Browsing Working Papers (FI) by Title
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Lando, Henrik (København, 2000)[More information][Less information]
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Bechmann, Ken L.; Løchte Jørgensen, Peter (København, 2002)[More information][Less information]
URI: http://hdl.handle.net/10398/7183 Files in this item: 1
bechmann_optionsafloenning.pdf (212.5Kb) -
[More information][Less information]
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Lessons from EstoniaKhoury, Sarkis Joseph; Wihlborg, Clas (København, 2005)[More information][Less information]
Abstract: The literature on Currency Boards (CB) stops at the water edge in terms of dealing with the totality of the functions of a central bank. Monetary policy, and banking supervision can be "outsourced" in an open economy with substantial foreign direct investment (FDI) in the banking sector if political nationalism does not trump economic rationality. An orthodox CB renders the central banking function redundant in terms of interest rate and exchange rate determination. FDI in banking could perform the same role for the supervisory function of central banks. We use the case of Estonia to illustrate the feasibility of, and constraints on, outsourcing of central bank functions. A brief discussion of the Argentinian experience is used for contrast. Key words: Currency Board, Foreign Banks, Supervision, Regional Integration,outsourcing. URI: http://hdl.handle.net/10398/7168 Files in this item: 1
wplefic032005.pdf (270.1Kb) -
Does negative equity exist as a permanent feature in the Danish housing market?Lunde, Jens (København, 2005)[More information][Less information]
Abstract: House and flat prices have been through a tremendous bust and boom cycle in Denmark. From 1986 to 1993 real prices for houses and flats dropped by one third on average, foreclosures accounted for around 1/6 of the house and flat turnovers in numbers, and in reality the market for owner-occupied houses and flats was in a crisis. Initiated by a strong interest rate drop and by an expansive finance policy, the market turned. From 1993H1 to 2004H1 real house prices increased 76% and real flat prices 128%. Moreover, Denmark has a leading position in the international household debt race and as in many other countries the fear of the consequences of a strong interest rate increase for the housing market is widespread. Therefore, in order to examine the financial stability among owner-occupiers, a sample of approx. 40,000 owner-occupier families with data at household level has been drawn from the tax statistics for each year from 1987 to 2003. Through the analysis it is shown that the distributions of the owner-occupiers’ capital structure, measured by the net liability/housing wealth ratios, have more or less been the same throughout the 16 years, even during the long-lasting steep house and flat price rise. Moreover, since 1994 the median value of the net liability/income ratio has increased by 71% for all owner-occupiers and by 54% for owner-occupiers between 30-39 years of age.Finally, one last, important aspect of the financial stability of owner-occupiers, namely, their capacity to service their debt has been analysed. The owner-occupiers’ net interest expenditures/ income ratios before tax have been nearly halved from 1987 to 2003. Most of the drop happened during the years of the "housing market failure". From 1994 on the ratios were more slightly reduced and were in 2003 at 8.8% (median value) for all owner-occupiers and 12.2% for owner-occupiers between 30-39 years of age. However, if the reductions of the tax rates for deducting interest expenditures are taken into account, the 2003 after-tax-ratios are only about 2 percentage points below the 1987 after-tax ratios. At March 2005, a new challenge facing Danish owner-occupiers is that 50% of their mortgages carry interest adjustment. Keywords: house prices, housing wealth, real estate wealth, housing debt, mortgage debt, personal wealth, personal finance, loan-to-value, debt-to-income, interest expenditures, interest-to-income, financial stability. JEL classifications: D 14, E 44, G 21, R 20, R 31. URI: http://hdl.handle.net/10398/7197 Files in this item: 1
endeligt_wp_jens_lunde_2005_3.pdf (1.494Mb) -
who should compensate who?Astrup Jensen, Bjarne; Sørensen, Carsten (København, 2000)[More information][Less information]
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Bhatti, Jonas Aziz; Møller, Michael (København, 2002)[More information][Less information]
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recommendations consistent with rational behavior?Munk, Claus; Sørensen, Carsten; Vinther, Tina Nygaard (København, 2001)[More information][Less information]
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evidence from the Copenhagen Stock Exchange 1993-1997Jakobsen, Jan; Voetmann, Torben (København, 2000)[More information][Less information]
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the KFX indexBechmann, Ken L. (København, 2002)[More information][Less information]
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Construction and information content of an investor-cost based rating of Danish mutual fundsBechmann, Ken L.; Rangvid, Jesper (København, 2005)[More information][Less information]
Abstract: 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. URI: http://hdl.handle.net/10398/7194 Files in this item: 1
endeligt_wp_2005_6.pdf (598.9Kb) -
implication : two shares - one priceBechmann, Ken L.; Raaballe, Johannes (København, 2000)[More information][Less information]
URI: http://hdl.handle.net/10398/7148 Files in this item: 1
bechmann_raaballe_wp2000-5.pdf (492.9Kb) -
Florentsen, Bjarne; Møller, Michael; Nielsen, Niels Christian (København, 2003)[More information][Less information]
Abstract: 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. URI: http://hdl.handle.net/10398/7193 Files in this item: 1
reimbursement_of_vat_2003-1.pdf (373.0Kb) -
Sørensen, Carsten (København, 1999)[More information][Less information]
URI: http://hdl.handle.net/10398/7146 Files in this item: 1
soerensen_seasonality_wp9914.pdf (426.2Kb) -
Bechmann, Ken (København, 2003)[More information][Less information]
Abstract: The announcement of a convertible bond call is associated with an average con- temporaneous abnormal stock price decline of 1.75% and an ensuing price recovery in the conversion period. A price fall and the subsequent recovery suggest price pressure as the explanation for the announcement eect. However, in a perfect capital market the option to convert is not exercised early and hence, the increase in the number of shares outstanding does not occur at the announcement date. Instead, this paper ar- gues and provides evidence that hedging-induced short selling is causing at least part of the short-run price pressure. Key words: Convertible bond calls; Hedging; Short selling; Price pressure; Underwriting JEL Classication: G14; G24; G32 URI: http://hdl.handle.net/10398/7165 Files in this item: 1
caf wp-164.pdf (719.6Kb) -
the case of soybeansRichter, Martin; Sørensen, Carsten (København, 2002)[More information][Less information]
URI: http://hdl.handle.net/10398/7179 Files in this item: 1
richter_soerensen_stochastic.pdf (330.3Kb) -
A Useful Way of Burning MoneyBechmann, Ken L.; Raaballe, Johannes (København, 2005)[More information][Less information]
Abstract: Firms pay out cash using both dividends and share repurchases. In many aspects these two means are similar, but one important difference is that dividends are generally taxed more heavily than share repurchases. Nevertheless firms persist in paying out large amounts in dividends. This paper provides an explanation for this dividend puzzle by developing a class of signaling models violating the "single-crossing" property in which information about the quality of the firm is asymmetric between the management and the shareholders. In these models a high-quality firm can always signal its quality by using share repurchases only. However, in certain cases share repurchases become costlier on the margin for a high-quality firm than for a low-quality imitator. In such cases, the high-quality firm signals most cost efficiently by means of a combination of share repurchases and taxable cash dividends financed by the issuance of new shares. Taxable cash dividends financed by the issuance of new shares then can be considered a positive kind of money burning whose role is to signal a firm’s high quality. The implications of the models are consistent with several important empirical facts about dividends and share repurchases. Thus, this paper’s main contribution is to examine a range of new signaling models that provides a role for taxable cash dividends and share repurchases and to derive their empirical implications. Key words: Dividends, Share Repurchases, Signaling, Single-Crossing Property, Money Burning JEL Classification: G35, D82 URI: http://hdl.handle.net/10398/7156 Files in this item: 1
ken_bechmann_wp_elektronisk_samlet.pdf (203.9Kb) -
Armerin, Frederik; Björk, Tomas; Astrup Jensen, Bjarne (København, 2005)[More information][Less information]
Abstract: We investigate the possibility of an arbitrage free model for the term structure of interest rates where the yield curve only changes through a parallel shift. We consider HJM type forward rate models driven by a multidimensionalWiener process as well as by a general marked point process. Within this general framework we show that there does indeed exist a large variety of nontrivial parallel shift term structure models, and we also describe these in detail. We also show that there exists no nontrivial flat term structure model. The same analysis is repeated for the similar case, where the yield curve only changes through proportional shifts. Key words: bond market, term structure of interest rates, flat term structures. URI: http://hdl.handle.net/10398/7137 Files in this item: 1
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Foss, Nicolai Juul; Lando, Henrik; Thomsen, Steen (København, 1998)[More information][Less information]
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Effects on Capitalization and Lending Decisions of BanksKragh, Jonas; Rangvid, Jesper (Frederiksberg, 2016)[More information][Less information]
Abstract: Unique and confidential Danish data allow us to identify how changes in disclosure requirements and bank-specific time-varying capital requirements affect banks'lending and capital accumu- lation decisions. We find that banks increase their capital ratios after capital requirements are increased, implying that resilience in the banking system is also increased. The increase in capital ratios is partly due to a modest reduction in lending. Using a policy changes, we show that banks react stronger to changes in capital requirements when these are public. Our results further suggest that the impact of capital requirements di¤er for small and large banks. Large banks raise their capital ratios more, reduce lending less, and accumulate more new capital compared to small banks. URI: http://hdl.handle.net/10398/9314 Files in this item: 1
Kragh_Rangvid_May 2016.pdf (284.6Kb)