Volker Seiler

The Influence of Socio-Demographic Variables on Customer Satisfaction and Loyalty in the Private Banking Industry

Purpose – In this paper the authors aim to study the impact of customer demographics on service value, customer satisfaction, and customer loyalty in the private banking industry, i.e. a high‐involvement context.Design/methodology/approach – The authors estimate a structural equation model with the help of partial least squares (PLS). In order to examine the influence of socio‐demographic variables, they conduct an analysis of variance (ANOVA) to test for differences in the means of the constructs. Furthermore, they conduct an analysis of mediation to test for an indirect influence of service value on customer loyalty.Findings – The authors find that customer satisfaction has a strong positive impact on customer loyalty. However, service value has no significant direct effect on customer loyalty; the impact of service value on customer loyalty is completely mediated by customer satisfaction. With regards to customer demographics, the authors find significant differences in mean scores as to employment sta...

Style Analyse im Fondsmanagement

Die Style Analyse ist ein Verfahren zur Replikation eines aktiv gemanagten Fonds mit Hilfe eines passiven Tracking Portfolios. Dazu wird mit der quadratischen Programmierung ein Verfahren der nicht-linearen Optimierung genutzt. Die vorliegende Arbeit erklärt die Grundidee der Style Analyse und zeigt anhand eines konkreten Beispiels, wie die Style Analyse in Microsoft Excel implementiert werden kann.

Do WTO Rulings Really Matter? Evidence from the Rare Earth Elements Market

Rare earth elements (REEs) have gained increasing attention recently for several key reasons: 1) they are vital to many strategic industries, 2) they are relatively scarce, 3) they frequently exhibit high price fluctuations, 4) China holds a quasi-monopoly on their mining, and 5) China’s REE policy, which was overly restrictive and led to a formal complaint from the U.S., Japan, and the EU at the World Trade Organization (WTO) in 2012. This paper investigates whether the announcement of a WTO dispute resolution case can influence governmental changes in existing policies. We find empirical support for this notion, because REE prices exhibit a structural break around the announcement of a WTO dispute, and show lower variance ratios for all tested REEs afterward. This indicates a tendency toward efficiency, although REE prices still do not follow a random walk. Similarly, we find that the stock price informativeness of companies in the REE industry increases after such an announcement, reflecting more firm-specific than marketwide information and less governmental influence. Finally, we show that the model uncertainty for option pricing models decreases, which we measure by the lower pricing differences among them.

The Economic Importance of Rare Earth Elements Volatility Forecasts

We compare the suitability of short-memory (ARMA models), long-memory (ARFIMA models), and a GARCH model to describe the volatility of rare earth elements (REEs). We find strong support for the existence of long-memory effects. A simple long-memory ARFIMA(0,�?��,0) base model shows generally superior accuracy both in- and out-of-sample, and is robust for various subsamples and estimation windows. Volatility forecasts produced by the base model also convey material forward-looking information for companies in the REE industry. Thus, an active trading strategy based on REE volatility forecasts for these companies significantly outperforms a passive buy-and-hold strategy on both, an absolute and a risk-adjusted return basis.

Comment on Ameriks, Caplin, Leahy & Tyler (2007): Measuring Self-Control Problems

Ameriks, Caplin, Leahy & Tyler (2007) study how lack of self-control may lead to overconsumption and low wealth accumulation. For their analysis, the authors calculate difference scores from their survey questions. We review their study and highlight potential issues in the use of difference scores such as lack of reliability, validity, spurious correlation and variance restriction. The concerns we raise put into question their findings and the conclusions they draw.