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The German entrepreneurial index (GEX®): a primer on an ownership-based style index in Germany

Achleitner, Ann-Kristin; Kaserer, Christoph; … - 2009

Recent research indicates that the majority of listed firms in Germany (and also in many other countries around the world) have a dominant owner rather than being widely-held. Hence, owner-dominated firms comprise an important subset of listed companies. This article introduces the concept of an...

Persistent link: https://www.econbiz.de/10010305735

Cross-border diversification in bank asset portfolios

Buch, Claudia M.; Driscoll, John C.; Ostergaard, Charlotte - 2005

Taking the mean-variance portfolio model as a benchmark, we compute the optimally diversified portfolio for banks located in France, Germany, the U.K., and the U.S. under different assumptions about currency hedging. We compare these optimal portfolios to the actual cross-border assets of banks...

Persistent link: https://www.econbiz.de/10011604475

The Home Bias in Equities and Distribution Costs

Harms, Philipp; Hoffmann, Mathias; Ortseifer, Christina - 2010

We show that including distribution costs into a general equilibrium model of international portfolio choice contributes to explaining the "home bias" in international equity investment. Our model is able to replicate observed investment positions for a wide range of parameter values, even if...

Persistent link: https://www.econbiz.de/10011430091

The Downside Risk of Heavy Tails induces Low Diversification

Hyung, Namwon; de Vries, Casper G. - 2010

Actual portfolios contain fewer stocks than are implied by standard financial analysis that balances the costs of diversification against the benefits in terms of the standard deviation of the returns. Suppose a safety first investor cares about downside risk and recognizes the heavytail feature...

Persistent link: https://www.econbiz.de/10010325744

Contagion of currency crises: Some theoretical and empirical analysis

Karmann, Alexander; Greßmann, Oliver; Hott, Christian - 2002

This paper investigates contagion effects. In a model with highly and lowly informed investors we show that a currency crisis in one country can trigger a crisis in another country. Portfolio losses of the highly informed investors in one country will force them to withdraw capital from the...

Persistent link: https://www.econbiz.de/10010301742

Contagion of currency crises: Some theoretical and empirical analysis

Karmann, Alexander; Greßmann, Oliver; Hott, Christian - 2002

Persistent link: https://www.econbiz.de/10010305446

Composition of international capital flows: A survey

Kirabaeva, Koralai; Razin, Assaf - 2010

We survey several key mechanisms that explain the composition of international capital flows: foreign direct investment, foreign portfolio investment and debt flows (bank loans and bonds). In particular, we focus on the following market frictions: asymmetric information in capital markets and...

Persistent link: https://www.econbiz.de/10010279956

Controlling shareholders and payout policy: do founding families have a special 'taste for dividends'?

Schmid, Thomas; Ampenberger, Markus; Kaserer, Christoph; … - 2010

Around the world (with the U.S. and U.K. as exceptions) concentrated ownership structures and controlling shareholders … are predominant even among listed firms. We provide novel empirical evidence how such controlling shareholders, in … family and non-family controlling shareholders and tensions within the founding family are important determinants of payout …

Persistent link: https://www.econbiz.de/10010305703

Monetary policy trade-offs in a portfolio model with endogenous asset supply

Schüder, Stefan - 2011

This paper develops an open economy portfolio balance model with endogenous asset supply. Domestic producers finance capital goods through credit and bonds in accordance with debt capital costs as well as through equity assets. Private households hold a portfolio of domestic and foreign assets,...

Persistent link: https://www.econbiz.de/10010311698

Tax competition for international portfolio capital among emerging markets: An approach considering the substitutability of risky assets

Reichl, Bettina - 1998

As in the case with perfect foresight, under conditions of uncertainty investors respond to changes in the assets' relative returns. An increase in the expected return of one asset here typically (if both assets are not perfectly correlated) induces a shift, but not a plunge toward that asset....

Persistent link: https://www.econbiz.de/10010295360