Empirical Research on the German Capital Market

Transcription

1 Empirical Research on the German Capital Market

2 Contributions to Management Science Harald DyckhofflUte Finke Cutting and Packing in Production and Distribution ISBN Richard Flavell (Ed.) Modelling Reality and Personal Modelling ISBN X Michael HofmannlMonika List (Eds.) Psychoanalysis and Management ISBN Rita L. D'Ecc1esialStavros A. Zenios (Eds.) Operations Research Models in Quantitative Finance ISBN Mario S. Catalani/Giuseppe F. Clerico Decision Making Structures ISBN M. BertocchilE. Cavalli/S. Koml6si (Eds.) Modelling Techniques for Financial Markets and Bank Management ISBN Holger Herbst Business Rule-Oriented Conceptual Modeling ISBN Constantin Zopounidis New Operational Approaches for Financial Modelling ISBN Klaus Zwerina Discrete Choice Experiments in Marketing ISBN Giovanni Marseguerra Corporate Financial Decisions and Market Value ISBN WHU Koblenz - Otto Beisheim Graduate School of Management (Ed.) Structure and Dynamics of the German Mittelstand ISBN Armin Scholl Balancing and Sequencing of Assembly Lines 2nd rev. ed ISBN

3 Wolfgang Biihler. Herbert Hax Reinhart Schmidt (Eds.) Empirica! Research on the German Capital Market With 38 Figures and 60 Tables Springer-V erlag Berlin Heidelberg GmbH

4 Series Editors Wemer A. MUller Martina Bihn Editors Prof. Dr. Wolfgang BUhler Universităt Mannheim Fakultăt fur Betriebswirtschaftslehre Lehrstuhl fur Finanzierung SchloB D Mannheim, Germany Prof. Dr. Dr. h.c. Herbert Hax Universităt zu KOln Wirtschafts- und Sozialwissenschaftliche Fakultăt Albertus-Magnus-Platz D-S0923 Koln, Germany Prof. Dr. Reinhart Schmidt Uni versităt Halle-Wittenberg Wirtschaftswissenschaftliche Fakultăt Lehrstuhl fur Finanzwirtschaft und Bankbetriebslehre Reichardtstr. II D Halle, Germany ISBN Cataloging-in-Publication Data applied for Die Deutsche Bibliothek - CIP-Einheitsaufnahme Empirical research on the German capital market: with 60 tableslwolfgang Biihler; Herbert Hax; Reinhart Schmidt (ed.). - Heidelberg: Physica-Verl., 1999 (Contributions to management science) ISBN ISBN (ebook) DOI / This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concemed, specifically the rights of translation, reprinting, reu se of illustrations, recitation, broadcasting, reproduction on microfilm or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permission for use must aiways be obtained from Physica-Verlag. Violations are Iiable for prosecuiion under the German Copyright Law. Springer-Verlag Berlin Heidelberg 1999 Originally published by Physica-Verlag Heidelberg in 1999 The use of general descriptive names, registered names, trademarks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Cover design: Erich Kirchner, Heidelberg SPIN / O - Printed on acid-free paper

5 Preface by the Editors Resorting mainly to US data academic researchers in the USA have become world-wide leaders in capital market empiricism. It therefore seems necessary to investigate whether the results of this research are universally valid; or, whether other explanatory models are needed for capital markets elsewhere. In the mid 'eighties' a group of German professors initiated an intensive program of empirical research on the German capital market. A nation-wide research program was established with generous financial support from the Deutsche Forschungsgemeinschaft (DFG). More than fifty researchers, including fifteen professors of finance, began a cooperative research program. The program objectives included the development of expertise in modem methods of empiricism in financial economics and the derivation of results that might be specific to the German capital market. A crucial prerequisite for the implementation of the research program was the creation of reliable and adequate data bases. Unlike the American counterparts, the German researchers did not have efficient data bases at their disposal. Thus, as a necessary first step, the researchers had to establish data banks. Capital market researchers are now able to access three important data banks which, only as a basis for academic research, are option to academic researchers world-wide. Data banks of German stock and bond prices and listed company financial statements have been established by Hermann Goppl, University of Karlsruhe, Wolfgang BUhler, University of Mannheim, and Peter Moller, RWTH Aachen, respectively. As a result of these efforts, the conditions for empirical research in finance and accounting in Germany have been improved immeasurably. This volume includes fifteen contributions which document the final part of research undertaken by those participating in the research program. The diverse nature of the issues reissued by these contributors is indicative of the broad spectrum of the German empiricists in the area of financial economics. The work in the earlier stages of the research initiative on the German capital market was published in "Zeitschrift for betriebswirtschaftliche Forschung", Special Volume No. 31 (1993). As the coordinators of the central research program we have partitioned the contributions in this volume into four sections. The first part of the book is dedicated to problems of market structure and organization. New experimental approaches are reported including, in particular, those for investigating the specific attributes of different institutional designs under idealized ceteris paribus conditions. Additionally, the relationships between market structure and cost of immediacy are compared for floor trading and electronic trading system. A further study demonstrates that the creation of a new

6 VI market segment may generate positive abnormal returns because of lower transactions costs. The second part deals with information and capital market. A macroeconomic analysis shows that systematic relationships between interest rates are able to transmit central bank policy actions into the real sector of the economy. A microeconomic investigation into the effects of financial reporting suggests that German investors well understand German financial reporting whilst, compared with disclosure based on U.S.GAAP, traditional German financial reporting reveals both lesser amounts and alternative forms of information. The third part is concerned with risk and return. Arbitrage pricing theory is investigated by reference to the German stock market as are, within a somewhat broader context, risk, return and liquidity. Additionally, beta estimates are derived with different estimation procedures using both market and accounting data. The results reveal a weak relationship between accounting numbers and systematic risk in the case of German stocks. An investigation into the performance of German mutual funds, using a variety of performance measures, reveals that no fund's performance is superior to that of a broadly based index. The fourth and final part of this volume addresses problems concerning futures and options. The call policy of three German governmental institutions in respect of their bond market issues is analyzed with two different analytical models. The time-lags between price changes characterizing the relationships between stocks and stock options are also investigated. Apropos of the DAX futures market, research findings suggest that extraordinary arbitrage profits can be earned from a strategy which allows for the seasonally of dividend payments. Finally, results are presented on the impact of stock price jumps on option values for representative model parameters and the historical impact of jumps on option values. We are grateful to Professor Gerald H. Lawson, formerly of the Manchester Business School, who proposed numerous linguistic and other changes to the original texts of the contributions to this volume which were written in English by their German authors. We are also indebted to Dr. Annemarie Sapusek and Doris Storch for their help in preparing the final version of the text. The editors hope that this research gives a good insight into the special institutional and empirical realities of the German capital market and that the academic community will profit from the special approaches and extended methods that are reported here. The results should prove to the equally important to academic research and in the realm of investment banking. Mannheim/Cologne/Halle Wolfgang Buhler Herbert Hax Reinhart Schmidt

7 Table of Contents A Market Structure and Organization Market Design, Trading Behavior and Price Discovery - An Experimental Stock Market Model W. Gerke/ H. Bienert Designing an Experimental Stock Market J. P. Krahnen/ C. Rieck! E. Theissen Private Investor Behavior in Germany: An Empirical Survey and Experimental Results A. Oehler Market Structure and Bid-Ask Spread H. Schmidt! P. Iversen/ K. Treske Statutory Induced Switching into a New Market H. Schmidt! T. Schrader B Information and Capital Market Financial Market Indicators and Real Capital Investment in Germany W. Gebauer/ K. J. W. Schmidt! D. Veestraeten Financial Reporting and the Stock Market in Germany H. P. Moller/ E. Keller C Risk and Return An Investigation into the Number of Factors Generating German Stock Returns O. L. Adelberger/ G. Lockert The German Equity Market: Risk, Return, and Liquidity H. Goppl/ T. LOdecke/ C. Schlag/ H. Schatz

8 VIII Estimation and Prediction of Systematic Risk with Market- Based and Accounting-Based Data for German Shares B. Rudolph/ P. Zimmermann Measuring Portfolio Performance and the Empirical Content of the APT M. Steiner/ T. Nowak! C. Wittrock D Futures and Options Analysis of the Call Policy of Bund, Bahn, and Post in the German Bond Market W Bahler/ M. Schulze Time-lags between Price Changes of Stocks and Stock Options M. Gaisl R. Hecker/ E. Wenger The Dax Futures Market and Dividends K.ROderl G. Bamberg Impact of Stock Price Jumps on Option Values S. Trautmann/ M. Beinert