, the consideration of non-semimartingale price processes, the archetype of which being fractional Brownian motion (Mandelbrot). Imposing (arbitrarily small) proportional transaction costs and considering logarithmic utility optimisers, we are able to show the existence of a semimartingale, frictionless shadow price process for an exponential fractional Brownian financial market.     

Libertarianism and Private Property in Land

A bstract . Whether or not we have any natural right to landownership , like life and liberty , the institution of private property is a good . The utility produced by private property in land is overshadowed by the evils produced by the speculative withholding of supramarginal land unless compensatory payments are required of landowners. Such payments should be made to those living in the same "rental area" and should be of an amount that will eliminate all incentive to land speculation. It is not always either desirable or possible to require that all of one's land value be paid in compensation. and even if such payments could be accomplished, they would not always be enough to redistribute the product stemming from the "monopolization" of real property The proper compensatory payment should reflect real increases in the value of real estate since its purchase, minus the value of improvements to the site made by the owner.     

Legalize Drugs Now!: An Analysis of the Benefits of Legalized Drugs

The legalization of drugs would prevent our civil liberties from being threatened any further, it would reduce crime rates, reverse the potency effect, improve the quality of life in the inner cities, prevent the spread of disease, save the taxpayer money, and generally benefit both individuals and the community as a whole. Our arguments are based on a basic appreciation of the benefits provided by voluntary exchange and the role markets play in coordinating human activities. Legalizing drugs would eliminate many inconsistencies, guarantee freedoms, and increase the effectiveness of the government's anti-drug beliefs. The present war on drugs has not and will not produce a decisive victory. We advocate a new approach to this important social problem.     

Charakteristika von Vorstandsmitgliedern – Humankapitalsignale bei der Besetzung von Positionen im Top-Management

Zusammenfassung  Ziel dieser Arbeit ist es, die für deutsche Spitzenkr?fte als karriererelevant in Frage kommenden Charakteristika unter einem einheitlichen humankapital-, tournament- und singalingtheoretischen Rahmen vergleichend zu untersuchen. Dabei werden die identifizierten Merkmale zun?chst knapp auf ihre Signalfunktion hin bewertet und Hypothesen zu deren Wirksamkeit und Relevanz abgeleitet, die im Anschluss daran einer empirischen Prüfung unterzogen werden. In der Zusammenfassung werden die Ergebnisse der Arbeit pr?sentiert, die die ?konomische Theorie zur Relevanz von Humankapitalsignalen best?tigen und verdeutlichen, dass die erfolgreiche berufliche Bew?hrung und der Erwerb überdurchschnittlicher akademischer Abschlüsse wichtigste Kriterien für den Zugang zu Spitzenführungspositionen sind.