Manfred Steiner

Rating aus Sicht der modernen Finanzierungstheorie

In jungster Zeit hat sich die Literatur zur Finanzpraxis eingehend mit dem Thema Rating beschaftigt, bislang fehlt es jedoch weitgehend an deutschsprachigen Untersuchungen, die sich dem Thema aus finanzierungstheoretischer Sicht nahern. Der vorliegende Beitrag verfolgt das Ziel, Rating aus der Sicht der modernen Finanzierungstheorie zu kommentieren. Dazu werden zunachst die Aussagen der neoklassischen und anschliesend der neoinstitutionalistischen Finanzierungstheorie kurz dargestellt und ihr Bezug zum Rating abgeleitet. Dabei werden verschiedene Divergenzen sowie die unterschiedliche Eignung der Theoriezweige zur Erklarung des praktischen Phanomens Rating deutlich. Kern der Analyse ist die Frage, welche Bedeutung das Ratingurteil aus finanzierungstheoretischer Sicht sowohl fur die Fremd- als auch fur die Eigenkapitalkosten hat.

Risk Management and Value Creation in Banks

Previous academic work has focused on why risk management at the corporate level is necessary and desirable from a value creation perspective rather than on how much or what sort of risk management is optimal for a particular firm/bank. Therefore, we develop in this chapter the foundations for a normative theory of risk management in banks. We first explain the need for a consistent framework for risk management at the corporate level in banks. We then move on to defining and examining RAROC (Risk-Adjusted Return on Capital), a capital budgeting rule currently widely used in the banking industry. We then introduce new approaches to capital budgeting and deduct implications from applying these new approaches in banks.

Bewertung von E-Business Strategien

Internet companies pursue other cashflow-models than the old economy. The new economy doesn’t operate in traditional value-added-chains But for all companies the same evaluation criteria are relevant. The value of a company is determinated by the free cash flow and the capital costs. Because of the advantageous cash flows models the free cash flows of the new economy dominate that of the old economy.

Forecasting the Correlation Structure of German Stock Returns: A Test of Firm-Specific Factor Models

This paper evaluates the performance of various factor models with firm-specific variables in forecasting correlation matrices at the German stock market. We investigate forecasts of correlations for a comprehensive sample and a sample of blue chips and analyze the impact of stock market crashes on the forecasting accuracy. Our empirical results show that the multi-factor models do not generally produce better forecasts than naive models. Specifically, the traditional Industry Mean Model significantly outperforms all other techniques in most of the time periods.

An Analysis of the Financing Behavior of German Stock Corporations Using Artificial Neural Networks

The purpose of this paper is to test the managerial and pecking order hypotheses for German stock corporations using annual reports, stock prices and other information for the years 1974–1992. The managerial hypothesis predicts the preference of internal to external financing if the manager’s utility function diverges from the owners’, to avoid additional monitoring. If internal funds are unavailable or insufficient, the management will prefer to issue debt instead of equity, because creditors usually have less chances of influencing managerial practice than the company’s owners. Issuing equity is thus seen as a positive signal, as it announces the reduction of information asymmetries (contrary to the pecking order theory). In the empirical section the degree of informational asymmetry and managerial discretion is described by such variables as block ownership or market segment. Probabilistic and general regression neural networks complement the discriminant analysis, polynomial and general regression neural networks the seemingly unrelated regression.

Measuring Portfolio Performance and the Empirical Content of the APT

The investment performance of mutual fund managers has been extensively evaluated in the literature, especially in the USA. To determine whether a manager has generated superior returns it is necessary to adjust his portfolio performance for risk by comparing that performance with the returns of a passive portfolio in the same risk class. In the earlier studies of (Treynor (1965)), (Jensen 1968, 1969) and (Sharpe (1966)) the Capital Asset Pricing Model (CAPM) provided the expected risk-return relationship.