http://hdl.handle.net/10398/71 2013-06-19T15:36:50Z 2013-06-19T15:36:50Z Florentsen, Bjarne Møller, Michael Nielsen, Niels Christian http://hdl.handle.net/10398/7193 2011-09-08T11:53:29Z 2003-09-30T00:00:00Z

Reimbursement of VAT on written-off Receivables Florentsen, Bjarne; Møller, Michael; Nielsen, Niels Christian In many OECD countries, a seller has a right to reimbursement of VAT (RVAT) she has paid on goods sold, but for which she has not yet received payment. Such reimbursement of VAT on receivables is economically inefficient. It leads to: * Distortion of credit markets, by subsidizing direct credit at the cost of financial intermediaries. * Price discrimination, by subsidizing buyers with low creditworthiness. * A less efficient collection of bad debts, as trade with bad debts is made extremely expensive. The finance literature presents several "good" arguments in favor of trade credits, e.g. transaction costs and asymmetric information. In contrast RVAT is an economically "bad" argument for trade credit. It is a subsidy that leads to inefficiently high use of trade credit.

2003-09-30T00:00:00Z Lando, Henrik http://hdl.handle.net/10398/7195 2009-08-13T08:11:19Z 2004-04-01T00:00:00Z

On the use of economic theory in the design of accident law Lando, Henrik

2004-04-01T00:00:00Z Bajlum, Claus Tind Larsen, Peter http://hdl.handle.net/10398/7196 2011-09-08T12:09:14Z 2007-10-29T00:00:00Z

Capital structure arbitrage Bajlum, Claus; Tind Larsen, Peter When identifying relative value opportunities across credit and equity markets, the arbitrageur faces two major problems, namely positions based on model misspeci cation and mismeasured inputs. Using credit default swap data, this paper addresses both concerns in a convergence-type trading strategy. In spite of dierences in assumptions governing default and calibration, we nd the exact structural model linking the markets second to timely key inputs. Studying an equally-weighted portfolio of all relative value positions, the excess returns are insigni cant when based on a traditional volatility from historical equity returns. However, relying on an implied volatility from equity options results in a substantial gain in strategy execution and highly signi cant excess returns - even when small gaps are exploited. The gain is largest in the speculative grade segment, and cannot be explained from systematic market risk factors. Although the strategy may seem attractive at an aggregate level, positions on individual obligors can be very risky.

2007-10-29T00:00:00Z Bechmann, Ken L. Rangvid, Jesper http://hdl.handle.net/10398/7194 2011-09-08T11:53:36Z 2005-11-21T00:00:00Z

Rating mutual funds Bechmann, Ken L.; Rangvid, Jesper We develop a new rating of mutual funds: the atpRating. The atpRating assigns crowns to each individual mutual fund based upon the costs an investor pays when investing in the fund in relation to what it would cost to invest in the fund’s peers. Within each investment category, the rating assigns five crowns to funds with the lowest costs and one crown to funds with the highest costs. We investigate the ability of the atpRating to predict the future performance of a fund. We find that an investor who has invested in the funds with the lowest costs within an investment category would have obtained an annual risk-adjusted excess return that is approximately 3-4 percentage points higher per annum than if the funds with the highest costs had been invested in. We compare the atpRating with the Morningstar Rating. We show that one reason why the atpRating and the Morningstar Rating contain different information is that the returns Morningstar uses as inputs when rating funds are highly volatile whereas the costs the atpRating uses as inputs when rating funds are highly persistent. In other words, a fund that has low costs one year will most likely also have low costs the following year, whereas the return of a fund in a certain year generally contains only little information about the future return that the fund will generate. Finally, we have information on the investments in different mutual funds made by a small subgroup of investors known to have been exposed to both the atpRating and the Morningstar Rating, i.e. information is provided on how investors use the two ratings. We find that investors have a clear preference for high-rated funds.

2005-11-21T00:00:00Z