Sebastian Lobe

The Alternative Three-Factor Model: An Alternative beyond US Markets?

We investigate the performance of the alternative three‐factor model across markets. The important US evidence of Chen et al. (2010) in favour of the alternative model does not translate to a test setting using data from 40 non‐US stock markets. The three‐factor model of Fama and French provides persistently a better description of average returns. Our analysis is robust across developed and emerging markets, robust to alternative measures of investment and profitability, to seasonality effects, to size‐segmented subsamples and subperiods, to various test assets, and to the two‐stage cross‐section regression approach to test for priced factors.

Islamic Equity Investing: AlternativePerformance Measures and Style Analysis

We examine the performance of Islamic equity indices in comparison to their conventional market benchmarks around the world. First, using a variety of alternative performance measures based on, e.g., lower partial moments, drawdown, and value at risk, we document that Islamic indices outperform in developed markets, while they tend to underperform in emerging markets. Second, the style analysis reveals that Islamic indices in developed markets exhibit a strong growth-orientation in their investment behavior, while they show a substantial large cap bias in emerging markets. Finally, the significant overweighting of stocks from the energy and materials sectors relative to the market is identified as one of the main performance drivers of Islamic indices.

The Enterprise Multiple Investment Strategy: International Evidence

The enterprise multiple (EM) predicts the cross section of international returns. The return predictability of EM is similarly pronounced in developed and emerging markets and likewise strong among small and large firms. An international portfolio of low-EM firms outperforms a portfolio of high-EM firms by about 1% per month. The EM value premium is individually significant for the majority of countries, remains largely unexplained by existing asset pricing models, is robust after controlling for comovement with the respective U.S. premium, and is highly persistent for up to 5 years after portfolio formation, making it a promising strategy for investors.

The Price of Faith: Performance, Bulland Bear Markets, and Screening Effectsof Islamic Investing Around the Globe

In recent years, Islamic investing has emerged as a dynamic and quickly growing segment of the worldwide financial services industry. This article extends the international evidence to a much broader sample of 155 indices around the world. We contribute to the literature in several ways. First, using the Sharpe ratio, the CAPM, and the four-factor model, we find no evidence of an out- or underperformance of Islamic indices. Also, Islamic investing tends to have a growth and positive momentum bias. Both insights reconfirm results of previous studies. Second, we reexamine the performance of Islamic indices in bull and bear markets. Our evidence reverses prior results in the literature employing a different sample period. We interpret the evidence as Islamic screens not affecting unconditional performance through the cycle, but affecting performance conditional on the cycle in a manner which is, however, not easy to forecast. This is the price of Islamic investing bearing an unforeseeable chance or risk depending on the market climate. Third, we analyze the influence of screening methods on the performance of Islamic indices suggesting that there is no significant difference between Islamic screens and their performance.

Fairness Opinions and Capital Markets: Evidence from Germany, Switzerland and Austria

This paper provides the first empirical evidence of fairness opinions in Europe. Legal requirements concerning the use of fairness opinions in mergers and acquisitions are significantly different in Germany, Switzerland and Austria. We examine the determinants of fairness opinions for target firms in these various regulatory settings, and moreover, investigate the impact of such opinions on the abnormal returns of target firms. While in Germany and Austria market participants do not deem fairness opinions important, they do create value for shareholders in Switzerland. Because conflicts of interest between the target’s board and bidder are a main determinant of fairness opinions in Switzerland, we conclude that when the target’s management faces such conflict, external expert advice replaces the board’s opinion on the offer.

Zum Einfluss der Abgeltungsteuer auf die Vorteilhaftigkeit von Renten, Aktien und Aktienindexanlagen

Das Unternehmensteuerreformgesetz 2008 ist in Kraft getreten, dessen Kernelemente unter anderem die Einführung einer Abgeltungsteuer auf Einkünfte aus Kapitalvermögen und die umfassende Besteuerung von Kapitalerträgen (inkl. Kapitalgewinnen) im Privatvermögen beinhalten. Zinserträge aus Rentenpapieren werden steuerlich besser gestellt. Die Kapitalgewinnbesteuerung von Aktien fällt in jedem Fall durch das Abgeltungsteuersystem höher aus. Zertifikate auf Performanceindizes wie z. B. den DAX sind gegenüber Indexfonds bzw. Direktanlagen steuerlich effizienter, da erstere keiner laufenden Dividendenbesteuerung unterliegen, soweit diese vor dem 15. 3. 2007 angeschafft worden sind. Auch bei einem Erwerb nach dem 31. 12. 2008 sind Indexzertifikate gegenüber Indexfonds und Direktanlagen im System der Abgeltungsteuer im Regelfall steuerlich effizienter.

The Hidden Connections between Different Perpetuity Growth Models

Perpetuity growth models are very popular throughout academia and practice. Given their parsimonious nature and their often implicit assumptions, it is not surprising that they can yield rather different results. First, the Miller and Modigliani (1961) model, coined as the investment opportunity approach, reformulates the Gordon and Shapiro (1956) model. Both are based on marginal rates of return. Second, we establish that steady state is a sufficient condition to align models employing marginal rates of return with models employing average rates of return, mostly stated as the “textbook formula”.

A Reexamination of the Issuance and Investment Anomalies in International Markets

This paper reexamines the issuance anomaly suggested by McLean, Pontiff, and Watanabe (2009) and the investment anomaly proposed by Titman, Wei, and Xie (2012) in international markets. We examine 40 non-U.S. stock markets across various aggregation levels. We find that international markets, unlike the U.S. market, demonstrate the following: (i) the issuance anomaly is not pervasive because it is largely linked to financial firms; (ii) the issuance anomaly is not persistent because it depends critically on monthly updating; and (iii) the evidence based on equal-weighted returns lends support to the issuance and investment anomalies, whereas the evidence from value-weighted returns is weak.

Don’t Cry for Me Germania?

ZusammenfassungInnerhalb kürzester Zeit hat sich die inzwischen vier Jahre alte Tagesanleihe zum bedeutendsten Wertpapier des Bundes, welches an Privatanleger gerichtet ist, neben dem Bundesschatzbrief etabliert. Das Bundesministerium der Finanzen hat jedoch am 5. Juli 2012 verkündet, das gesamte Privatgeschäft mit Finanzprodukten zum Ende 2012 einzustellen. Dieser Aufsatz zeigt empirisch, dass sich (1) die am Euro Over Night Index Average (EONIA) orientierende Tagesanleihe hinsichtlich der Replikationsgüte zwischen dem untersten Rangplatz und dem Mittelfeld vergleichbarer EONIA-Exchange Traded Funds (ETFs) bewegt, und sich (2) die Performance von EONIA-ETFs (auf individueller Ebene und Portfolioebene) durchgehend besser als die der Tagesanleihe darstellt.

Valuation and Dividend-Based Debt Policy

It is widely recognized in the field of corporate finance, when valuing a levered project or firm, that the debt tax shield adds value to the unlevered project or firm. However, the value of the tax shield remains subject of debate as Luehrman (1997) points out. Research studies have tended to focus on either the fixed debt policies of Modigliani and Miller (1963) or the value-based debt policies of Miles and Ezzell (1980). This paper introduces an innovative valuation model where the debt tax shield risk depends on dividends paid out. These are based on the Lintner (1956) dividend model. Two noteworthy implications of this debt policy arise. First, it corroborates that dividend policy and optimal investment are independent variables, whereas debt policy is treated as a dependent variable. Second, the applicable rate with which tax shields are discounted can be even smaller than the cost of debt. Hence, the value of such a tax shield is greater than that of a fixed debt policy.