This paper presents the first analysis of open-end leverage certificates on the Germanmarket. The major innovations of these certificates are twofold. First, issuers announcea price-setting formula according to which they are willing to buy and sell thecertificates over time. Second, the...

The interest rate sensitivity of the stock returns of financial and non-financial corporations is awell-known phenomenon. However, only little is known about how much of total stockreturns is attributable to the compensation an investor receives for being exposed to interestrate risk when...

We investigate here the sensitivity of the stock returns of German financial institutions to changes in the shape of the term structure of interest rates. The standard approach has been to measure the interest rate sensitivity of stock returns by focussing solely on changes in a single interest...

In this paper we analyze the influence of market climates on mutual fund Sharpe ratios. First, in a theoretical analysis based on a common factor model in performance analysis, we show that a significant bias results from market climate - in addition to the obvious influence of fund management...

This article defines the investor-specific performance measure ISM necessary for investors in practically relevant decision situations. In such situations a typical investor creates an overall protfolio consisting of three parts: an arbitrary fund, a risk-free asset and an existing, fixed...

This article adds new insights to the ongoing discussion of whether the Sharpe ratio is appropriate to assess the performance of funds in abnormal periosd, e.b., when average excess returns of funds are negative. We show two main factors influencing the Sharpe ratio: first, of course, the...

Die Sharpe Ratio wird seit Mitte der 60er Jahre zur Beurtilung der Leistung von Finds eingesetzt. Zugleich wird ihre Eignung in der Literatur insbesondere für Perioden sinkender Aktienkurse kontrovers diskutiert. Der vorliegende Beitrag legt zunächst die Ursachen dieser Diskussionen dar und...

Im Rahmen der Neustrukturierung des Bankenmarkts kommt es verstärkt zu Fusionen von Sparkassen bzw. Landesbanken. Bei den damit verbundenen Bankbewertungen treten oft unterschiedliche Ansichten über die Werthaltigkeit bestimmter Geschäftsbereiche zu Tage. Dies kann zu Verzögerungen,...

Die Arbeitspapiere, die bisher zur Vorbereitung des dritten Basler Konsultationspapiers erschienen sind, lassen sich nach Ansicht der Autoren in zwei Gruppen unterteilen. Die eine konkretisiert wesentliche der im zweiten Konsultationspapier (CP2) vom Januar 2001 offenen Regelungen...